CVaR,即条件风险价值(Conditional Value at Risk),是指非正常市场条件下最大损失。 我们可以通过编程计算得到结果如下 表5-1:持有期为一天的套期保值VaR 和CVaR β=0.95 β=0.99...
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例如极值理论的引入、关于条件风险价值(CVaR,ConditionValueatRisk) 模型和一致性风险度量模型(Coherentmeasureofrisk)的讨论等。
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采用条件风险价值理论研究供电公司在多个电力交易市场中的最优购电分配策略。
Taking the conditional value at risk (CVaR) as risk management index, DistCos purchase allocation among multi electricity trading markets is studied.
可检测性不被计入到风险价值的计算中,只在要决定风险是否可接受的特定条件下才会考虑这个要素。
The detectability is not integrated in the calculation of the risk value and would only be considered under specific condition to decide whether the risk could be accepted or not.
企业并购理论强调了风险一定条件下的企业价值最大化途径而忽视了并购的财务风险管理;
The theory of M&A emphasizes the way to maximize the value of enterprises when crises are definite, but neglects the management of financial crises in M&A.
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