value-at-risk 中文意思是什麼

value-at-risk 解釋
風險值
  • value : n 1 價值；重要性；益處。2 估價，評價。3 價格，所值；交換力。4 （郵票的）面值。5 等值；值得花的代...
  • at : 1 Air Transport（ation） 2 【電學】 ampere turn 3 antitank 4 Atlantic Time 5 alternative technolo...
  • risk : n 1 風險，危險；冒險。2 【保險】（損失的）風險（率）；保險金額；被保險人，被保險物。vt 冒…的危險...
  1. Value at risk is a tool which be widely used in application to financial risk management and regarded as extreme quantile method

    風險價值（ var ）是金融風險管理中應用最廣泛的一種工具，其測量方法可以看作是一種極端分位數的方法。
  2. 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。
  3. Across the industry, value - at - risk ? a measure of potential losses on a bad trading day ? has risen steadily

    整個行業的風險價值（用於計量在某一不利的交易日可能遭受的潛在價值損失）穩步上升。
  4. In light of market risk, there are sensitivity measurement method and volatility measurement method as well as the concepts about risk measurement, such as variance, duration, 3 - coefficient, 5 - coefficient and value at risk. and in light of credit risk, there are accounting - based ratio measurement method and volatility - based measurement method, as well as the related concepts, such as credit rating, z - score, transition matrix, expected default frequency

    其中，針對市場風險度量的方法包括靈敏度測量風險方法和波動性測量風險方法，與之相關的風險度量概念有方差、持續期、系數、類系數和在險價值；針對信用風險度量的方法包括基於財務比率的風險測量方法和基於波動性的風險測量方法，與之相關的風險度量概念有信用評級、 z分數、轉換矩陣、違約頻率。
  5. 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。
  6. Generalized pareto distribution ; returns ; tail index ; value at risk ; capital - loss coefficient

    Gp分佈收益率尾指數風險值資本損失系數
  7. Portfolio theory introducing a value - at - risk constraint

    引入風險價值約束的投資組合理論
  8. Value - at - risk models aggregate the several components of price risk into a single quantitative measure of the potential for losses over a specified possibility and time horizon. but those models still do not give an answer to the question “ what will be lost in the worst - case scenarios ? ” which every financial institution have to ask itself

    隨后提出的var概念以最簡單的形式告訴投資者，其所持有的頭寸在一定的概率保證程度下將來可能的最大損失額，並且自80年代首次被應用於測量交易性證券的市場風險后， var獲得了廣泛應用。
  9. During the course of establishing this kind of system, we have adopted some advanced instruments and analyzing ways, and used var ( value at risk ) as the base of making models. we also have used regression and historical simulation to evaluate the risks existing during the course of commercial banks " operation, upgraded these ways to make them cooperate with china ' s economic practice, pointed out some indexes and concepts which have practical significance, expanded the academic fields, and connected the normal ways and practical ways together. in this thesis, we have paid more attention to the practical research

    在進行風險評估體系的構建過程中，本文充分借鑒了國外先進的研究工具和分析方法，以var （ valueatrisk ）方法作為相關模型構建的數理基礎，採用了回歸分析、歷史模擬等系列研究工具，對我國商業銀行經營過程中的風險情況進行了跟蹤模擬與綜合測評，並結合我國具體現實對所用方法進行了升級與改造，提出了一些具有較強使用價值的指標概念，並在此基礎上進行了進一步的理論延伸，做到了規范研究與實證研究相結合，著重突出了現實意義。
  10. 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。
  11. 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。
  12. It focuses on the entire management and measure of all bank risks, such as credit risk, mobile risk, interest rate risk, market risk, operating risk and discharge risk, etc. it adopts the unified measuring standard to all risks - value at risk

    銀行全面風險管理是近幾年由國外大銀行發起的銀行風險管理革命。它注重對銀行的信用風險、流動性風險、利率風險、市場風險、操作風險、清償風險等銀行風險從整體上進行管理和衡量。
  13. 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。
  14. The accord also enshrines an approach called value at risk ( var ), a risk - management technique that, like a gambler ' s optimism, has a worrying tendency to swell the longer things are going well

    協議也極力推崇一種風險管理的技術叫做風險價值（ var ） ，這種技術象賭博者的樂觀精神，有一種增強較長期進行的較好的事的令人擔憂的傾向。
  15. Study of value at risk based on event risk

    考慮事件風險的在險價值研究
  16. Value at risk ( var ) is a new method to calculate the risk. in this paper, var is applied to make an integrative research on market risk and credit risk which are the most important and occurred frequently

    並利用var （在險價值）這種測量風險的新技術，重點對表外業務中出現頻率最高、最重要的市場風險和信用風險的計量方法進行了系統研究。
  17. 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。
  18. So traditional risk management handling with risks independently is sometimes inefficient. many accurate risk measures, such value - at - risk, are applied to practice. these innovations of thoughts and techniques make " insurance enterprise - wide risk management " feasible

    其二為各種定量風險測度工具的廣泛應用，這主要表現為「在險價值」 （ value - at - risk ， var ）以及所衍生的風險度量工具已成為標準技術。
  19. The risk estimation of the exposure to market risks as the risk - management ' s core, there are many risk - management models of estimating the risk of financial markets, in this paper, the author first analyses the characteristics of the current financial market risks, then makes a comprehensive systematic analysis and estimation of all kinds of risks present in financial market with the help of var ( value at risk ), a world - wide valuably and widely accepted brand - new risk management tools. finally, a substantive suggestion about the applications of var models to the financial markets risk management of our country is provided on the basis of the detailed analysis of the calculation of all kinds of var models, along with their advantages and disadvantages and also the applications. with the development and betterment of our country ' s security markets, the entry into wto and openness of financial market, financial product innovation and extensions of traditional bank off - balance business, the augmentation of market risks will surely lead to risk management innovation and identity to international standards. therefore, the research of financial market risk management signifies a lot not only in a realistic sense, also in a guideline sense. this is just where this paper aims

    針對金融市場風險管理的核心主要是對風險的測量，本文先分析了當前金融市場風險的特點，然後應用近年來在國際上受到廣泛重視並開始為大家所接受的一種全新的風險管理工具? 「在險價值」 （ valueatrisk ） var的基本思想，全面、系統地分析和測量了金融市場所存在的各種風險，並對各種var基本模型的計算、優缺點及應用作了詳細分析，最後對var模型在我國金融市場風險管理的應用提出了實質性的建議。隨著我國證券市場的發展壯大和不斷完善，及加入wto和金融市場的開放，金融產品的創新及傳統銀行表外業務的不斷拓寬，市場風險的加大必將帶來風險管理的創新並同國際接軌。所以金融市場風險管理的研究不僅具有現實意義，更具有指導意義實，這也是論文的出發點所在。
  20. Especially the paper studies the value - at - risk ( var ) theory

    Var風險計量方法是本文的一個重點研究內容。
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