風險價值指數 的英文怎麼說
中文拼音 [fēngxiǎnjiàzhízhǐshǔ]
風險價值指數
英文
risk value index- 風 : Ⅰ名詞1 (空氣流動) wind 2 (風氣; 風俗) practice; atmosphere; custom 3 (景象) scene; view 4 ...
- 險 : Ⅰ名詞1 (險惡不容易通過的地方) a place difficult of access; narrow pass; defile 2 (危險) dange...
- 價 : 名詞1. (價格) price 2. (價值) value 3. [化學] (化合價) valence
- 指 : 指構詞成分。
- 數 : 數副詞(屢次) frequently; repeatedly
- 風險 : risk; hazard; danger
- 指數 : 1. [經] (比數) index number; index 2. [數學] exponent
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So we consider five financial indexes includes stock b / p, e / p, current stock size, current stock stru and financial levge by the international tradition, then descriptive statistical test method and cross section statistical test method proved that b / p and current stock size have marked effect on the securities yield besides coefficient b. in the third chapter, the article fut forward a risk factor model, estimates yield sequences of every risk factor by weight regression, and then estimates each risk factor coefficient of different stock by time sequence regression, at last we can reckon the portfolio risk o2p and yield rp which consists n stocks
結合國際慣例,文章考慮了股票的凈值市價比( b p ) ,市盈率倒數( e p ) ,流通規模( size ) ,流通比例( stru )和財務杠桿( levge )等五個財務指標,應用描述性統計檢驗和橫截面統計檢驗等多種方法,結果表明,除系數以外,凈值市價比( b p )和流通規模( size )對證券收益率部有重要的影響。在論文的第三章,提出了一個基於多因素的風險因子模型,並用加權回歸和時間序列回歸等方法估計出了不同證券的各風險因子系數(類似於單指數模型中的系數) ,據此,即可衡量出一個包括n只股票的組合的風險_ p ~ 2和收益率r _ p 。In chapter three, the author adopt conventional risk indices including p, bp and full range, and such portfolios management evaluation ratios as jenson ' s alpha, treynor ratio and sharpe ratio to evaluate risk - adjusted investment performance and relevant risk indices of value stock portfolio and of glamour stock portfolio in buy - hold average returns ( bhars ) and average monthly returns ( amrs ) term
在文章的第三章,作者利用傳統的風險指標。 , ?刀,和全距以及夏普指數、特雷諾指數和詹森指數對上述持有期為一年的一維、二維等權和權重價值反轉投資策略的價值投資組合和魅力投資組合的風險和投資業績進行了計算,同樣從買入並持有收益率和組合月均收益率兩個角度入手。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。In this article, firstly the background of the textile trade conflicts within sino - us or sino - euro are introduced, thus learn that how to discern and dodge the foreign trade risks, how to choose the appropriate investment projects have already become one of the most important questions for exporting companies on foreign trade affairs well - known as high investment and high risk. so the main text makes a risk analysis qualitatively and quantitatively on a textile - exporting trading company from three angles of statistic 、 game theory and portfolio theory, which is the main content that we studied. firstly, the statistic article adopts data of the transaction closing price of the textile clothing index in shenzhen stock exchange at the end of each quarter as well as several other kinds of data reflecting the macro - economic changes, performs an empirical analysis of these data according to the theory of co - integration test 、 granger cause test and impulse response function of time series in economitric, and learn that the impact to ti is more obvious by the economic index reflecting local commodity price level and economic prosperity degree home and abroad, as well as the impact degree and the time lag degree, and knows the macro - economic risks faced by textile business enterprises ; after that by the game theory angle we analyze exactly the managing risks faced by one textile export corporation named beauty. from the game expansion chart the system arrangement between censor ways by exportation goal countries and exporting strategies by the exporting enterprises has been analyzed. involving the benefit assignment between them both the limited rounds and infinite rounds negotiations of cooperation games have been studied, and then country responsibility and the enterprise managing risks on foreign trade affairs and so on have been analyzed exactly ; in order to realize the investment multiplication in the certain degree to disperse the risk, the
本文首先介紹了中美、中歐紡織品貿易爭端的來龍去脈,由此可知在涉外貿易這種以高投入、高風險著稱的行業里,如何甄別和規避外貿風險、如何選擇合適的投資項目已經成為外貿企業的首要問題。因此,正文分別從統計學、博弈論和投資組合三種角度對涉外紡織品貿易公司風險進行了定性和定量的分析,這也是本文的主要研究內容。首先,統計學篇選取了深圳證券交易所行業分類指數?紡織服裝指數( ti )每一季度末的交易收盤價和若干種反映宏觀經濟變化的指標,利用計量經濟學中時間序列的協整檢驗、 granger因果檢驗和脈沖反應函數等理論做實證分析,從而得知反映國內物價水平和國內外經濟景氣程度的經濟指標對紡織板塊上市值的沖擊比較明顯,且可知沖擊程度和時滯度,進而分析出涉外紡織企業所面臨的宏觀經濟風險;接著,從博弈論的角度具體分析一家紡織品出口公司( beauty )的外貿活動所面臨的各種經營風險,該篇從博弈擴展圖入手,分析了出口目的國審查方式與本企業出口策略之間的制度安排;並圍繞雙方的利益分配,研究了有限回合和無限回合合作談判博弈,然後具體論述了國家責任和企業涉外經營風險等問題;在一定程度上為了實現投資多元化來分散風險的目的,投資組合篇從經典的markowitz模型著手,在一些特定條件的限制下,給出了一個相應的投資組合模型。The multi - aptitude body uncertain composed methods are used to deal with the historical data and forecast ways in which the minimum variance hedge ratio is calculated synthetically , in order to foster calculational reliability of the minimum variance hedge ratio in hedging of stock index futures the mathematical hedging model which is consists of
本文利用多智能體系統不確定性結論合成方法( mabm ) ,將股票指數期貨套期保值最小風險保值比率計算的歷史數據分析法和預測法進行了綜合處理,進而提高股指期貨最小風險保值比率的可靠性。基於資本資產的定價模型建立由Cash and cash equivalents comprise cash on hand and demand deposits, and other short - term highly liquid investments that are readily convertible to a known amount of cash and are subject to an insignificant risk of changes in value, having been within three months of maturity when acquired
現金及現金等值項目包括庫存現金活期存款,及其他短期高度流動投資項目,短期高度流動投資是指可隨時轉換為已知數額的現金,其涉及的價值改變風險不大及於購入時於三個月內期滿的投資。As one of important financial derivatives, stock index futures could find true value and be used for hedging, and become an effective tool for preventing risks. stock index futures has a very fast development, and it has become a most important financial tool
股票指數期貨是20世紀80年代發展起來的新型衍生金融工具,具有價值發現、套期保值、套利、風險管理和豐富投資者投資手段的功能,是一種行之有效的避險工具。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。The second section introduces some common methods and evaluation indexes, such as net present value, internal rate of return, payback period, profitability index, etc. the present methods and evaluation indexes are incomplete, which mainly apply to the analysis on the determinate decision. in fact, they are mono - objective and most - favored methods
第二部分,介紹了投資決策中常使用的幾種指標和方法,如凈現值法、內部報酬率法、投資回收期法、現值指數法等,認為這些現行的投資決策評價指標很不完善,主要適用於確定型投資決策,並且實質上是單目標最優決策方法,對多目標風險型投資決策分析很不適用,甚至會導致錯誤的決策。( 4 ) some nonlinear variables are good index for analyzing and forecasting stock market. examples involved are following : hurst index ( h ) substitutes for variance to evaluate risk in securities investment ; dynamic fractal dimension is a prior indicator of price movement
( 4 )某些非線性變量可作為分析和預測股票市場的很好指標,如赫斯特指數h值可用來取代方差作為衡量證券投資風險的標準,而動態分形維則可作為市場價格變化的先行指標。Firstly, the author evaluated the fund through the technology and tested it with examples. basted on the capital asset pricing model and the theory of portfolio, the paper used the ratio of profit according time to evaluate the profit ; used the a and 3 to evaluate the risk ; used the sp, tp, a p to evaluate the profit according to the risk ; used the ability of liquid and so on to evaluate the fund portfolio. otherwise, the author corrected the asset of fund according to the specialty of our country
技術面評價以證券投資組合理論和資本資產定價模型為基礎,運用時間加權收益率對基金收益進行評價;運用系數、系數對基金風險進行評價;運用夏普指數、特雷納指數、詹森指數、積極投資效率指數對基金進行收益和風險配比評價;運用基金平均市盈率、股票集中度、股票日換手率、基金流動性和基金平均漲幅對基金進行組合質量評價;並根據我國股市的特點對基金凈值進行修正計算,對基金實際價值進行評估。Among these, the first part makes use of the second - hand information to carry out the research for the market demanding and the history prices of the end project products. the experience is relied on determine the price needed in the analysis of long - term investment decisions ; the second part analysizes the project investment decision by the way of using some long - term investment decision theories such as recovery period method, npu, net present index method and remuneration included methods, etc. meantime, it makes the risk analysis for the project and determines the risk elements and proposes some measures and guidance in risk management
其中,第一部分對企業及項目情況進行了介紹,並使用二手資料的方式對項目產成品的市場需求及歷史價格進行了調研,根據經驗法確定了長期投資決策分析中所需的產品價格;第二部分對進行長期投資決策分析的理論進行了闡述,利用回收期法、凈現值法、凈現指數法和內含報酬率法等長期投資決策理論對項目的投資決策進行分析,並對項目進行了風險分析,確定了風險因素,提出了風險管理中為避免風險應當採取的一些措施和方法。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 content of the first part is the systematic introduction of the generation, deduction and development of the option pricing theory. emphasis is laid on the black - scholes option pricing model and its analytic solution with the restriction of the boundary condition. by adjusting the basic hypothesis of the model, the model is broadened to the multi - factor option pricing model
通過引入風險中性假設,推導期權價格滿足的微分方程,結合基於股票的不付紅利歐式看漲看跌期權價格的邊界條件,得出方程的解析解,並通過轉化得出支付紅利的歐式期權的價格,以及美式期權和以其他資產為標的的期權的價值,如貨幣期權和股票指數期權。So it can avoid risk of model and computer rightly the var of extreme event. this article presents the theory of extreme value and character of tail of distribution and gives the example of var with index of shanghai stock market by evt, then compares the var result of different computation methods and concludes that traditional var method is static state model and var with evt is dynamic conservative model and has the ability of forecasting risk out of sample comparing to historical simulation method
本文系統地闡述了極值理論和極值分佈特徵,以上證指數為例,將極值理論應用於風險價值的計算,並將應用結果與傳統var方法計算的結果進行了比較分析,最後得出結論:傳統的var計算模型是靜態的模型,應用極值理論計算var的模型是動態的、相對保守的模型;與歷史模擬法相比較,極值理論具有超越樣本的預測能力。In thes paper, we set up a risk quantiative appraisal system for the scientific risk management of the real estate invesbent whih is based on the probability theory, mathematial statistics and fmancial anaiysis theorythis system developes the application of the probability theory and mathematical statishcs to the risk appraisal on the base of current risk appraisal methods. what ' s more, in orde to filfulthe need of prachcal application, we create a set of risk - fmance index models in whih we analyze five kinds of twortant risk in the real estate investinen from their orighs, such as the general price fluctuation risk, the markt risk, the interest rate risk, the operation risk and the decision risk. ih the system, standard deviation of the npv ( net present value ) is uesed as the quantitative index of the singe risks and the whole risk. in addition, we connect the system with risk avoiding tactics in the risk managemen of a proect. all these provide a decision basis for risk management
本文應用概率論、數理統計、財務分析等理論為房地產投資風險的科學管理建立了一套風險定量評價系統。該系統是在現有的風險評價方法的基礎上,將概率論和數理統計的理論在風險評價中的應用進一步深化。並結合房地產投資的實際,從風險形成的原因出發,針對其中影響較大的幾類風險像利率風險、物價風險、行業風險、經營風險、決策風險,建立了一套風險- - -財務指標評價模型,運用凈現值的標準差這一指標將房地產投資所面臨的個體風險和整體風險定量化,同時與項目風險管理中的風險規避策略有機地結合在一起,為房地產投資的風險管理提供了決策的依據。Based on the literature review this study classifies the variables in four dimensions : borrower characteristics dimension, loan characteristics dimension, property characteristics dimension and regional characteristics dimension. 19 variables such as borrower ’ s age, loan - to - value etc enter these four dimensions. using the statistics software spss10. 0, this study conducts descriptive statistics, factor analysis, discriminant analysis and logistic regression
結合國內外研究經驗以及樣本數據,本文從借款人特徵、貸款特徵、房產特徵、區域特徵四個維度,選取了性別、年齡、貸款金額、貸款價值比、住房總價值、房價指數等19個變量,利用spss10 . 0統計軟體中的描述性統計、因子分析、判別分析、邏輯斯蒂回歸分析對個人住房抵押貸款違約風險的影響因素進行了實證分析,並在分析中區分了實質性違約和逾期。Multiple objectives evaluation index system and analytical hierarchy process ( ahp ). three decision - making theories on venture capital ( net present value theory, expected utility theory, and option theory ) are compared with each other. for the system engineering component, a multiple objectives evaluation index system was set up, followed by an application of ahp to data processing
本文首先比較分析了凈現值理論、預期效用理論、期權理論等典型的風險投資決策理論,然後從系統工程的思想出發,建立了風險投資多目標綜合評價指標體系,進而應用多層次分析法數學模型對風險投資決策問題進行了分析。The paper is composed of five chapters the first chapter first introduces the concept, characteristics and the course of development of the stock index futures, then deduces the pricing formula of stock index futures and further analyses the functions of stock index futures and the impact of its transaction on the fluctuation of the spot transactions. the second chapter demonstrates the need and feasibility of the introduction of the stock index futures in china. through the empirical analysis of the market risk of china ' s stock market, we can see that the risk difference between individual stocks, so a portfolio investment wo n ' t help much in risk aversion
本論文共分為五章,第一章在介紹股票指數期貨的概念、特點以及產生與發展的過程的基礎上,對股票指數期貨的定價公式進行了推導,從而引出股票指數期貨的套期保值、指數套利、資產配置、組合保險等作用,進而分析股票指數期貨交易對股票現貨市場波動性的影響;第二章主要是對中國推出股票指數期貨的必要性和可行性進行論證,通過對中國股票市場風險測度的實證分析,得出了中國股票價格波動齊漲齊落,個股之間的風險差異小的特點,因此,投資者進行投資組合的避險效果就很有限,無論是個人投資者還是機構投資者,都必須面臨中國股票市場巨大風險的事實。分享友人