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一致性风险价值及其非参数方法计算
马超群1; 文凤华1; 兰秋军1; 刘昆1; 杨晓光2
2003
Source Publication系统工程
ISSN1001-4098
Volume021Issue:003Pages:1
Abstract分析实际运用中的风险价值概念的缺陷并在此基础上提出一致性风险价值的概念,证明一致性风险价值作为风险度量的必要性质,详细阐述对称的双曲分布的一切必要计算,并根据实际情况用这种分布来模拟证券市场收益率分布,在此基础上计算一致性风险价值。
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/44995
Collection系统科学研究所
Affiliation1.湖南大学
2.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
马超群,文凤华,兰秋军,等. 一致性风险价值及其非参数方法计算[J]. 系统工程,2003,021(003):1.
APA 马超群,文凤华,兰秋军,刘昆,&杨晓光.(2003).一致性风险价值及其非参数方法计算.系统工程,021(003),1.
MLA 马超群,et al."一致性风险价值及其非参数方法计算".系统工程 021.003(2003):1.
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