网络一致性风险测度 网络释义 1. 一致性风险测度 基于上述风险测度的局限性,Artzner等(1999年)提出了一致性风险测度(CoherentRiskMeasure)概念。他们认为一种良好 … www.baike.com|基于2个网页
而且VaR不能测度超过VaR的损失、不适用于非椭球分布函数族、VaR有许多局部极值导致VaR排序不稳定等缺陷,决定着VaR并不是一种合适的风险测度指标。 基于上述风险测度的局限性,Artzner等(1999)提出了一致性风险测度(Coherent Risk Measure)概念。他们认为一种良好定义的风险测度应该满足单调性、正齐次性、平移不变性和次...
Structure sharpe ratio based coherent risk measure; 基于相容风险测度的结构夏普比率3) coherent risk measures 相关风险测度 1. Conditional g-expectation and coherent risk measures; 条件g-期望与相关风险测度4) compatibilities risk 相容性风险 1. There are three compatibilities risks existing in the...
1) coherent risk measure 一致性风险度量例句>> 2) coherent measure of risk 一致性风险度量 1. The CVaR model,which was based on coherent measure of risk,lacks of dynamic properties for multi-period risk measures,especially dynamic consistency. 基于一致性风险度量公理建立的CVaR方法缺乏多时期风险...
The risk measure is constructed by usingthe risk-neutral probability ($mathcal Q$-measure), the physical probability ($mathcal P$-measure) and a family of subjective probability measures. The subjective probabilities are introduced by using Girsanov's theorem. In this way, we provide risk ...
1)coherent risk measure一致性风险度量 英文短句/例句 1.The New Tool of Coherence Risk Measurement CDaR And its Application;一致性风险度量新工具CDaR及其应用 2.Coherent Measures of Credit Portfolio Risk under Multi-Factor Model;多因素模型下的信用组合一致性风险度量 3.Coherent measures of credit portfoli...
In this space, the concept of ``Risk Aversion Function'' phi naturally arises as the spectral representation of each risk measure in a space of functions of confidence level probabilities. We give necessary and sufficient conditions on phi for M_phi to be a coherent measure. We find in this...
(intime)?howeverabsolutelygeneral Part1:DefiningaRiskMeasure Thequalitativeconceptof“risk”and“riskpremium”Everybodyhasaninnatefeelingforfinancialrisk...moreorlessthis...Howtodefineriskinaquantitativefashion?...ConceptofRisk ?RiskMeasure fundamentalshared principles test requirements(axioms)onthe ...
4) Coherent Risk Measure 一致风险测度 1. In this paper we take the investment target into the risk definition,and propose a new axiomatic framework for the class of generalized coherent risk measures. 将资产的目标价值以直观的方式加入到风险的定义中,提出了广义一致风险测度公理假设,并证明了广义...
FRM II Risk Market Risk Measurement And Management 求问怎么理解coherent risk Measure中的monotonicity,不应该是风险越大收益越大吗?为什么这里提到的是优质的资产风险更小呢,优质资产怎么理解呢。 添加评论 0 0 2 个答案 已采纳答案 orange品职答疑助手 · 2018年07月24日 同学你好,这里比较反常识,...