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信用违约互换对组合损失的影响
  • ISSN号：1001-5132
  • 期刊名称：宁波大学学报(理工版)
  • 时间：2012
  • 页码：70-74
  • 分类：F830[经济管理—金融学]
  • 作者机构：[1]宁波大学理学院,浙江宁波315211, [2]浙江科技学院数学系,浙江杭州310023, [3]浙江科技学院应用数学研究所,浙江杭州310023
  • 相关基金：国家自然科学基金（11171306）
  • 相关项目：调和分析及其应用
作者： 姚艳杰|黄文礼|陶祥兴|付秀艳|
关键词： 风险管理, CVaR技术, 沪深300股指期货, 有效性, financial risk management, CVaR technology, Hushen 300 index futures, model effectiveness
中文摘要：

金融风险管理的核心内容是风险度量,通过分析风险度量方法 VaR模型的优劣,利用CVaR技术对中国沪深300股指期货进行了实证分析,并验证了该模型的有效性.

英文摘要：

The financial risk management is an essential task in risk assessment.In this article,the advantages and disadvantages of VaR model are analyzed with the Hushen 300 index futures taken as a case-study based on CVaR technology.In the end,the effectiveness of the model is validated.

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期刊信息
  • 《宁波大学学报：理工版》
  • 主管单位:宁波大学
  • 主办单位:宁波大学
  • 主编：方志梅
  • 地址：浙江宁波江北区风华路818号
  • 邮编：315211
  • 邮箱：
  • 电话：0574-87600816
  • 国际标准刊号：ISSN：1001-5132
  • 国内统一刊号：ISSN：33-1134/N
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 美国化学文摘（网络版）,英国动物学记录
  • 被引量:4395