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In view of the peaked and fat-tailed characteristics of financial return data distribution and its effect of clustering fluctuation and especially the "leverage effect" of fluctuation on VaR estimates and some efficiencies when estimating VaR with various assumptions of return data distribution,a semi-parameter approach based on EGARCH-VaR model is developed.

在综合考虑了金融收益数据分布的尖峰厚尾特征及其波动集群性,尤其是其波动的&杠杆效应&对VaR估计的影响以及各种假定收益率分布在计算风险价值时存在不足的基础上,提出了基于EGARCH-VaR的半参数方法,并且与正态分布和t分布假设下的GARCH模型的VaR计量方法进行比较,通过实证分析,并利用后验测试,表明基于EGARCH-VaR的半参数方法对风险价值的测度优于正态分布和t分布假设下GARCH模型的VaR计量方法。

In view of the peaked and fat-tailed characteristics of financial return data distribution and its effect of clustering fluctuation and especially the "leverage effect" of fluctuation on VaR estimates and some efficiencies when estimating VaR with various assumptions of return data distribution,a semi-parameter approach based on EGARCH-VaR model is developed.

证券风险是指未来证券价格或收益的不确定性或波动性,证券风险管理的基础和核心是对风险的定量分析和评估·国内外研究表明,金融时间序列通常带有一些明显的特性:金融时间序列的收益率分布存在尖峰厚尾性[1]及其波动具有集群性[2];股票的价格波动还有&杠杆效应&[3]·这些显著

While most people realise it is hard to calculate VAR using internal data alone (because of the small sample size), many are unaware that because op risk is characterised by fat-tailed distributions, even the expected loss cannot be estimated using just internal loss data.

虽然大多数人认识到单单使用内部数据很算计算出风险值,可很多人没认识到这一点:因为操作风险的特征是厚尾分布,要是单单使用内部损失数据,连预期损失都无法估计出来。

Thesis is in simple introduction a few analysis method and steady data of fettles with the foundation of the characteristic sketch of the data of instantaneous fettle lastly, put forward vibration signal of some concrete problem.

论文在简单介绍几种分析方法以及稳态数据和瞬态数据的特征图形的基础上,提出了振动信号中的若干具体问题。

When doing the data inquiries, the related data will be put in order by related field method.

当进行数据查询时,采用相关字段排序法。

The functions of the RTU is receiving the data from wireless Sensors,format the data then display or send to remote monitoring center.Also can start or stop field apparatus devices from remote monitoring center.

RTU 的作用是将无线传感器、无线模块发来的数据接收后在本地显示或者数据打包后发送到监控中心,也可以从监控中心对现场设备进行启停等控制。

The process methods of tip-timing measured data are discussed in detail and a fire-new 5+2 fast algorithm is presented to analyze and process the asynchronous and synchronous vibration data, which improve the ability of real-time process signals.

详细分析了叶端定时测量数据处理的方法,提出了全新的5+2快速算法,解决了包括异步振动和同步振动测量数据的分析处理问题,提高了系统信号处理的实时性。

Test result shows that starting firing data is close comparatively to firing data of target.

试验表明该系统的射击开始诸元更接近目标射击诸元。

The implementation of the extended error provider can be put into three sections – firing events when using data binding and firing events when not using data binding, and the rest.

扩大后的错误提供程序实现可以投入三个部分-射击的事件时,使用数据绑定和射击的事件时,不使用数据绑定,其余的。

This article optimizes the iterated method of firing control system of antiaircraft artillery which solves the hitting question, detailed research the procedure solution of firing data and gives the result of firing data frame.

详细研究了射击诸元的求解过程,并给出了高炮火控系统求解射击诸元的程序框图。

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推荐网络例句

Although translator has turned from being a crystal ball by which the original culture can unrestrainedly penetrate to another crystal ball by which the target culture can freely traverse, the translator's personal embodiment, in the process of cognitive act, are still absent in translation studies. Translators are still subjects without body or simply disembodied subjects.

译者虽然由原语文化可以自由穿透的玻璃球变成了译语文化可以自由穿越的玻璃球,但译者认知过程中的个体体验在翻译研究中依然缺席,译者依然仅仅是一个没有躯体体验的主体。

Chillingly, he claimed our technology is 'not nearly as sophisticated' as theirs and "had they been hostile", he warned 'we would be been gone by now'.

令人毛骨悚然的,他声称我们的技术是'并不那么复杂,像他们一样,和"如果他们敌意",他警告说,'我们将现在已经过去了。

And in giving such people " a chance to be themselves," he saw himself as a champion of th South's hardscrabble underclass, both black and white.

他给了这些人一个"成就自己"的机会,同时将自己看成是南方那些贫困的下层人民的声援者。