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   一致性风险价值 的翻译结果: 查询用时:0.01秒
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一致性风险价值
相关语句
  cohesive value at risk
     In the second part, for skewed return-loss distributions of credit capital and the lack of sub-additivity of VaR, we examine a new approach for credit optimization. The model is based on the Cohesive Value at Risk (CVaR) risk measure, the expected loss exceeding Value at Risk.
     第二部分,我们根据风险价值技术在信用风险度量上的不足,即信用风险不服从正态分布,存在严重的偏峰厚尾现象,以及风险价值方法本身不符合次可加性,它的局部最优解并非全局最优解的问题,引入了一种基于风险价值方法的改进技术——一致性风险价值方法来优化组合信用风险。
短句来源
     Empirical Research on Cohesive Value at Risk Model in Credit Portfolio Measurement
     信用资产组合一致性风险价值模型及其实证研究
短句来源
     Research of Portfolio Based on Cohesive Value at Risk
     基于一致性风险价值的投资组合的研究
短句来源
     For these problems, proceed from the theory of coherent risk measurement, we put forward a new technique of risk measure—Cohesive Value at Risk—to measure credit risk of portfolio, on which we build portfolio optimization model of Cohesive Value at Risk and select the optimal portfolio with linear programming.
     针对这些问题,我们从一致性风险度量理论出发,提出了一种新的风险度量技术———一致性风险价值———来度量投资组合的信用风险,在此基础上建立了一致性风险价值的投资组合优化模型,并运用线性规划技术进行组合优化.
短句来源
     Lastly, by emperical studies, we find the fact that final result by selecting the optimal portfolio based on optimal model of Cohesive Value at Risk is better than that of on optimal model of Value at Risk.
     最后我们通过实证研究,发现运用基于一致性风险价值的优化模型进行投资组合的结果,优于运用基于风险价值的优化模型.
短句来源
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  “一致性风险价值”译为未确定词的双语例句
     Portfolio Optimization Model of Coherent Value-at-Risk
     基于一致性风险价值的投资组合优化模型研究
短句来源
     The credit optimization problem is solved effectively by linear programming.
     它的组合优化技术通过线性规划过程完成,能在最优化一致性风险价值的同时得出最优的资产权重。
短句来源
     Aiming for these problems, this paper puts forward Cohesive-Value-at-Risk(CVaR) as a new measurement method for risk, simulates distribution of incomerate by forming new distribution, puts forward total-parametric method to calculate value of CVaR so as to solve it's heavy tailed.
     针对这些问题本文引用了一致性风险价值(CVaR)作为新的风险度量方法,首先对我国证券市场的收益率分布进行了模拟,在此基础上介绍了CVaR的完全参数计算方法,并进行了实证研究。
短句来源
  相似匹配句对
     Research of Portfolio Based on Cohesive Value at Risk
     基于一致性风险价值的投资组合的研究
短句来源
     Cohesive Value at Risk and Non-Parametric Calculation
     一致性风险价值及其非参数方法计算
短句来源
     Cohesive Value at Risk and Case Study in China
     一致性风险价值及其在中国证券市场的应用研究
     Calculations and Case Study of Cohesive Value at Risk
     一致性风险价值及其算法与实证研究
短句来源
     The F Test of Value-at-Risk
     风险价值VaR的F检验法
短句来源
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On the basis of analyzing the defects of Value at Risk in practical application, the paper presents the concept of Cohesive Value at Risk and proves its essential characteristics as risk measurement. This paper also expounds all necessary calculations of hyperbolic distribution, and uses this distribution to describe the return rate distribution, at last, analyses the calculation of Cohesive Value at Risk.

分析实际运用中的风险价值概念的缺陷并在此基础上提出一致性风险价值的概念 ,证明一致性风险价值作为风险度量的必要性质 ,详细阐述对称的双曲分布的一切必要计算 ,并根据实际情况用这种分布来模拟证券市场收益率分布 ,在此基础上计算一致性风险价值

VaR(Value at Risk) is the popular method for risk measurement recently. However, risk value that VaR measured sometimes has difficulty being corresponding with investor's real feeling precisely and VaR lacks of sub-additive in some cases. Aiming for these problems, this paper puts forward Cohesive Value at Risk (CVaR) as a new measurement method for risk, simulates distribution of income rate by forming new distribution, puts forward total-parametric method to calculate value of CVaR so as to solve its heavy...

VaR(Value at Risk) is the popular method for risk measurement recently. However, risk value that VaR measured sometimes has difficulty being corresponding with investor's real feeling precisely and VaR lacks of sub-additive in some cases. Aiming for these problems, this paper puts forward Cohesive Value at Risk (CVaR) as a new measurement method for risk, simulates distribution of income rate by forming new distribution, puts forward total-parametric method to calculate value of CVaR so as to solve its heavy tailed.

 目前金融市场风险测量的主流方法是VaR方法,但其测量的风险值有时难以准确地反应投资者真实心理感受,而且缺乏投资组合分散风险特性所要求的次可加性.针对这些问题该文选择了一致性风险价值(CVaR)作为新的风险度量方法,通过构造一种混合分布来模拟收益率分布.提出CVaR的完全参数计算方法,并进行了实证研究.

In the security market, return-loss distribution exist the severe phenomenon of excess kurtosis and heavy tail; meanwhile,method of Value at Risk itself cannot correspond with subadditivity, all of which make local optimal not be the whole optimal when selecting the optimal portfolio. For these problems, proceed from the theory of coherent risk measurement, we put forward a new technique of risk measure—Cohesive Value at Risk—to measure credit risk of portfolio, on which we build portfolio optimization model...

In the security market, return-loss distribution exist the severe phenomenon of excess kurtosis and heavy tail; meanwhile,method of Value at Risk itself cannot correspond with subadditivity, all of which make local optimal not be the whole optimal when selecting the optimal portfolio. For these problems, proceed from the theory of coherent risk measurement, we put forward a new technique of risk measure—Cohesive Value at Risk—to measure credit risk of portfolio, on which we build portfolio optimization model of Cohesive Value at Risk and select the optimal portfolio with linear programming. Lastly, by emperical studies, we find the fact that final result by selecting the optimal portfolio based on optimal model of Cohesive Value at Risk is better than that of on optimal model of Value at Risk.

证券市场上收益率分布存在严重的偏峰厚尾现象;同时风险价值方法本身不符合次可加性,这使得进行组合优化时它的局部最优解并非全局最优.针对这些问题,我们从一致性风险度量理论出发,提出了一种新的风险度量技术———一致性风险价值———来度量投资组合的信用风险,在此基础上建立了一致性风险价值的投资组合优化模型,并运用线性规划技术进行组合优化.最后我们通过实证研究,发现运用基于一致性风险价值的优化模型进行投资组合的结果,优于运用基于风险价值的优化模型.

 
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