...weight)与其外部评级相 联系,将以往租线条风险识别架构(broad-brushframework)改进成具有一定 风险敏感性(risk-sensitive)的架构. 与1988年的资本协议相比,新资本协议引入了全新的内部评级方法.根 据已经发布的巴塞尔新资本协议,j在新的内部评级法(...
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risk sensitive stochastic control RS随机控制
risk sensitive 风险敏感性
Risk-sensitive filter 风险性滤波
risk-sensitive control 风险灵敏度控制
risk-sensitive cost criteria 风险灵敏度指标
We often find that when examining the most risk-sensitive instruments we are able to gauge risk appetites at the margins.
我们常常发现当研究风险敏感工具时,能够借由其他指数判断风险偏好。
At the last in this chapter, we give three interesting examples to show the applications of our risk-sensitive maximum principle.
我们也举出了三个有趣的例子,以展示风险敏感最大值原理的应用。
As a special case of partial information, the general stochastic maximum principle for this kind of fully observed risk-sensitive optimal control problem is also obtained.
作为部分可观测信息的特例,我们给出了完全可观测的风险敏感最优控制问题的一般最大值原理。
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