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一致性风险
相关语句
  coherent risk
     Dissertation investigated the problems of optimal liquidation strategy and Liquidity–Adjusted Expected Shortfall (La-ES) belonging to the coherent risk measure.
     本文研究了一致性风险测度-流动性调整期望损失(Liquidity-Adjusted Expected Shortfall:La-ES)和机构投资者的最优变现策略问题。
短句来源
     A New Dynamic Coherent Risk Measure DCVaR
     一种新的动态一致性风险度量DCVaR
短句来源
     Dynamic Coherent Risk Measures
     动态一致性风险度量
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
     This paper takes the investment period as the point of division, via coherent standard of risk measurement, presents a new dynamic coherent risk measure DCVaR,and gives a discussion of CVaR.
     文章以投资期限的划分为分界点,以风险度量的一致性为纽带,提出了一种新的动态一致性风险度量方法DCVaR。
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  “一致性风险”译为未确定词的双语例句
     VaR,Expected Shortfall and Measurement of Consistency Risk
     VaR、ES与一致性风险测度
短句来源
     The New Tool of Coherence Risk Measurement CDaR And its Application
     一致性风险度量新工具CDaR及其应用
短句来源
     This paper indicates that the translation axiom,which is one of the coherent measures of risk axiom,is not reasonable.
     由于一致性风险测度公理中的平移不变性公理存在不合理性,故可将该该公理从一致性风险测度公理中去掉.
短句来源
     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
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  相似匹配句对
     Dynamic Coherent Risk Measures
     动态一致性风险度量
短句来源
     VaR,Expected Shortfall and Measurement of Consistency Risk
     VaR、ES与一致性风险测度
短句来源
     Risks exist impersonally.
     风险是客观存在的。
短句来源
     If you do nothing,the risk will come
     无为的风险
短句来源
     Coherence is Beautiful
     美丽的一致性
短句来源
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  coherent risk
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 non-additive 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 introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et al.
      
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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。

This paper takes the investment period as the point of division, two types of financial risk measurement including static and dynamic are given clearly. The coherence between two methods is analyzed and verified via coherent standard of risk measurement. Finally, based on the Choquet integral of distortion probability, the characterization of dynamic coherent measures is discussed. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is...

This paper takes the investment period as the point of division, two types of financial risk measurement including static and dynamic are given clearly. The coherence between two methods is analyzed and verified via coherent standard of risk measurement. Finally, based on the Choquet integral of distortion probability, the characterization of dynamic coherent measures is discussed. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is very important to long portfolio.

以投资期限的划分为分界点 ,提出了静态和动态两种类型的金融风险度量方法。以风险度量的一致性标准为纽带 ,分析和证明了动态风险度量的一致性。最后 ,对一般概率通过函数变换 ,应用 Choquet积分思想 ,对动态一致性风险度量的特征进行了探讨 ,指出它在实际应用中为多期风险度量方法提供的理论依据 ,对长期组合投资具有重要的现实指导意义。

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.

 
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