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金融风险测度    
相关语句
  financial risk measurement
    Study on the Techniques of Financial Risk Measurement in the Situation of Small Sample
    小样本下的金融风险测度的技术研究
短句来源
    Relative Entropy,Distortion Risk Measures and Their Functions in Financial Risk Measurement
    相对熵、畸变风险测度及其金融风险测度的效能
短句来源
    Study on Financial Risk Measurement and Conditional Value-at-Risk
    金融风险测度及CVaR方法的研究
短句来源
  financial risk measurement
    Study on the Techniques of Financial Risk Measurement in the Situation of Small Sample
    小样本下的金融风险测度的技术研究
短句来源
    Relative Entropy,Distortion Risk Measures and Their Functions in Financial Risk Measurement
    相对熵、畸变风险测度及其金融风险测度的效能
短句来源
    Study on Financial Risk Measurement and Conditional Value-at-Risk
    金融风险测度及CVaR方法的研究
短句来源
  financial risk measurement
    Study on the Techniques of Financial Risk Measurement in the Situation of Small Sample
    小样本下的金融风险测度的技术研究
短句来源
    Relative Entropy,Distortion Risk Measures and Their Functions in Financial Risk Measurement
    相对熵、畸变风险测度及其金融风险测度的效能
短句来源
    Study on Financial Risk Measurement and Conditional Value-at-Risk
    金融风险测度及CVaR方法的研究
短句来源
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  measure of financial risk
This paper employs variation in the set of net returns as the sole measure of financial risk and develops a model that identifies the mix of beneficiaries that maximizes net income, subject to a given level of risk.
      
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In the financial market system, the measures and hedging of financial risk are important. Considering a financial market with risky stocks and riskless bond, we describe the stochastic model of stocks prices with stochastic volatility. In the context of our model, we propose measuring risk as the smallest expected weighted loss. Thus, our problem is transformed into one of risk control. On the basis of this, the existence of optimal risk control strategy is proved. By duality approach, we characterize the optimal...

In the financial market system, the measures and hedging of financial risk are important. Considering a financial market with risky stocks and riskless bond, we describe the stochastic model of stocks prices with stochastic volatility. In the context of our model, we propose measuring risk as the smallest expected weighted loss. Thus, our problem is transformed into one of risk control. On the basis of this, the existence of optimal risk control strategy is proved. By duality approach, we characterize the optimal control law.

面对开放的金融市场环境,金融风险的测度与防范已成为金融数学的研究热点之一.在考虑一个带有股票和债券的金融市场后,建立了具随机波动率的股票价格的随机微分方程模型.在这模型框架下,给出加权最小平均损失来测度风险的标准,于是问题转化为风险控制问题.在此基础上,证明了最优风险控制策略的存在性.并用对偶方法刻画了最优控制律的特征.

This article builds up macroscopic finance risk indicators system, which includes macroscopic finance environment risk, bank default risk, foam economic risk, national debt risk and foreign capital impacting risk. Making use of mapping approach, authors turn the primitive indicators into interval indicators. Then,using hierarchical analyses approach in determining the weights of the various risks, the theoretical model of macroscopic finance risk measurement system was constructed.

文章根据统计指标体系的构建原则,建立了由宏观经济环境、银行呆坏账、泡沫、国债和外资冲击在内的宏观金融风险测度指标体系,利用映射法原则将原始指标区间化。然后根据层次分析法确定风险权重,进而构造了我国宏观金融风险测度的理论模型。

>=With a view to many limitations of finance risk measure, Value at Risk( VaR) ,in the Non-walrasian market, constructing dynamic value at risk (DVaR) which reflects the individual risk preference is very essential. In the Non-walrasian market model, the information of market was endogenous to participators. There existed a feedback loop between the market and plenty of participators,and the market price tendency was directly affected by the investor' s trading behavior. Based on this market risk measure model,...

>=With a view to many limitations of finance risk measure, Value at Risk( VaR) ,in the Non-walrasian market, constructing dynamic value at risk (DVaR) which reflects the individual risk preference is very essential. In the Non-walrasian market model, the information of market was endogenous to participators. There existed a feedback loop between the market and plenty of participators,and the market price tendency was directly affected by the investor' s trading behavior. Based on this market risk measure model, optimal liquidation strategies of those participators were studied. Finally,a corresponding DVaR model in the Non-walrasian market and its detailed calculating approach are given.

鉴于非瓦尔拉斯市场下的金融风险测度VaR存在着众多缺陷,建立反映主观风险偏好的动态风险价值成为必要.在非瓦尔拉斯市场模型中,市场内生于投资者,投资者与市场间存在反馈环路,其交易行为对市场的价格运动有直接作用.基于此市场模型,研究了交易者的最优变现策略,并提出了相应的动态风险价值模型及其具体的计算步骤.

 
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