value-at-risk model 中文意思是什麼
value-at-risk model
解釋
風險數值模式-
Specially, based on risk - metric and factor variables, the author discusses multi - factor asset pricing model. in theoretical analysis, the author attempts to release the assumption of index ' s random walk, proves a portfolio selection model suitable for the linear index level moreover, based on assets un - exchangeable, the author brings forward asset pricing models for b - shares, h - shares and non - circulated - shares. the author also brings forward multi - factor asset pricing model based on risk - metric indices, such as coefficient of beta, standard variance, standard semi - variance, average absolute deviation, value at risk, and factor variables, such as circulated market equity, exchange ratio, short - term historical return
在理論分析時，作者嘗試放鬆指數水平滿足隨機遊走過程的假設，推導出指數水平呈線性趨勢的資產組合選擇模型；此外，作者基於資產不可交易這一假設，提出了b股、 h股和非流通股等情形的資產定價模型，並基於系數、標準差、標準半方差、平均絕對離差和風險價值等風險度量指標以及流通市值、換手率、短期歷史收益率等因素變量提出了四因素資產定價模型。 -
On the one hand, the author discusses markowitz ' s mean - variance portfolio selection model, single - index portfolio selection model, and simplified model of optimal portfolio selection. at the same time, based on the rules of optimal portfolio selection and other risk - metric indices, the author also discusses mean - absolute deviation model, mean - semivariance model and mean - value at risk model. on the other hand, the author discusses the asset pricing model, including the capital asset pricing model ( capm ), the multi - factor asset pricing model, and the arbitrage pricing model ( apt )
一方面，作者討論了馬科維茲的均值-方差資產組合選擇模型、單指數資產組合選擇模型、最優資產組合選擇的簡化模型，同時根據最優資產組合選擇原則和其他風險度量指標，討論了均值-絕對離差、均值-半方差和均值-風險價值資產組合選擇模型；另一方面，作者討論了資產定價模型，包括多因素資產定價模型和套利定價模型，特別是在四種因素變量的基礎上，探討多因素資產定價模型。 -
The model of this paper explores the links between the following factors and the credit rationing in china. the change of banks " attitude to credit risk may lead to credit rationing ; banks give much more emphasis on the trade cost and the payable value of collateral, which may give rise to credit rationing ; the decreasing of asset price during economic stagnation produces credit rationing ; the bias of banks " objective function from the maximization of profit and the transformation of the function relating to the reform of the financial system cause credit rationing ; if different parts of the whole markets are not integrated, the credit in the part with low capital return ratio will be rationed. during economic recession, banks tend to ration the credit in the high - risk market ; the removing of interest ceiling will narrow down the interest spread of deposit and credit at least during a period, which may strengthen credit rationing ; meanwhile, the vulnerable borrowers, including small and middle - sized enterprises, will get more credit from banks even though they have to pay a higher interest rate
論文的模型探討了下列因素和中國信貸配給現象之間的聯系：商業銀行對信貸風險的態度變化，在辨別和控制信貸風險上開始投入大量的成本，這一過程會導致信貸配給；商業銀行對與法治環境相關的交易成本和抵押品清償價值的日漸關注會導致信貸配給；宏觀經濟緊縮時期資產價格下降會導致信貸配給；商業銀行經營目標函數偏離利潤最大化，近幾年金融業改革過程使商業銀行目標函數發生變化，這一變化過程可能導致信貸配給；在市場分化的條件下，收益水平低的市場會遭受信貸配給；在經濟下滑時期，商業銀行尤其會對高風險市場配給信貸；利率市場化使商業銀行的存貸利差至少在一段時間內縮窄，利差縮窄可能加重信貸配給的程度：在利率市場化條件下，弱勢借款者，包括中小企業，遭受信貸配給的程度可能得到緩解，但支付的貸款利率水平將會升高。 -
Through the systematical analyses measure, which combine classical model of project management and latest modern theory, the thesis integrative analyses the every factor which belong to scope management s time management 、 cost management 、 quality management 、 risk management 、 human resource management 、 procurement managements communication management and integration management of hunan international convention and exhibition center. especially research the effective and practical measure, which include time management of wbs s systematic model measure of risk management s earned value of investment control etc. it has continuous improved and developed the practice of project management, has realized the transform procedure from theory study to practical application. at the same time, the thesis discuss the development thinking of convention and exhibition economy, discuss the future study direction of project management science in our country, summarizes and evaluates the achievement which result from exce llent project management
論文採用項目管理經典模式與最新前沿理論相結合的系統分析方法，對湖南國際會展中心項目的范圍管理、時間管理、成本管理、質量管理、風險管理、采購管理、人力資源管理、溝通管理和集成管理中諸要素進行了優化分析，重點研究了基於wbs進度管理、系統模型法風險管理、掙值法投資控制等行之有效的、符合項目實際的項目管理技術方法，並在項目管理實踐中不斷完善和發展，實現了從理論研究到實踐應用的轉化過程。 -
Based on value - at - risk we give an example of how to measure the credit risk and provide the process of applying this method in risk management. in order to build a risky prediction model, we select 4 financial indexes from 16 ; these are the ratio of bed debt, the operating cost, the asset - profit ratio and the liquidity ratio
以農村信用社為實證研究的對象，從16個財務指標中篩選出真正對信用社發生危機有顯著影響的4個指標：不良貸款比率、營業費用比率、資產利潤率和資產流動性比率，建立了農村信用社風險預警機制的模型。 -
Based on the definition of the space forecasting uncertainty, value at risk ( abbreviated as var ) model was developed to identify the risk caused by the uncertainty of space forecasting
基於生產面積預測不確定性的定義，本文應用風險價值（ valueatrisk ，簡稱var ）方法對這一不確定性帶來的風險進行識別並決策。 -
Then, this paper introduce a new method of measuring the risk ? ? cohesive value at risk ( cvar ), which is more logical than the var on optimizing the portfolio according to the characteristic of the stock bargaining market of our country, it constructs a corresponding index of liquidity risk of the stock assert of the open - end fund, and by constructing a optimized model in cvar, the liquidity risk of stock assert of the open - end fund is efficiently controlled
接著，本文引入了一種全新測量風險的方法cvar方法，並且根據我國交易市場的特點構造了相應的開放式基金股票組合的流動性風險指標，通過構造cvar調整的投資組合風險優化模型有效的控制了股票資產組合的流動性風險。本文的研究表明: （ 1 ）開放式基金股票組合的流動性風險具有明顯的尾部風險。 -
The thesis uses the var method ( value - at - risk ) to measure the credit risk of the portfolio, taking the loss of the portfolio as the criterion. the analysis is based on the default model and the credit metrics model respectively
論文內容使用了var （ value - at - risk ，風險在險價值）方法，以貸款組合損失作為衡量信用風險的尺度，分別基於違約模型和creditmetrics模型進行了信用風險的量化分析。 -
The macroprudential indicators ( mpis ) and the value - at - risk ( var ) model are explored and developed to meet the above goal
宏觀謹慎指標和var模型正是基於這一目的而被開發利用的。 -
Some properties of the generalized pareto distribution are discussed. then gp model is used to analyze the returns to shanghai stock index, shenzhen stock index and the stock prices of two specific companies. a quantitative indicator of extreme changes in stock index and stock price is mentioned. the estimation of value - at - risk is also discussed
討論了gp分佈模型的某些性質，利用此模型對上證指數深證指數和2家公司股票價格的收益率進行分析，給出股票指數和價格極值波動程度的量化指標和風險值var的估計值。 。 -
The first part of this text recommends and explain the intension of the system of executive stock option with its key element, characteristic, current development, positive and negative effects, etc. which offering basic support for following analysis ; the second part, described the behavior of stock price and black - scholes option pricing model from the angle of quantitative analysis, and discuss the value factor of stock option with its encouragement, analyzed the change of every factor in black - scholes option pricing model impact on option worth ; then analyzed the leverage effects and manager ' s morals risk model of executive stock option, at last, considering the main defect existing in the system of executive stock option at present, that is : it depends on stock market unduly, and the stock option incomes of manager has no relationship with manager ' s achievement. this text bring forward the manager synthesizes achievement and appraises model
本文的第一部分全面介紹和闡述了經理股票期權制度的內涵，構成要素，特點，發展情況和正負效應等，為後面的分析提供了基本支持；第二部分，從定量分析的角度出發描述了股票價格行為和black - scholes期權定價模型，並以此為理論基礎探討了股票期權的價值因素和激勵性，分析了black - scholes期權定價模型中各因素的變化對期權價值的影響；接著分析了經理股票期權的杠桿效應和經理人道德風險模型，最後，針對當前經理股票期權制度存在的主要缺陷即：過度依賴股票市場，經理的股票期權收入與公司的業績缺乏相關性這一問題提出了經理綜合業績評價模型。 -
Chapter 3 introduces the basic models and algorithms of prevail used risk measurement method - value at risk ( var ). also back - tests of the models are checked and comparisons between them are investigated. then chapter 3 provides evidences from china ' s stock market that estimating functions model and garch - m model are fitted and verified respectively
第三章詳細地介紹當今已有的各種var估計模型的方法、發展動態以及back - test檢驗，並比較了其優缺點，同時指出其各自的適用范圍，重點應用估計函數模型和garch - m模型對我國股票收益率數據進行實證分析和模型檢驗。 -
Finally, the subject judgement model is applied as an assessment model of ships collision avoidance, and the mean sj value of sea areas is suggested as index of collision risk degree. at same time a relative membership model of fairway risk is established, which assess the danger degree of all fairways of the dalian port. the evaluation results more tally with the results of simulation
為對所提出的模擬模型進行檢驗分析，本文還提出了航道危險度的相對隸屬度模型，並以大連港為實例分別對該港的各航道段水域危險度情況進行了評價，所得的結果與模擬結果較為相符，從而證實了本文所提出的模擬模型具有可信性和可行性。 -
On the basis of the classical mean - variance model, the article proposes the asset allocation model with value - at - risk constraint and transaction cost
摘要在經典均值方差模型的基礎上，提出了存在交易費用時基於風險價值約束的資產配置模型。 -
Value - at - risk model
風險數值模式 -
In chapter three, we introduce various kinds of value - at - risk models, point out their virtues and shortcomings, and compare their fields of application. moreover, this paper put forward two model - - block maxima model and peak - over - thresholds model - - provide the gist of risk control and decision - making by calculating the value - at - risk
比較了各種計算方法的優缺點，指出各自的適用范圍，詳細介紹了兩類極值模型： bmm模型和pot模型，並計算出var值，為風險控制和決策提供了依據。 -
It can be found that the two models can measure the credit risk better and their numerical values of the var are relatively close, which means that at a certain confidence level, the portfolio ' s maximum loss calculated under the default model is familiar to the maximum loss in value resulted from the credit metrics model. however, under the default model the standard deviation of the loss of the loan is a bit more than the one which deviates from the average value of the loan under the credit metrics model ; in addition, the conclusion also demonstrates that the two models have some differences in the measuring the capital reserve to some extent
從結果可以看出，這兩個模型均能較好地度量銀行貸款信用風險，其計算所得的var值比較接近，說明在給定置信水平下所能達到的最大損失和所能達到的價值上的損失在數值上是相近的；不過，違約模型下貸款損失的標準差要比creditmetrics模型下的貸款價值偏離其均值的標準差要大些；此外，結論還表現出二者在計量資本金要求上有所差異。 -
In this paper, based on finance appraisal of list company and commercial bank, introducing the value - at - risk to fetch up the traditional financial index system, and further creating secondly - relative appraisal model based on the analysis of principal components and dea takes the non - finance factor into account ; and then, through the proving study of eight listed bank, it shows that the listed bank in shanghai and shenzhen is not as strong as in hongkong
本文在評述有關上市公司財務評價和商業銀行財務評價的基礎上，引入測量金融市場風險的指標var以彌補傳統上市公司或商業銀行財務評價指標體系的不足，並構建將主成分分析和數據包絡分析相結合的二次相對評價模型以彌補對非財務性指標考慮的不足；然後以滬、深、港8家上市銀行為樣本進行實證研究，研究結果表明，內地上市銀行與香港上市銀行在財務績效和經營管理者主觀有效努力程度上存在一定差距。
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