风险度量

基于高阶统计量的VaR风险度量和分析

VaR Risk Measurement Analysis and Research Based on High Order Statistics

金融市场风险度量的VaR模型改进

The Improvement on VaR Model in Financial Markets Risk Measurement

基于Markov决策过程的离散过程风险度量

Discrete - time Risk Measures Based on Markov Decision Process

动态Coherent风险度量和均值方差优化若干问题的研究

The Study on Some Problems Concerning Dynamic Coherent Risk Measures and Mean-Variance Optimizations

一类Coherent风险度量分析方法

An Analysis Method of the Coherent Measure of Risk

本文提出了一种新的风险度量方法：双侧部分矩（BilateralPartialMoment，BPM）。不同于方差度量风险的方法&它在摒弃人们所不希望的资产价格下跌的同时摒弃了价格上涨的情形；

This dissertation develops a new risk measure : Bilateral Partial Moment ( BPM ) .

金融风险度量VaR方法及其应用

The VaR Methods and Its Application in Financial Risk Measure

市场风险度量的方法有多种，风险价值（ValueAtRisk）方法最先由W。

Among many methods to measure the market risk , value at Risk is the most widespread . Value at Risk , which was put forward in 1963 by W.

基于VaR模型的保险投资风险度量与绩效评价

Risk Measurement and Performance Appraisal of Insurance Funds Investment Based upon VaR Model

基于VaR的证券投资基金风险度量及业绩评价研究

The Research on Risk Measurement and Performance Valuation of Security Investment Fund Based on VaR

分形VaR风险度量下的购电组合模型及实证分析

Purchase Power Portfolio Model and an Empirical Analysis Based on Risk Measure with Fractal Value-at-risk

最后，主流的金融风险度量方法有灵敏度分析、波动性分析和VaR方法。

Finally , mainstream financial risk measurement methods have the sensitivity analysis , volatility analysis and VaR method .

基于植入SV的VaR模型的股指期货风险度量

The study on measuring the risk of stock index futures based on VaR with SV implanted

基于厚尾分布和GARCH类模型的金融风险度量研究

A Study on Financial Risk Measurement Based on Heavy Tail Distribution and GARCH Model

文章第三章主要介绍了copula理论在金融风险度量中的应用。

The third chapter mainly introduces the theory of Copula application in risk measurement of financial market .

基于经济周期的KMV信用风险度量研究

The Credit Risk Metric Research of KMV Reduced Model Based on the Business Cycle

基于多元GARCH模型的A股主要行业指数波动率溢出分析及风险度量

Volatility Transmission Analysis and Risk Measurement of Main Sector Indices of A Shares Based on Multivariate GARCH Models

基于最大熵方法的DaR风险度量模型

A Maximum Entropy Model for Risk Measurement DaR

由于本文的收益率分布拟合检验表明我国的股票收益率服从非正态稳定分布，所以在我国股票市场上ES是比VaR更好的风险度量。

Because the distribution of rate of return on China Stock Market is non-normal stable , ES is a better risk measurement than VaR on China Stock Market .

将VaR风险度量模型应用于证券投资基金绩效评估中，这种经风险调整后的绩效评估方法符合现代理论的要求，能更全面、有效的描述基金的真实收益。

This paper applies VaR models to evaluate performances , which conforms to the modern theories and can describe the real returns of the securities investment funds completely and validly .

然后对现阶段流行的主要的现代信用风险度量方法进行了对比分析，通过比较得出KMV模型适合现阶段的中国国情。

Then it has carried on the contrastive analysis to the present stage popular main modern credit risks measure method .

传统的期货VaR风险度量模型缺乏对流动性风险的考虑。

Liquidity risk is one part of risks that could not be neglected in the futures market in China , but the classical VaR model is lack of consideration of liquidity risk .

自Merton（1974）提出结构化定价模型以来，数以千计的理论与实证文献集中于信用风险度量这一课题。

Following Merton ( 1974 ) structure pricing model , thousands of theoretic and empirical literatures have been exploring how to measure default risk .

基于此，本文以信用风险度量为主线，并选取了现代信用风险度量著名模型之一的KMV模型作为主要的研究对象。

For this reason , this article focused on credit risk measurement and selected the well-known KMV model as the main object of study .

近些年来，VaR方法逐渐成为国外大多数金融机构广泛采用的金融风险度量方法并成为国际风险管理的行业标准，这种方法在一定程度上弥补了其它风险度量方法的许多缺陷。

In recent years , VaR method has gradually become a finance risk measuring method that is always adopted by most foreign financial institution , and it has already become the sector standards of risk management .

第一部分作为绪论，阐述了文章的写作背景，中外学者对于风险度量方法和VaR方法研究的现状，以及本文的创新、不足。

The first part is introduction , which contains the background of this paper and research status in risk measurement and VaR method of Chinese and foreign scholars , as well as the innovation and shortcoming .

第二章，主要是详细介绍国外常用的几种利率风险度量模型，这主要分为三节，分别介绍利率敏感性缺口模型、持续期模型和VaR模型。

The second chapter mainly introduces the most common used interest rate risk measure models in the world , which is divided into three sections , interest rate sensitivity gap model , duration model and VaR model .

随后，本文利用因子分析法从初始财务指标中提取公共因子，将其引入Logistic回归分析模型之中，从而拟合出不同生命周期阶段企业的信用风险度量模型，并加以对比分析。

Then , using factor analysis method , this paper extract common factors from initial financial indicators and introduce them into the Logistic Regression Model in order to fit and compare corporate credit risk measurement models of different life cycle stages .

介绍了两种面向期权期货的保证金算法&基于情景的SPAN准则算法和基于最终净值的SEC准则算法，给出了这两种保证金都是一致性风险度量的具体证明，对两种算法进行了比较。

The paper introduced two methods on calculating the margins of options and futures , SPAN method and SEC method , presented detail proofs of the coherence of the two methods , and gave a brief comparison between them .

针对信用风险度量的方法包括基于财务比率的风险测量方法和基于波动性的风险测量方法，与之相关的风险度量概念有信用评级、Z分数、转换矩阵、违约频率。

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 .