查询词典 var.

First, we discuss several theories of risk measures respectively such as theories ofcoherent measures of risk, spectral measures of risk and distortion measures of risk.Within the framework of these theories, we discuss and compare standard deviation,mean absolute deviation, lower partial moment, Ginis difference, VaR, CVaR and soon. We conclude that CVaR is superior to other measures with respect to theoreticalproperties.

首先，本文分别讨论了一致风险测度理论、谱风险测度理论、失真风险测度理论和随机占优一致风险测度理论等风险度量评价理论，在这些理论框架内讨论和比较了标准差、平均绝对离差、下偏位矩、基尼均差、VaR以及CVaR等风险度量。

VaR is an important measure of risk which has been extensively recognized in the areaof finance, but it is not a Coherent Measure of Risk by reason of lack of subadditivity.

VaR ( Value at Risk ，简称为VaR )是金融界广泛认同的重要的风险度量，但它不满足次可加性，不是一致性风险度量。

This paper summarizes the conception of VaR and the main computational methods based on existing research both in china and abroad.

本论文在国内外已有的研究基础上对VaR的概念、VaR的主要计算方法进行了综述。

Besides, this text has made preliminary exploration for VaR method application in our country.

同时，通过分析我国金融市场的现状及VaR在我国金融市场实施的可行性，本文还对VaR方法在我国金融风险管理中的应用作了初步的探讨。

In this paper, we compute the futures portfolio' VaR by using copulas, and obtained a lot of valuable results under different distributions of assets return.

论文应用连接函数对具体实际的期货投资组合VaR进行了计算研究，得到了不同资产收益分布下投资组合VaR的许多有价值的计算结果。

From the point of practice and dvelopment, how to impove the ability of credit risk management for Yinchuan city commercial bank is discussed surrounding the client raiting and credit extention, measures of credit risk, management strategies of credit risk, conclusions of the paper are listed as the following:Through positive analysis, the current methods of client rating and credit extension is simple and convenient for application, there are four disadvantages in index system of it: non-customer subdivision, non-consideration factors on industrial risks, larger quantitative indicators ratio, non-consideration factors on affiliated enterprise risk, and some corrective measures are put forward to solve it, customer subdivision, factors-added on industrial risks, set stationarity indices ratio in reason, factors-added on affiliated enterprise risk; From the point of development, Based on the technology of Value-at-Risk and CreditMetrics model we discussed the methods of credit risk analysis and measurement and gave the example of how to calculate the VaR value of individual loan and combined loan; This paper probes into the strategies which raise the ability of credit risk management for Yinchuan city commercial bank from five aspects, including strengthen the inner control, improve the technique level of risk management through information technique, solve the problem of non-performing loan, adjust the credit orientation and structure, foster credit culture with its core based on risk control.

从实践和发展的角度出发，围绕客户评级授信、信贷风险测量、信贷风险管理策略三个方面，就如何提高银川市商业银行信贷风险管理水平展开研究，得出以下结论：通过实证分析，银川市商业银行现有的客户评级授信方法具有方法简单、易于推广的优点，但客户评级授信指标体系具有客户分组不细、未考虑行业风险因素、定量指标占比过大、未考虑关联企业风险因素的缺点，应通过细化客户分组，增加行业风险因素指标、合理设定定性指标比重、增加关联企业风险评价指标等措施进行改进；从发展的角度出发，在基于VaR框架和CreditMetrics模型技术的基础上，探讨了银川市商业银行信贷风险分析和度量的方法，给出了采用CreditMetrics模型技术计算单笔贷款、组合贷款VAR值的例子；从五个角度探讨了提高银川市商业银行信贷风险管理能力的策略和手段，包括强化信贷风险内控管理机制、利用信息技术提高信贷风险管理技术水平、综合治理化解不良资产、调整信贷结构、建立以风险控制为核心的信贷文化等对策。

According to Iacoviello and Minetti (2003), this article uses Taiwan data for 1995 first season to 2004 fourth season to check wheter Taiwanese housing market has the credit channel. This article establishes four groups of VAR model. Model (1) including overnight interest rate, GDP, the consumer price index, the house price index, the total bank loans, the bank housing loan. The model (2) replaces bank loan and housing loan; for spread. The model (3) uses Mix to replace the Spread. The model (4) including GDP, the consumer price index, the house price index and uses Mix to replaces overnight interest rate.

摘要 本文用台湾地区1995第一季至2004第四季共40笔季资，验证台湾房屋贷款市场是否存在信用管道，本文首先以ADF单根检定法检定各项变是否为定态数列资料，其次将非定态变数取差分值之后进行VAR模型分析，最后经由估计后VAR模型之参数进行冲击反应分析与预测误差变异数分解，藉以了解当变遇到外冲击时对於台湾房屋贷款市场的影响。

Due to its wide application in financial engineering, investment decision selection based on VAR has important practical meaning.

由于VAR在实际金融工程中有广泛的运用，基于VAR的投资决策选择具有重要的实用价值。

Chapter 2 analyzes how to measure the market risk of FD by means of VAR.

在本章的第二节中，讨论如何计算投资组合的 VAR，并且给出正态分布条件下的 VAR 计算公式。

This article introduced basic principle and computational method of VaR and the CVaR model.

该文介绍了VaR和CVaR模型的基本原理及其计算方法，并以三种不同类型的开放式基金2005年至2007年的数据，利用VaR和CVaR方法对我国开放式基金市场风险度量进行了实证分析。

As she looked at Warrington's manly face, and dark, melancholy eyes, she had settled in her mind that he must have been the victim of an unhappy attachment.

每逢看到沃林顿那刚毅的脸，那乌黑、忧郁的眼睛，她便会相信，他一定作过不幸的爱情的受害者。

Maybe they'll disappear into a pothole.

也许他们将在壶穴里消失