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macaulay duration
相关语句
  macaulay久期
     The traditional duration models contain Macaulay duration, Modified duration and Fisher-Weil duration. And the stochastic duration models contain two kinds of single-factor stochastic duration and a kind of two-factor stochastic duration.
     包括各种传统的久期模型和随机久期模型,其中传统的久期模型本文分析了Macaulay久期、修正久期和Fisher-Weil久期,随机久期模型本文分析了两种单因子随机久期和一种双因子久期。
短句来源
  “macaulay duration”译为未确定词的双语例句
     Macaulay Duration Gap Management and Flux Ratio Adjustments in a Condition of Interest Rate Change
     利率变动下的存续期缺口管理和流量比例调整
短句来源
     In addition, the paper compared the interest rate risk of commercial banks under two duration exposures - the Macaulay duration exposure and the effective duration exposure.
     此外,本文结合麦考莱持续期缺口和有效持续期缺口,设计比较了商业银行中隐含期权带来的利率风险。
短句来源
     Based on discussions of three significative implications of Macaulay duration, this paper analyzes and compares several important duration models published recently, including directional duration, partial duration and approximate duration. At last, the paper briefly discusses the problems when applying these models to Chinese market.
     本文在深入探讨Macaulay持续期的三种重要含义的基础上,详细地分析和比较了近期提出的几种主要持续期即:方向持续期、部分持续期和近似持续期,最后简单讨论了将这些持续期模型及其免疫策略用于中国市场应注意的问题。
短句来源
  相似匹配句对
     On the Duration of the Execution of Mortgage
     抵押权行使期间探疑
短句来源
     spreading time duration;
     扩散过渡时间;
短句来源
     Macaulay Duration Gap Management and Flux Ratio Adjustments in a Condition of Interest Rate Change
     利率变动下的存续期缺口管理和流量比例调整
短句来源
     APPROXIMATE COHEN-MACAULAY MODULUS
     逼近Cohen-Macaulay模
短句来源
     In addition, the paper compared the interest rate risk of commercial banks under two duration exposures - the Macaulay duration exposure and the effective duration exposure.
     此外,本文结合麦考莱持续期缺口和有效持续期缺口,设计比较了商业银行中隐含期权带来的利率风险。
短句来源
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  macaulay duration
Macaulay duration is a well-known and widely used interest rate risk measure.
      
Macaulay duration and convexity, as well as stochastic duration considered in Cox et?al.
      


The finance liberalizing and the interest rates marketing have brought much risk to the commercial banks.The risk managements,especially the interest risk managements play an important role in the commercial bank managements.And,the Macaulay Duration gap managements are the main approach in various interest management measures.Appropriate construction of duration gap can free net worth from interest alteration.With flux ration adjustments,the duration gap can even jump the traces of interests.So,integrating...

The finance liberalizing and the interest rates marketing have brought much risk to the commercial banks.The risk managements,especially the interest risk managements play an important role in the commercial bank managements.And,the Macaulay Duration gap managements are the main approach in various interest management measures.Appropriate construction of duration gap can free net worth from interest alteration.With flux ration adjustments,the duration gap can even jump the traces of interests.So,integrating the duration gap managements with the flux ration adjustments into the risk managements is essential to commercial banks of China.

在金融自由化和利率市场化的浪潮下,商业银行所面临的利率风险防范问题日益突出。利率风险管理成为商业银行经营管理中极其重要的环节。马考勒存续期缺口管理是现代西方商业银行的主要风险管理手段之一,合理构造存续期缺口可使商业银行净值不受市场利率影响,而流量比例调整可以克服存续期缺口受制于利率变动的不足,综合利用存续期缺口管理对我国商业银行建立风险管理机制起着重要的作用。

Brown Bridge model and Macaulay Duration model are adopted to study the risk characters of Chinese government bondsWe find that maturity and holding period are two important factors that influence bond risk,but bond price doesn'tIn Brown Bridge model fluctuation ratio fits well than variance as an indicator of risk

论文以1998年至1999年期间上海证券交易所上市的国债为对象,在国内首次采用布朗桥运动模型分析了国债价格的波动特征,并进一步用久期方法分析了当前货币政策下的债券利率风险特征。研究表明剩余期限、持有时间是影响债券风险的重要因素,债券风险与债券初期价格和到期价格无关,在布朗桥模型中采用波动幅度作为风险指标要优于方差。

The importance and urgency of the interest rate risk management is projected in the accelerated process of interest rate marketization. As an important immunizing tool against interest rate risk management, duration-matched strategy has received the rapidly development recently. Based on discussions of three significative implications of Macaulay duration, this paper analyzes and compares several important duration models published recently, including directional duration, partial duration...

The importance and urgency of the interest rate risk management is projected in the accelerated process of interest rate marketization. As an important immunizing tool against interest rate risk management, duration-matched strategy has received the rapidly development recently. Based on discussions of three significative implications of Macaulay duration, this paper analyzes and compares several important duration models published recently, including directional duration, partial duration and approximate duration. At last, the paper briefly discusses the problems when applying these models to Chinese market.

利率市场化进程的加快凸现利率风险管理的重要性和迫切性。作为一种利率风险管理的重要免疫工具,持续期配比策略在近些年来有了较大发展。本文在深入探讨Macaulay持续期的三种重要含义的基础上,详细地分析和比较了近期提出的几种主要持续期即:方向持续期、部分持续期和近似持续期,最后简单讨论了将这些持续期模型及其免疫策略用于中国市场应注意的问题。

 
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