var model 中文意思是什麼

Study of price discovery of china ' s farm produce futures based on var model

模型的中國農產品期貨價格發現的研究

Hard wheat futures price discovery based var model

模型的硬麥期貨價格發現研究

One is the evt - based var model ( including gev model and gpd model ), the other is the quantile regression var model. secondly, i evaluate predictive performance of a selection of var models for chinese stock market data. these var models include riskmetrics method, historical simulation, monte carlo method, and the three recent models based on quantile regression and extreme value theory

本文首先重點探討了極值分佈var模型（包括廣義極值分佈和廣義帕雷托分佈兩個模型）和分位數回歸var模型；然後在此基礎上將六個var模型（包括上述三種模型、歷史模擬法、 riskmetrics方法以及蒙特卡洛法）實證應用於估計上證指數、上證180 、深證成指、深證綜指95 var和99 var ；同時採用區間預測法、損失函數法和符號檢驗法對這些var模型進行了選擇評估。

The empirical analysis on the stock market based on var model

模型在股市中的實證分析

The application of var model to estimating stock risk

模型及其在股票風險評估中的應用

It is found that the character of liquidity changes with the development of chinese stock market, and also found is the empirical evidence consistent with the notion of “ illiquidity premium ” in 2002, using such econometric methods as var model, granger causality test etc

研究表明，隨著中國證券市場的發展，市場流動性特徵也在發生變化， 2002年中國股票市場出現了「非流動性溢價」現象。

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。

This article attempts to test the adequacy of current calculation rules of capital for securities firms in china, and to compare the efficiency of comprehensive approach and simplified portfolio approach in securities markets of china on the basis of var model, and then to find out the most optimal method to calculate the capital for securities firms in china

各國監管機構對券商的凈資本要求的原理與巴塞爾協議中對銀行的資本充足性規定的原理類似。各國對于證券公司的資本充足性規定基本可以分為兩個部分，一是基本規定，二是凈資本計算方法的規定。

J. p. morgan put forward the var model instead of the techniques above mentioned. the var model is easy to understand, and could measure comprehensive risk of finance institution or portfolio

摩根公司針對以往市場風險衡量技術的不足而提出了var模型，這種模型便於掌握和理解，又能反映金融機構或投資組合所承擔的風險。

Initial - issue underwriting risk includes policy risk, issuer risk, bought - deal risk. right - issue underwriting risk includes policy risk, bought - deal risk and market risk. the author measures the additional underwriting business risks with var model

證券公司的新股承銷業務面對的風險主要有政策風險、發行人風險、包銷風險和信用風險等；配股承銷業務則主要有政策風險、包銷風險和市場風險等。

Fiscal revenue comes mainly from tax, it is important to make correct tax forecast model for the adjustment of macro economy. in this paper i use econometric methods to build up var model, vecm, ecm and stepwise regression tax forecast model

本文運用現代計量經濟方法，分別建立了向量自回歸（ var ）模型，向量誤差修正模型（ vecm ） ，誤差修正模型（ ecm ） ，逐步回歸稅收收入預測模型。

Secondly, it discusses the core issues on contingent claims of the risk - return and managerial procedures of risk identifying, measuring, controlling and decision - making. thirdly, it introduces the theories of portfolio management, asset pricing, arbitrage pricing, options pricing, hedge, comprehensive risk management. next, it expatiates the current risk management method which are extensively used in the real world, especially, the applying of var model in our country. finally, on the basis of above, the paper sets forth presentiment and administrative system

第三章首先分析了投資銀行風險管理的內涵、風險管理的目標，闡述了風險管理的軸心-風險和收益的相機抉擇和風險的識別、衡量、控制和決策的管理程序。詳細介紹了資產組合管理理論、資本資產定價理論、套利定價理論、期權定價理論、套期保值理論和綜合風險管理理論等風險管理理論工具。對目前在國內外應用成熟的風險管理方法也作了闡述，特別對var模型在我國的應用進行了探討。

Using var model this paper investigates the existence of a long - run relationship between government non - tax revenue and economic growth, the mutual effects among non - tax revenue, government expenditure, public investment and gdp

摘要本文利用var模型，系統地分析了政府預算外非稅支出、購買支出、基建支出與經濟增長的短期調整及長期均衡關系。

Secondly, this thesis evaluates some main theories and method about market risk measurement. such as mean - variance criterion of markowitz and risk decentralization principal, single - factor model, multifactor model, down - risk model, black - scholes model and var model based on the calculation of loss. it also discusses the suitable conditions and defects of every theory and method, and think that var is a more perfect method for risk measurement by comparison

其次，評價了有關市場風險度量的一些主要理論和方法，如markowitz的均值?方差準則和風險分散原則、 capm模型和風險的市場因素模型、單因素模型、多因素模型、 downside - risk 、期權定價理論和現代基於損失計量風險的var等風險度量理論，並討論了各種風險度量方法的具體適用條件及相應的缺陷。

Then, this paper empirically tested the validation and predictive accuracy of different var risk management model in the domestic financial market. finally, with the analysis of modem financial risk management development trend and the current domestic financial risk management situation, this paper made a prospect for the application of this model in the construction of domestic financial risk management system. through the analysis, the main conclusions are as follows : ( l ) the traditional mean - variance model is the special example of the portfolio selection based on the var risk management model for the case that the returns of the portfolio are assumed to be normally distributed ; compared with the mean - variance model, the var risk management model is more comprehensive and accurate in the measurement of the portfolio risk, so based on the var model, the investors can allocate the asset more effectively. ( 2 ) the var risk management model can provide the timely and comprehensive risk information for the top risk manager, so it is very helpful to the improvement of total risk management efficiency. ( 3 ) based on the var model, the raroc performance valuation approach can reflect the real performance of the portfolio manager and provide the coherent standard for the allocation of risk limitation and the construction of the incentive compatibility constraint mechanism in the financial instiutions

通過研究分析，本文主要得出如下結論： （ 1 ）傳統的markowitz均值? ?方差模型僅僅是在資產組合收益率正態分佈假設條件下基於var風險管理模型進行資產組合選擇的特例，與均值? ?方差模型中的方差風險度量方法相比， var風險管理模型能夠更全面、更貼切地衡量資產組合的風險，且基於此模型能夠更有效地進行資產配置決策； （ 2 ） var風險管理模型能夠滿足更高層次風險管理者對風險信息的需求，有助於整體風險管理效率的提高； （ 3 ）基於var風險管理模型的raroc績效評價能夠反映資產組合管理人的真實業績，從而為金融機構風險限額的分配和激勵約束機制的制定提供統一的標準； （ 4 ）國內證券市場資產組合收益率服從正態分佈的假設明顯不成立，實證檢驗表明基於資產組合收益率正態分佈假設條件下的方差? ?協方差模型對國內資產組合風險的預測存在較大的偏差，由於文中證明在收益率正態分佈假設條件下基於方差? ?協方差模型進行資產組合選擇的結果等價于markowitz的均值? ?方差模型，因此，均值? ?方差模型對國內資產組合風險的預測同樣會存在著較大的偏差，而半參數var風險管理模型則能夠取得較好的預測衡量效果； （ 5 ） var風險管理模型符合未來金融風險管理的發展趨勢，基於var風險管理模型建立內容提要風險限額內控體系、風險信息披露體系和業績評價體系，並進行金融監管，將有助於國內金融機構內部風險管理方法和外部監管技術跟上國際金融風險管理的發展潮流。

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。

In the first part, we analyze the risk and reasons that a securities corporation in china is facing at present, then develops a securities corporation risk control system based on the realities in china by the ways of advanced qualitative management pattern from oversea. in the second part, we consider the existing situations that market risks became a major problem to a securities corporation, we have a method to measure developed market risk by adopting an advanced quantitative model var which is popular internationally, and we focus on studing risk metrics ( var - covar ) application in securities market of china practically. we conclude that var model is useful and effective at controlling market risks in china by our analysis and test

第一部分通過對證券公司風險及風險成因的分析，借鑒國外先進管理模式提出了構建符合中國國情的證券公司風險控制體系，對目前我國證券公司主要業務的風險點及風險管理進行闡述，並佐以案例；第二部分針對市場風險日益成為證券公司主要風險的現狀，引入了國際上最廣泛使用的市場風險控制方法? ?風險價值法（ var ） ，從實用角度重點研究了方差協方差法在我國證券市場的應用，通過實證分析得出了在我國使用var控制市場風險是切實可行的結論。

Var model and its application for managing financial risk

模型及其在金融風險管理中的應用

Backtesting and evaluating var model : a survey

模型回測技術及其評價

On application of var model to the risk management of our securities investment fund

模型在我國證券投資基金風險管理中的應用