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Flood Risk Assessment in the Lower Valley of Ouémé, Benin
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作者 Yaovi Aymar Bossa Octave Djangni +3 位作者 Yacouba Yira Jean Hounkpè Angèle D. Avossè Luc Ollivier Sintondji 《Open Journal of Modern Hydrology》 CAS 2024年第2期130-151,共22页
In response to the increased frequency of flood events in recent years, it has become crucial to enhance preparedness and anticipation through precise flood risk assessments. To this end, this study aims to produce up... In response to the increased frequency of flood events in recent years, it has become crucial to enhance preparedness and anticipation through precise flood risk assessments. To this end, this study aims to produce updated and precise flood risk maps for the Lower Valley of Ouémé River Basin, located in the South of Benin. The methodology used consisted of a combination of geographical information systems (GIS) and multi-criteria analysis, including Analytical Hierarchy Process (AHP) methods to define and quantify criteria for flood risk assessment. Seven hydro-geomorphological indicators (elevation, rainfall, slope, distance from rivers, flow accumulation, soil type, and drainage density), four socio-economic vulnerability indicators (female population density, literacy rate, poverty index, and road network density), and two exposure indicators (population density and land use) were integrated to generate risk maps. The results indicate that approximately 21.5% of the Lower Valley is under high and very high flood risk, mainly in the south between Dangbo, So-Ava, and Aguégués. The study findings align with the historical flood pattern in the region, which confirms the suitability of the used method. The novelty of this work lies in its comprehensive approach, the incorporation of AHP for weighting factors, and the use of remote sensing data, GIS technology, and spatial analysis techniques which adds precision to the mapping process. This work advances the scientific understanding of flood risk assessment and offers practical insights and solutions for flood-prone regions. The detailed flood risk indicator maps obtained stand out from previous studies and provide valuable information for effective flood risk management and mitigation efforts in the Lower Valley of Ouémé. 展开更多
关键词 Flood Hazard Exposure VULNERaBILITY risk Lower Valley of Ouémé
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A GENERALIZATION OF RISK MODEL PERTURBED BY DIFFUSION 被引量:2
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作者 Wang Guojing\ Wu Rong 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 1999年第4期417-422,共6页
In this paper, the classical risk process perturbed by diffusion is generalized by allowing for “size fluctuation” and the ruin probability for this new model is discussed.
关键词 risk m odel ruin probability Lundberg inequality
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Ecological Risk Assessment of Shan Xin Mining Area Based on Remote Sensing and Geography Information System Technology 被引量:2
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作者 Chaokui Li Jianhui Chen +2 位作者 Mengguang Liao Guo Chen Qinlan Zhou 《Journal of Geographic Information System》 2018年第2期234-246,共13页
In this paper, introducing new remote sensing and geographic information technology to solve the problem of data collection and analysis, this makes the study of ecological risk assessment very quick and accurate. Tak... In this paper, introducing new remote sensing and geographic information technology to solve the problem of data collection and analysis, this makes the study of ecological risk assessment very quick and accurate. Taking the Shan Xin mining area of the tin mine in Lengshuijiang of Hunan Province as the research object, using the remote sensing image data of three periods in 2005, 2010 and 2015, the remote sensing image is classified carefully and the landscape classification map of the mining area is obtained. The ecological risk index is introduced and the ecological risk values are sampled and interpolated on the ArcGIS platform. The ecological risk spatial distribution map based on the landscape pattern index was obtained. The ecological risk was divided into 5 levels by using the Jenks natural classification method, and each ecological risk grade area was counted. The research results show that: from year 2005 to year 2010, landscape ecological risk trend of the mining area is growing up;the trend rising area of landscape ecological risk is mainly in the southwest and northeast of the Shan Xin mining field;the area of higher and high ecological risk is increasing year by year;and the trend of dispersed development in space is obvious;the development trend of ecological risk in the mining area is rapidly increasing;in 2010 - 2015, the higher and high ecological risk area decrease slightly with the increasing of area of grassland and residential low vulnerability of landscape types;the ecological risk area showed a slow decreasing trend. The research results provide an objective reference for decision making of ecological environment governance. 展开更多
关键词 RS & GIS TECHNOLOGY Shan Xin mINING Field ECOLOGICaL risk assessment Jenks NaTURE Classification risk Index
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Due Diligence in Mergers and Acquisitions in Emerging Markets: Evaluated Risk Factors From the Academic and Practical View 被引量:1
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作者 Alen Sacek 《Journal of Modern Accounting and Auditing》 2015年第7期363-372,共10页
The obviously ever increasing number of corporate acquisitions in recent decades has improved the general knowledge and awareness of due diligence for both the industry and research. In the current challenging busines... The obviously ever increasing number of corporate acquisitions in recent decades has improved the general knowledge and awareness of due diligence for both the industry and research. In the current challenging business environment, acquisitions face a higher degree of risk profiles, especially cross-border acquisitions in the emerging markets. Conducting a thorough due diligence investigation in the context of an acquisition is more important now than ever. In a broad analysis, this paper researches the key risk factors in the acquisition process and their assessment within a due diligence audit in the acquisition phase. The task of this paper is to match the academic and practical view in order to give a more complete understanding of risk factors to be covered in due diligence audit. The starting point is the research of academic findings which basically concentrate on common approaches considering financial, legal, commercial, and some other issues in domestic acquisitions and in developed countries. In contrast, this paper considers risk factors in cross-border and emerging markets transactions. In addition, a number of business consultants publish studies based on surveys on this topic which reflect typical risk factors based on experience of their customers being involved in cross-border acquisitions. Their risk assessment consists of specific regulatory, political, and other factors, which may lead to commercial and reputational impediments in cross-border acquisitions. The outcome of the comparison is a comprehended list of evaluated risk factors, whereby the academic findings are complemented and supported by the practical experience in the business consultant's studies. Moreover, the practical approach points to the fact that due diligence scope needs to be suited to the dynamics of the markets. The comparison and the comprehended list of evaluated risk factors call for a more integrated system of due diligence and show herein the research deficit. Hence, the novelty is the compendium of evaluated risk factors which should be assessed in the pre-acquisition phase. The originality of the paper is given by a unique analysis of academic work about acquisition due diligence literature and consultant studies from anonymized practical experience based on insider information. 展开更多
关键词 due diligence emerging markets mergers and acquisitions ma risk INVESTmENT
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Risk of connective—tissue disease in men with testicular or penile prostheses:a preliminary study
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作者 KuJH SongYS 《Asian Journal of Andrology》 SCIE CAS CSCD 2002年第1期67-72,共6页
AIM: To help clarifying the possibility of connective-tissue diseases in men with penile or testicular prostheses. METHODS: Eight patients underwent inflatable penile prostheses and 15, testicular prostheses consented... AIM: To help clarifying the possibility of connective-tissue diseases in men with penile or testicular prostheses. METHODS: Eight patients underwent inflatable penile prostheses and 15, testicular prostheses consented to the study. Their medical records were reviewed and a follow-up interview and physical and serological examinations were performed. RESULTS: In patients with penile prostheses, there was no abnormal antinuclear antibody (ANA) or IgM elevation. The serum levels of the rheumatoid factor (RF), C4, IgA and IgG were abnormal in one patient, and the levels of erythrocyte sedimentation rate (ESR) and C3, abnormal in two. Four had elevated IgE. In patients with testicular prostheses, there was no abnormal RF, ANA or IgM. The serum levels of ESR and IgA were abnormal in two, and three had abnormal C4, ten abnormal C3, and eleven decreased IgG. All had increased IgE. Men with penile prostheses had higher serum levels of IgG and IgM than those with testicular prostheses (P=0.001, P=0.016, respectively). The rates of abnormal values of IgE and IgG were higher in men with testicular prostheses than in men with penile prostheses (P=0.008, P=0.009, respectively). Physical examination was normal in all patients and nobody had documented symptoms pertinent to connective-tissue diseases. CONCLUSION: Our findings suggest that the risk of connective-tissue diseases is not higher in patients wearing prostheses as the ANA is negative and there is no apparent manifestation suggestive of connective-tissue diseases. 展开更多
关键词 aDOLESCENT adult aged aged 80 and over Blood Sedimentation Complement C3 Complement C4 Connective Tissue Diseases Humans Immunoglobulin a Immunoglobulin E Immunoglobulin G Immunoglobulin m male middle aged Penile Prosthesis Pilot Projects risk Factors Silicon
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The Hidden Earthquake Induced Liquefaction Risks in the Rohingya Refugee Camp Hills & Surrounding Areas of Ukhiya, Cox’s Bazar, Bangladesh—A Geotechnical Engineering Approach
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作者 Abu Taher Mohammad Shakhawat Hossain Md. Shakil Mahabub +7 位作者 Tanmoy Dutta Mahmuda Khatun Toru Terao Md. Hasan Imam Hossain Md Sayem Md. Emdadul Haque Purba Anindita Khan Sheikh Jafia Jafrin 《Open Journal of Earthquake Research》 2023年第3期114-138,共25页
Liquefaction is one of the major catastrophic geohazards which usually occurs in saturated or partially saturated sandy or silty soils during a seismic event. Evaluating the potential liquefaction risks of a seismical... Liquefaction is one of the major catastrophic geohazards which usually occurs in saturated or partially saturated sandy or silty soils during a seismic event. Evaluating the potential liquefaction risks of a seismically prone area can significantly reduce the loss of lives and damage to civil infrastructures. This research is mainly focused on the earthquake-induced liquefaction risk assessment based on Liquefaction Potential Index (LPI) values at different earthquake magnitudes (M = 5.0, 7.0 and 8.0) with a peak ground acceleration (a<sub>max</sub>) of 0.28 g in the Rohingya Refugee camp and surrounding areas of Ukhiya, Cox’s Bazar, Bangladesh. Standard Penetration Test (SPT) results have been evaluated for potential liquefaction assessment. The soils are mainly composed of very loose to loose sands with some silts and clays. Geotechnical properties of these very loose sandy soils are very much consistent with the criteria of liquefiable soil. It is established from the grain size analysis results;the soil of the study area is mainly sand dominated (SP) with some silty clay (SC) which consists of 93.68% to 99.48% sand, 0.06% to 4.71% gravel and 0% to 6.26% silt and clay. Some Clayey Sand (SC) is also present. The silty clay can be characterized as medium (CI) to high plasticity (CH) inorganic clay soil. LPI values have been calculated to identify risk zones and to prepare risk maps of the investigated area. Based on these obtained LPI values, four (4) susceptible liquefaction risk zones are identified as low, medium, high and very high. The established “Risk Maps” can be used for future geological engineering works as well as for sustainable planning, design and construction purposes relating to adaptation and mitigation of seismic hazards in the investigated area. 展开更多
关键词 EaRTHQUaKE magnitude Factor of Safety (Fs) Liquefaction Potential Index (LPI) & risk
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基于SimFMECA的仿真风险和VV&A等级研究 被引量:3
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作者 郑利平 刘晓平 《系统仿真学报》 CAS CSCD 北大核心 2008年第15期3934-3939,共6页
VV&A是风险驱动的,FMECA是常用的风险分析方法。将两者进行结合,提出一种面向建模与仿真的FMECA方法——SimFMECA。首先对FMECA分析表格和过程进行扩展,然后分析一般仿真系统的FMI(Failure Mode Identification)框架,并给出风险和... VV&A是风险驱动的,FMECA是常用的风险分析方法。将两者进行结合,提出一种面向建模与仿真的FMECA方法——SimFMECA。首先对FMECA分析表格和过程进行扩展,然后分析一般仿真系统的FMI(Failure Mode Identification)框架,并给出风险和危害度评定方法,由此确定所需的VV&A投入,包括VV&A等级以及必需的VV&A活动,最后给出该方法的应用实例。SimFMECA是一种定性的方法,具有花费成本低和易于实施的特点。 展开更多
关键词 建模和仿真 风险 VV&a FmECa 可信性 等级
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基于GARCH-M模型的黄金市场风险与收益关系研究 被引量:27
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作者 郑秀田 《黄金》 CAS 北大核心 2008年第5期4-7,共4页
文中应用GARCH-M模型来研究中国黄金市场风险与收益关系,并得出了以下主要结论:①黄金价格日收益率具有波动聚集的特征;②GARCH模型能够较好地拟合黄金价格的走势;③GARCH-M模型估计结果显示黄金市场的收益与风险是正相关的,预期收益包... 文中应用GARCH-M模型来研究中国黄金市场风险与收益关系,并得出了以下主要结论:①黄金价格日收益率具有波动聚集的特征;②GARCH模型能够较好地拟合黄金价格的走势;③GARCH-M模型估计结果显示黄金市场的收益与风险是正相关的,预期收益包含一定的风险溢价。 展开更多
关键词 黄金价格 收益 风险 GaRCH—m模型
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Garch-M模型的沪市险值实证研究 被引量:3
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作者 王洪礼 李胜朋 李栋 《天津大学学报(社会科学版)》 2005年第5期366-368,共3页
由于我国股票市场每日报酬时间序列的非正态性和厚尾特性,且呈现波动集群性,基于正态假设的静态模型存在很大的缺陷,而Arch类模型具有良好的处理厚尾能力,能较好地描述股价等金融变量的波动特征,因此,将Garch-M模型引入VaR方法中,通过... 由于我国股票市场每日报酬时间序列的非正态性和厚尾特性,且呈现波动集群性,基于正态假设的静态模型存在很大的缺陷,而Arch类模型具有良好的处理厚尾能力,能较好地描述股价等金融变量的波动特征,因此,将Garch-M模型引入VaR方法中,通过实证分析,结果表明,Garch-M模型能显著提高预测的准确性。 展开更多
关键词 风险价值 异方差 GaRCH-m模型 沪市
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心脏病术后临床疾病特征与呼吸机相关性肺炎的Meta分析 被引量:3
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作者 王曙红 陈晓 +1 位作者 杨土保 魏捷 《中国循证心血管医学杂志》 2016年第11期1296-1300,共5页
目的综合评价心脏病术后临床疾病特征与呼吸机相关性肺炎的相关性。方法检索CNKI、万方、维普、CBM、Pub Med及EMbase等数据库自建库以来至2016年8月收集的相关研究文献并对参考文献进行手工检索,采用Rev Man 5.3和Stata12.0软件,对文... 目的综合评价心脏病术后临床疾病特征与呼吸机相关性肺炎的相关性。方法检索CNKI、万方、维普、CBM、Pub Med及EMbase等数据库自建库以来至2016年8月收集的相关研究文献并对参考文献进行手工检索,采用Rev Man 5.3和Stata12.0软件,对文献数据进行系统评价,计量资料采用均数差为分析统计量,计数资料采用比值比(OR)为分析统计量,效应量采用95%可信区间(CI)表示。结果共纳入研究文献10篇,9篇为病例对照研究、1篇为队列研究,累计研究对象为946例,其中病例组473例,对照组473例。纳入的8个危险因素分别为体外循环时间(WMD=23.18,95%CI:18.00~28.36,P<0.001,I^2=26%)、术后氧合指数(PaO_2/FiO_2)(WMD=-87.45,95%CI:-104.40^-70.50,P<0.001,I2=0%)、机械通气时间(MV)(SMD=1.19,95%CI:1.02~1.36,P<0.001,I2=0%)、气管切开(OR=5.64,95%CI:3.31~9.61,P<0.001,I2=0%)、主动脉阻断时间(WMD=6.4,95%CI:2.08~10.73,P=0.004,I2=47%)以及低心排综合征(OR=2.82,95%CI:1.76~4.52,P<0.001,I^2=0%)、入住ICU时间(WMD=3.43,95%CI:2.92~3.94,P<0.001,I^2=24%),差异均具有统计学意义(P<0.05)。结论体外循环时间长、术后PaO_2/FiO_2低、MV长、气管切开、主动脉阻断时间长、术后低心排综合征、术后入住ICU时间长等疾病特征为心脏病患者术后呼吸机相关性肺炎的危险因素,而再次气管插管是否为其相关危险因素还有待进一步研究。 展开更多
关键词 呼吸机相关性肺炎 心脏病 疾病特征 危险因素 mETa分析
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中国农产品期货风险溢价与市场波动性研究——基于M-V与CAPM对市场效率的动态检验 被引量:7
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作者 刘明 黄政 《陕西师范大学学报(哲学社会科学版)》 CSSCI 北大核心 2010年第6期129-139,共11页
农产品期货市场具有"超额风险溢价",隐喻着影响期货价格的信号未能被市场及时发现并充分吸收。中国农产品期货市场运行低效,农产品期货市场效率随着同业拆借利率增长率上升和CRB期货指数波动加剧而减小,说明市场效率同时受国... 农产品期货市场具有"超额风险溢价",隐喻着影响期货价格的信号未能被市场及时发现并充分吸收。中国农产品期货市场运行低效,农产品期货市场效率随着同业拆借利率增长率上升和CRB期货指数波动加剧而减小,说明市场效率同时受国内货币市场与国际期货市场影响。农产品期货市场风险—收益和效率状况与宏观背景密切相关,微观机构违规或巨额亏损事件诱致羊群效应对期货市场具有系统性影响,对农产品期货市场提供信贷支持以改善流动性具有正向效果,增加期货品种以扩展资金配置空间、改善交易标的统计特性可以改进期货市场效率。提升市场效率的策略是放宽市场准入,通过优化市场机制与规则提高趋向均衡价格的时效,适当增加农产品期货品种、扩大交易范围,寻求"对冲"工具消解外部市场波动对国内市场的影响,央行要综合运用利率调节与数量手段减少货币市场波动。 展开更多
关键词 农产品期货市场 市场效率动态 风险溢价缺口 m—V模型 CaPm
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基于M-CVaR的供应链收益共享契约协调研究 被引量:5
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作者 钟昌宝 丁彦学 张宏如 《运筹与管理》 CSSCI CSCD 北大核心 2016年第6期53-58,共6页
基于收益共享契约能有效改善供应链运作效率且实践中不仅存在风险中性、厌恶型,还存在风险喜好型供应链成员。运用均值-条件风险价值统一度量决策者的风险喜好、中性及厌恶水平,并据此研究考虑决策者风险偏好水平的供应链收益共享契约... 基于收益共享契约能有效改善供应链运作效率且实践中不仅存在风险中性、厌恶型,还存在风险喜好型供应链成员。运用均值-条件风险价值统一度量决策者的风险喜好、中性及厌恶水平,并据此研究考虑决策者风险偏好水平的供应链收益共享契约协调问题。首先建立零售商及供应链整体的均值-条件风险价值模型;然后研究考虑决策者风险偏好水平的供应链收益共享契约协调问题;最后讨论供应链成员的风险偏好水平对最优订购量及最优批发价格的影响,并通过数值算例进行验证。结果表明产品的最优批发价格随着零售商悲观系数的增大而减小,随着供应商悲观系数的增大而增大,而最优订购量随着零售商悲观系数的增大而减小,亦随着供应商悲观系数的增大而减小。因此,设计供应链收益共享契约时应考虑成员的风险偏好水平。 展开更多
关键词 均值-条件风险价值 收益共享契约 供应链协调
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基于直觉模糊MULTIMOORA的改进FMEA风险评估方法 被引量:22
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作者 王睿 朱江洪 李延来 《计算机集成制造系统》 EI CSCD 北大核心 2018年第2期290-301,共12页
针对传统故障模式和影响分析(FMEA)方法中难以表征评估信息不确定性、未考虑风险因子权重和风险优先值模型不合理等问题,提出基于直觉模糊全乘比例分析多目标优化的改进FMEA方法。该方法运用可转化为直觉模糊数的语言变量表征故障模式... 针对传统故障模式和影响分析(FMEA)方法中难以表征评估信息不确定性、未考虑风险因子权重和风险优先值模型不合理等问题,提出基于直觉模糊全乘比例分析多目标优化的改进FMEA方法。该方法运用可转化为直觉模糊数的语言变量表征故障模式和风险因子权重评估信息,结合直觉模糊优先加权平均(IFPWA)算子集结不同优先等级的专家评估信息,构建专家评估法和偏差最大化模型法相结合的综合赋权法求得风险因子权重,引入直觉模糊集成算子及改进Hamming距离对全乘比例分析多目标优化决策方法进行改进,确定故障模式风险顺序。以铁路线路维修FMEA为例,验证了所提方法的可行性和有效性。 展开更多
关键词 故障模式与影响分析 直觉模糊数 直觉模糊全乘比例分析多目标优化 直觉模糊优先级加权平均算子 风险评估
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基于改进K-means聚类技术与半不变量法的电–气综合能源系统运行风险评估方法 被引量:25
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作者 谢桦 陈昊 +2 位作者 邓晓洋 张沛 孙芊 《中国电机工程学报》 EI CSCD 北大核心 2020年第1期59-69,共11页
实现综合能源系统多能源优化管理和运行控制需要快速准确量化评估系统的运行风险。针对电力系统和天然气系统耦合形成的电–气互联综合能源系统,该文提出基于改进K-means聚类技术与半不变量法的综合能源系统运行风险评估方法。在分析电... 实现综合能源系统多能源优化管理和运行控制需要快速准确量化评估系统的运行风险。针对电力系统和天然气系统耦合形成的电–气互联综合能源系统,该文提出基于改进K-means聚类技术与半不变量法的综合能源系统运行风险评估方法。在分析电–气互联综合能源系统运行特性的基础上,选取支路功率、节点电压、系统频率和节点气压为系统运行风险指标。引入灵敏度修正系数对K-means算法进行改进,消除不同变量的数值尺度差异,并使得聚类结果中具有较大灵敏度的输入随机变量样本具有较小的波动范围。在此基础上,应用半不变量法快速计算电–气综合能源系统状态变量概率分布,进而求解出系统运行风险。算例结果表明:提出的综合能源系统运行风险评估量化计算方法能够有效提升运行风险指标的计算精度和计算效率,满足在线风险评估的要求。 展开更多
关键词 综合能源系统 运行风险评估 K-mEaNS聚类 半不变量法 概率分布
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基于半参数ARCH-M模型的风险厌恶度量 被引量:1
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作者 李元 张兴发 《广州大学学报(自然科学版)》 CAS 2008年第3期1-5,共5页
提出了风险厌恶度量的半参数ARCH-M模型,给出了两步估计方法来估计均值中的未知函数和未知参数:第一步是基于局部线性估计方法,第二步是基于极大似然估计方法.在一定的条件下讨论了估计的渐近性质.
关键词 风险厌恶 aRCH-m模型 半参数模型
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居民家庭金融资产风险与宏观经济波动的协动性关系研究——基于GARCH-M模型的风险度量方法 被引量:6
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作者 徐梅 宁薛平 《统计与信息论坛》 CSSCI 2014年第1期21-25,共5页
居民家庭金融资产组合不仅存在风险,而且风险会随着居民持有不同金融资产的比重、家庭外部宏观经济的波动而变动。通过构建GARCH-M模型,引入宏观经济变量(GDP增长率、CPI、利率),并计算在险价值VaR,分析宏观经济指标波动与家庭金融风险... 居民家庭金融资产组合不仅存在风险,而且风险会随着居民持有不同金融资产的比重、家庭外部宏观经济的波动而变动。通过构建GARCH-M模型,引入宏观经济变量(GDP增长率、CPI、利率),并计算在险价值VaR,分析宏观经济指标波动与家庭金融风险的协动性关系。研究认为,家庭金融收益主要受利率影响,家庭金融风险主要受GDP和CPI影响,而且家庭金融风险具有集聚性,并会影响利率的变化。 展开更多
关键词 居民家庭金融资产 在险价值(VaR) GaRCH-m模型 宏观经济变量
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基于M-LCAPM模型的股票流动性风险构成及其经济意义解释 被引量:1
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作者 李延军 金相杉 +1 位作者 王丽颖 张蒙 《金融发展研究》 北大核心 2018年第9期75-79,共5页
以投资者的投资行为优化为出发点,构建调整的流动性资产定价模型(M-LCAPM模型),研究股票流动性风险构成及其对股票定价的影响。根据M-LCAPM模型,股票流动性对期望收益率的影响途径包括:流动性水平和流动性风险,其中流动性风险可以细分... 以投资者的投资行为优化为出发点,构建调整的流动性资产定价模型(M-LCAPM模型),研究股票流动性风险构成及其对股票定价的影响。根据M-LCAPM模型,股票流动性对期望收益率的影响途径包括:流动性水平和流动性风险,其中流动性风险可以细分为个股流动性风险和系统流动性风险。个股流动性风险是指流动性成本的波动幅度和单个股票收益率对其流动性的敏感度;系统流动性风险则包括单个股票流动性与市场整体流动性的共变性、单个股票的收益率对市场整体流动性的敏感度以及单个股票的流动性对市场收益率的敏感度等三个方面。 展开更多
关键词 投资行为优化 m-LCaPm模型 个股流动性风险 系统流动性风险
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利率服从AR(m)离散时间风险模型的破产分布 被引量:4
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作者 于莉 詹晓琳 傅瀚洋 《经济数学》 2013年第4期90-93,共4页
研究当保费收入在时间区间的期初和期末给付时的两种广义的离散时间的风险模型,当保险公司的利率具有m阶自回归结构的情况下,将其代入上述模型通过递推和数学归纳法,分别得到了描述破产问题的破产前最大盈余分布,破产前盈余、破产后赤... 研究当保费收入在时间区间的期初和期末给付时的两种广义的离散时间的风险模型,当保险公司的利率具有m阶自回归结构的情况下,将其代入上述模型通过递推和数学归纳法,分别得到了描述破产问题的破产前最大盈余分布,破产前盈余、破产后赤字与破产前最大盈余的联合分布以及首达某一水平x的时间分布的满足的微分方程,最后指出可以结合具体的例子会有比较好的实际价值. 展开更多
关键词 离散时间风险模型 m阶自回归 盈余分布 破产后赤字
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改进的GARCH-M模型在股市风险分析中的应用 被引量:1
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作者 姚燕云 《绍兴文理学院学报(自然科学版)》 2006年第1期69-73,共5页
首先对上海和深圳的收益序列进行自相关检验,发现两市均不具有明显的自相关特征.其次对两市收益进行异方差检验,发现它们的异方差特征显著.在前两步基础上提出改进的GARCH—M(1,1)模型进行风险分析,结果表明:沪深两市的风险都... 首先对上海和深圳的收益序列进行自相关检验,发现两市均不具有明显的自相关特征.其次对两市收益进行异方差检验,发现它们的异方差特征显著.在前两步基础上提出改进的GARCH—M(1,1)模型进行风险分析,结果表明:沪深两市的风险都具有时变、正偏、高峰、波动聚集性和长记忆性等特点;中国股市的收益与风险没有必然联系,投资者还处于不完全理性阶段;风险对市场的正负面消息的反应存在显著差别,负面消息在一定程度上加剧了市场波动. 展开更多
关键词 风险 自相关 异方差 改进的GaRCH—m模型
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基于两层m/w模型机群的信用风险VaR实时评估系统
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作者 兰蓉 王凯 《科技管理研究》 北大核心 2010年第19期198-201,共4页
结合金融机构层次组织结构,采用两层主从(m/w)计算模型机群系统,通过简化问题复杂性,建立银行信用风险CreditMetrics框架下VaR实时评估系统。同时,分析信用风险Monte Carlo仿真计算过程,给出减少串行计算成份,提高系统并行性的措施。通... 结合金融机构层次组织结构,采用两层主从(m/w)计算模型机群系统,通过简化问题复杂性,建立银行信用风险CreditMetrics框架下VaR实时评估系统。同时,分析信用风险Monte Carlo仿真计算过程,给出减少串行计算成份,提高系统并行性的措施。通过具体实验,表明该优化算法能够明显提高系统加速效果。 展开更多
关键词 信用风险 CREDITmETRICS VaR 主从(m/w)计算机群系统 monte Carlo仿真
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