查询词典 at risk

The current value-at-risk based treatment for assessing capital for trading book risk does not capture extraordinary events that can affect many such exposures.

某些特殊的风险实践可能对商业银行的交易类资产价值产生广泛的影响，而目前用于计算交易账户风险资本标准的风险价值法（value-at-risk， VaR）对此无能为力。

The Mean-CVaR (Conditional Value-at-Risk) portfolio optimization model is proposed to calculate a globally optimal portfolio under concave transaction costs. A non-decreasing concave function is employed to approximate origin transaction costs function.

研究了当投资组合的风险用条件风险价值（Conditional Value at Risk，简称CVaR）度量，考虑凹交易费用的投资组合选择问题，通过对交易费用采用非线性的凹函数，建立了一个均值-CVaR模型。

At present the desiderative solved problems are the following three: first, how to do a scientific identity and analysis aiming at risk; second, how to make an effective elusion and control aiming at risk; third, how to set up an effective risk control system according with our national conditions.

如何对这些风险进行科学的识别与分析，如何对风险进行有效的规避与控制，如何建立起符合我国国情的有效的风险控制体系，是目前亟需解决的问题。

The bilevel newsvendor model based on CVaR (Conditional Value-at-Risk) is presented in this paper, in which the supplier is considered as the decision-maker of the upper level while the retailer as the follower.

本文以供应商为领导层，零售商为从属层，基于CVaR(Conditional value-at-Risk)准则，建立了两个双层报童问题模型。

Based on the research of current situation of risk management of capital allocation for commercial banks both at home and abroad at present, this paper put forward a unified VaR theory framework and model by using reserve for bad debts, capital at risk and deposit insurance system. The reserve for bad debts, capital at risk and deposit insurance system are used to execute grading risk prevention and to develop a comprehensive quantification method that executing risk management to commercial banks.

因此，在对目前国内外商业银行资本配置风险管理现状进行研究的基础上，本文提出了包含损失准备金、风险资本和存款保险的商业银行资本配置风险管理的统一的VaR理论框架和模型，用损失准备金、风险资本、存款保险制度来分级防范风险，并在此理论框架和模型下发展出完整的从资本配置的角度对商业银行进行风险管理的量化方法。

The first part is the sum of expected losses of market risk, credit risk and operating risk. The risk of losses in the part should be prevented by reserve for bad debts accrued by commercial banks. The second part is the sum of contingent losses of market risk, credit risk and operating risk at certain confidence level, and the risk of losses in the part should be prevented by capital at risk. The third part is the sum of losses of market risk, credit risk and operating risk that beyond certain confidence level, and the risk of losses in the part should be prevented by deposit insurance system.

第一部分是市场风险、信用风险和操作风险的期望损失之和，该部分损失的风险用商业银行自身提取的损失准备金来防范；第二部分是市场风险、信用风险和操作风险在一定置信水平下的意外损失之和，该部分损失的风险用商业银行自身的风险资本来防范；第三部分是市场风险、信用风险和操作风险超出一定置信水平外的损失之和，该部分损失的风险用存款保险制度来防范。

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 section examines the combined effect of all four distributional moments by using a Modified value-at risk measure.

这部分测验的所有4个精微体分布的时刻用改性value-at风险的措施。

Secondly, there are bigger value at risk by Historical Simulation Method of risk-factors free, represented investitive net value are NT 10,000,000, maximum loss of 5﹪probability will greater than NT 2,816,827 or NT 2,344,946. So used considering VAR－Bootstrap of risk factors were more appropriated model, because model of considering risk factors were able to accurate estimate reality value at risk.

二、以未考量风险因子之历史模拟法及GARCH－拔靴法所估计风险值较大，表示投资净值一千万，有5﹪的机率可能的最大损失会大於2，816，827元或2，344，946元，因此，考量风险因子之VAR模型－拔靴法为较适当之模型，因有考量影响风险之因子，较能准确估计出实际之风险值。

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。

This is not an ordinary box, which is used as a background picture of the dialog box, very pretty.

详细说明：这可不是一个一般的对话框，它是用图片作为背景的对话框，非常好看。

Conceal me what I am,and be my aid for such disguise as haply shall become the form of my intent.

遮掩我的身份，帮助我，我的面具将成为我的目的。