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风险测度
相关语句
  risk measures
    Returns Distribution in Financial Markets and EVT Risk Measures
    金融市场的收益分布与EVT风险测度
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  “风险测度”译为未确定词的双语例句
    The Empirical Research of Behavioural Asset Pricing on The Chinese Stock Market:Measurement of The Noise Trader Risk
    行为资产定价实证研究:中国股票市场噪声交易者风险测度
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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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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 co-movement 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。

>=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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