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风险的测度
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    A Formula to Measure International Interest Rate Risk from the View Angle of VAR
    一种基于VaR视角下的国际利率风险的测度公式
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    Study on risk measures-duality method
    风险的测度研究──对偶方法
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    In the financial market system, the measure and hedging of financial risk are important.
    自1997年东南亚金融危机以来,金融风险的测度与控制研究倍受学术界和实务界的关注.
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    In recent years the international finance crisis repeatedly occurred, Caused the broad scholars and the financial supervising and managing department to the risk survey high value and the research, Simultaneously comprehensively lets loose along with our country money market, affects the money market undulation factor day by day increases, the financial risk measure question will change more and more importantly.
    近年来国际上金融危机的频频发生,引起了广大学者和金融监管部门对风险测量的高度重视与研究兴趣,同时随着我国金融市场的全面放开,影响金融市场波动性的因素日益增多,金融风险的测度问题也变得越来越重要。
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    Based on the overseas and domestic liquidity study, the research of this thesis, from the perspective of the investors and combining characteristics of Chinese market, has constructed liquidity measurement index. Further, it footholds on the risk management theory, brings the liquidity risk measurement into the current full-fledged and wildly usedrisk management system——Value at Risk Model and establishes L_VaR model.
    本文从投资者的角度出发,在国内外流动性研究的基础上,结合中国市场的特点,构建了流动性测度指标,并立足于风险管理理论,把流动性风险的测度纳入到目前比较成熟的并且被广泛应用的风险管理体系——VaR体系中,建立了L_VaR模型。
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  risk measures
Study on the interrelation of efficient portfolios and their frontier under t distribution and various risk measures
      
Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared.
      
When the insurer and reinsurance company take arbitrary risk measures, sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts.
      
Further, the explicit forms of optimal reinsurance contract under several special risk measures are given, and the method to decide parameters as well.
      
For these systems, effective algorithms for computing probability indexes (risk levels) and loss expectation (risk measures) for undesirable random events (failures, emergencies, etc.) associated with the operation of a system are designed.
      
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This paper proposes a new concept of effect risk resulting from the uncertainty and resultant value of the objective. The expressions of effect risk function and effect risk entropy are defined and contructed, and their main mathematical properties ate analysed. It also expounds the reasonability of the effect risk function and effect risk entropy as the effect risk measure of the object state and decision action.

本文提出由客观状态的不确定性和结果价值两方面因素造成的效用风险的概念,定义并构造效用风险函数和效用风险熵的函数表达式,剖析其主要数学特性,阐明效用风险函数和效用风险熵作为客观状态和决策行动方案的效用风险测度函数的合理性.

Evaluation System of National risk for Transnationala Investment Project (TIP)plays a significant and practical role both in guiding enterpreses to select a beneficial TIP and in assisting governmental departments to check its feasibility. This paper focused on the study of measurement and quantification of National risk , by using a three-level and thirty-four-factor Country Risk Evaluation System. Applying the score of every factor sdevaluated by experts to the model , we obtain the results which are...

Evaluation System of National risk for Transnationala Investment Project (TIP)plays a significant and practical role both in guiding enterpreses to select a beneficial TIP and in assisting governmental departments to check its feasibility. This paper focused on the study of measurement and quantification of National risk , by using a three-level and thirty-four-factor Country Risk Evaluation System. Applying the score of every factor sdevaluated by experts to the model , we obtain the results which are primarily consistent with those obtained by several esteemed international institute.

境外投资项目的国家风险评价系统,对指导企业关于境外投资项目的可行性研究,主管部门的审核都有着十分重要的现实意义.本文运用三个层次涉及34个因素的国家风险评价系统,对国家风险的测度和量化作了有益的研究,以专家对各项因素的打分代入模型,所得的结果.与国际上几家著名机构所得的结果基本一致。

This paper, based on the basic analysis of drawbacks of Markowitz's portfolio model and portfolio models on the absolute deviation risk measure and E-Sh risk measure, develops a portfolio optimization model based on the new risk measure. The paper also provides methods for determing the optimal portfolio investment weights and portfolio efficient frontier. In addition, the paper presents comparative analysis about these models, and illustrates the effectiveness of our model with a practical example.

在分析Markowitz组合证券投资模型、绝对离差风险测度模型和E-Sh风险测度模型的基础上,针对上述模型的不足之处,提出了新的风险测度下的组合证券投资最优化模型,给出了计算最优投资权重系数和确定有效边界的方法.并结合案例分析了最优化模型的有效性

 
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