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风险度量     
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  risk measurement
     The modern credit risk measurement model includes KMV model, Credit Metrics Model, Credit Risk+ model and Credit Portfolio View model, Credit Metrics Model is worthy of our country application in the analysis and contrasts of four modern risk measurement models.
     现代信用风险度量模型包括KMV模型、Credit Metrics Model、Credit Risk+模型和宏观模拟模型,从对四个现代风险度量模型的分析和对比中,本文认为Credit Metrics模型值得我国借鉴。
短句来源
     It's formed the risk measurement model based on BSV(Barberis-Shleifer-Vishny) ideology,by which the traditional behavioral portfolio theory is adjusted.
     基于BSV(Barberis-Shleifer-Vishny)思想建立了一种风险度量模型,据此调整了传统的行为证券组合理论;
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     A Study On Option Risk Measurement of VaR Index
     期权的风险度量指标VaR研究
短句来源
     2. Introducing four credit risk measurement model which are popular abroad . Those are Credit Monitor Model, Credit Metrics, Credit Portfolio View and Credit Risk+ By analyzing the advantage and disadvantage and condition of application of each model, the writer conclude that Credit Risk+ is the right model which is fit for china banks.
     第二,从对信用风险进行量化分析的角度,介绍目前国外的四个主流信用风险度量模型,即Credit Monitor Model, Credit Metrics, Credit Portfolio View以及Credit Risk+。
短句来源
     VaR--a Method of Risk Measurement
     VaR——一种风险度量的方法
短句来源
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  risk measure
     Risk Measure of FX Options Based on Delta-Gamma-Theta Model
     基于Delta-Gamma-Theta模型的外汇期权风险度量
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     The VaR Methods and Its Application in Financial Risk Measure
     金融风险度量VaR方法及其应用
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     The Modification and Optimization of Haezendonck Risk Measure
     对Haezendonck风险度量的修正和优化
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     The Research on the Risk Measure and Portfolio Model for Investment
     风险度量与投资组合模型的研究
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     A New Dynamic Coherent Risk Measure DCVaR
     一种新的动态一致性风险度量DCVaR
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  risk measures
     The Study on Some Problems Concerning Dynamic Coherent Risk Measures and Mean-Variance Optimizations
     动态Coherent风险度量和均值方差优化若干问题的研究
短句来源
     Coherent risk measures are defined on Banach spaces Lp(Ω) where 17 is a probability space and it is proven that a coherent risk measure p : Lp(Ω) → R is lower partial continuous with respect to the Lp norm, if and only if there exists a unique convex and weak* closed set Q of probability measures lying in the dual space Lp(Ω) such that
     本文在Banach空间Lp(Ω)上定义Coherent风险度量p:Lp(Ω)→R,证明了P是下半连续的Coherent风险度量当且仅当存在Banach空间Lq(Ω)中的一个弱闭凸概率测度集Q使得 ,其中 ,推广了[3]中的部分结果.
短句来源
     We first generalize the discussion of coherent risk measures from L~∞ space to the more generally Banach space L~p, and prove that a || · ||_p-norm lower continuous coherent risk measure defined on L~P is necessarily and sufficiently defined by a collect of q-square integrable probability measures where q is the dual index of p.
     我们首先将Coherent风险度量从L~∞空间推广到比之更一般些的L~p空间上,证明了一个定义在L~p上模下半连续的Coherent风险度量必须且只须由一族q-方可积的概率测度来定义。
短句来源
     This paper introduces a new class of risk measures ρg via generalized g-expectation and establishes a representation theorem for ρg when g=-rty-μ|z|
     本文通过广义g-期望引入了一类风险度量ρg,并在:g=-rtg-μ|z|时给出了相干风险度量ρg的表示定理。
短句来源
     Discrete-time Risk Measures Based on Markov Decision Process
     基于Markov决策过程的离散过程风险度量
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  measure of risk
     The Empirically Analysis of Portfolio Optimization Models Based on Different Measure of Risk
     基于不同风险度量的投资组合模型实证分析
短句来源
     Coherent Measure of Risk on Options and Futures
     面向期权期货的一致性风险度量
     The paper studied the internal factor of forming credit risk in commercial bank control, and from risk culture, risk monitoring model, risk monitoring circuit, measure of risk and risk shift and put forward countermeasure and suggestion to total credit risk control of Chinese modern commercial banks.
     本文分析商业银行风险管理落后产生信贷风险的内在机理 ,并从风险文化、风险监控模式、风险监控流程、风险度量和风险转移五个方面提出我国商业银行全面信贷风险管理对策建议。
短句来源
     In this paper, we will give the method to determine the optimal portfolio and relevant results satisfying the given safety criteria under the measure of risk—Conditional Value-at-Risk (introduced by Rockafeller and Uryasev in 2000) according to the three types of Safety-First Criteria.
     本文讨论了证券组合的风险度量问题,特别是风险价值(VaR)和条件风险价值(CVaR)这两种较新的度量方法,给出了安全第一标准下分别用风险价值和条件风险价值作为风险度量的最优投资组合的数学模型,并提出采用遗传算法对其进行求解。
短句来源
     Value-at-Risk(VaR) method advocated in recent years by many financial institutions is an international mainstream technique to measure and monitor finance risk. But the method will be unfillable to coherent measure of risk and lead to non-fullness tail loss measure when portfolio return-loss distributions are not "normally" distributions.
     风险价值(VaR)是近年来国际金融机构所倡导的测度和控制金融风险的国际主流技术,但是它在投资组合损益服从非正态分布的情形时,不满足一致性风险度量,出现尾部损失测量的非充分性。
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  risk measurement
In financial market risk measurement, Value-at-Risk (VaR) techniques have proven to be a very useful and popular tool.
      
Effective risk management requires adequate risk measurement.
      
After discussing the state of the art of operational risk measurement, I briefly review the foundations of input-output analysis and explain how to build an input-output model at the business unit level for a financial institution.
      
The model is then enlarged to allow its use for interest rate risk measurement through a duration vector.
      
In this paper they are applied to risk measurement, leading to a general definition of convex risk measure which corresponds, when its domain is a linear space, to the one recently introduced in risk measurement literature.
      
更多          
  risk measure
Risk aversion is quantitatively expressed in terms of representing functionals (risk measure).
      
For estimation algorithm optimization, we applied a minimax approach with the risk measure in the form of the exceedance probability of the estimate of a prescribed level by an error.
      
The purpose of the article is to formulate, under the l∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed.
      
Finally, we give four axioms that describe necessary attributes of a good financial risk measure and show which of the measures surveyed satisfy these.
      
In order to perform our study, we exploit the new risk measure known as Value at Risk (VaR) and consider insurance contracts which are Mean-VaR efficient.
      
更多          
  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.
      
更多          
  measure of risk
The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk
      
A Note on Partial Insurance and the Arrow-Pratt Measure of Risk Aversion
      
A standard measure of risk calculated from plain vanilla options is the implied volatility (IV).
      
A popular measure of risk exposure is the Value at Risk (VaR).
      
Assuming separable and identical preferences for all individuals, we derive the following results in equilibrium: (a) If the relative measure of risk aversion is less (more) than 1 then more information raises (reduces) income inequality.
      
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