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We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et al.


As examples we discuss a new approach to measure the risk of an insurance company and a coherent risk measure for unbounded càdlàg processes induced by a so called mstable set.


As examples we discuss a new approach to measure the risk of an insurance company and a coherent risk measure for unbounded càdlàg processes induced by a so called mstable set.


The paper deals with the study of a coherent risk measure, which we call Weighted V@R.


Starting with a time0 coherent risk measure defined for "value processes", we also define risk measurement processes.

 更多 
Despite the incompleteness of the market we quantify the value of this operational flexibility in the framework of coherent risk measures.


Exact cooperative games or nonadditive measures, coherent lower previsions and coherent risk measures are mathematically essentially the same.


The relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems is established.


One of the key results is that coherent risk measures are essentially equivalent to generalized arbitrage bounds, named "good deal bounds" by Cerny and Hodges (1999).


We define (d,n)coherent risk measures as setvalued maps from $L^\infty_d$ into $\mathbb{R}^n$ satisfying some axioms.

 更多 
Despite the incompleteness of the market we quantify the value of this operational flexibility in the framework of coherent risk measures.


Exact cooperative games or nonadditive measures, coherent lower previsions and coherent risk measures are mathematically essentially the same.


The relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems is established.


One of the key results is that coherent risk measures are essentially equivalent to generalized arbitrage bounds, named "good deal bounds" by Cerny and Hodges (1999).


We define (d,n)coherent risk measures as setvalued maps from $L^\infty_d$ into $\mathbb{R}^n$ satisfying some axioms.

 更多 
We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et al.


As examples we discuss a new approach to measure the risk of an insurance company and a coherent risk measure for unbounded càdlàg processes induced by a so called mstable set.


As examples we discuss a new approach to measure the risk of an insurance company and a coherent risk measure for unbounded càdlàg processes induced by a so called mstable set.


The paper deals with the study of a coherent risk measure, which we call Weighted V@R.


Starting with a time0 coherent risk measure defined for "value processes", we also define risk measurement processes.

 更多 
 其他 

 Some basic concepts concerning mathematical foundation of financial risk are introdured. They are acaptable set and coherent risk measures. Some risk measures commonly used and their defaults are presented. Extreme value method of VaR and cone programming method of CVaR are discussed.  介绍了测度金融风险的数理基础的基本概念:可行集和相容风险测度,给出了一些常用的风险测度方法和它们的优缺点。讨论了最常用的风险测度VaR的基于极值理论的计算方法和CVaR的凸规划计算方法。  A new interpretation of the Sharpe ratio of coherent risk measurement is shown. The sharpe ratio is extended to: portfolios including riskfree capital and portfolios wholly allocated to risk capital, thus considering the influence of investment structure.The methodology is applied to portlfolios with many assets in an environment where probabilistical results are better than those in current literatures.This method is used to optimize capital allocation and investment performance of agriculture future investments... A new interpretation of the Sharpe ratio of coherent risk measurement is shown. The sharpe ratio is extended to: portfolios including riskfree capital and portfolios wholly allocated to risk capital, thus considering the influence of investment structure.The methodology is applied to portlfolios with many assets in an environment where probabilistical results are better than those in current literatures.This method is used to optimize capital allocation and investment performance of agriculture future investments on the Zhengzhou Commodity Exchange.  在相容风险测度的意义下,对夏普比率给出一个新的结构性解释,在包括无风险资产和纯粹风险资产的投资组合下对夏普比率进行推广,考虑了投资结构对风险的影响,及其在具有多资产组合和一般测度空间背景下的应用.实证分析研究了郑州商品交易所农产品期货投资中最优资产分配和最优投资绩效问题.  Stress testing is always used to research latent market risk and risk management and can also be used to test the stability of macroeconomic market. Coherent risk measure CVaR have better economical and mathematical logical base .A stress testing method is provided to calculate CVaR and is used to appraise stability of Chinese stock market. In empirical study ,portfolio’s return is supposed to be a mixture normal distribution and moment calibration method is used to estimate the parameters. The empirical study... Stress testing is always used to research latent market risk and risk management and can also be used to test the stability of macroeconomic market. Coherent risk measure CVaR have better economical and mathematical logical base .A stress testing method is provided to calculate CVaR and is used to appraise stability of Chinese stock market. In empirical study ,portfolio’s return is supposed to be a mixture normal distribution and moment calibration method is used to estimate the parameters. The empirical study show that the method performances well. When appraising risk stability of stock market, mixture normal distribution is also used as stress testing scenarios. Empirical studies research the stock risk sensibility to price change, market uncertainty and comovement among market prices and find that stock market which is mainly influenced by speculation isn’t sensible to macroeconomic conditions.  压力测试方法是考察市场潜在风险和进行风险管理的重要方法,也可以用来研究宏观经济市场的稳定性问题。相容风险测度CVaR作为风险计量方法在经济逻辑和数理逻辑上具有一定的合理性,实验结果表明,同时利用混合分布来模拟股票收益的厚尾性质,可以比较恰当地刻画市场风险特征。在对我国股票市场投资风险进行稳定性研究时,同样使用混合正态分布作为压力测试背景,通过股票市场风险对股价涨跌变量、市场不确定性变量和市场间协同变量的变化敏感程度的实证分析表明,我国股票市场对宏观经济环境的变化反应比较迟钝,股市价格的运行方式主要受市场内部投机因素的影响较大。  
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