0 1 VaR 2 VaR 3 VaR 4 5 VaR 6 7 VaR 2
|
|
|
- 转 濮
- 5 years ago
- Views:
Transcription
1 VaR B 1
2 0 1 VaR 2 VaR 3 VaR 4 5 VaR 6 7 VaR 2
3 VaR VaR VaR _VaR VaR 0.72 VaR 3
4 2001 VaR _VaR % VaR VaR 4
5 VaR VaR VaR VaR VaR VaR 5
6 VaR 1 VaR VaR(Value at Risk) Prob P <VaR = Prob P t VaR VaR 1 2 VaR 2 VaR VaR [0, + ] Rt 6
7 P R t t+ k ln = + k P t = P ln t+ k + P ln t+ k 1 P t+ k 1 Pt + k P ln t P t 1 VaR P0 R P= P 0 (1+R) R µ σ * * P = P (1 + R ) VaR 0 VaR VaR R * P µ = P ( µ R ) * * = E( P) P = 0 (1 + ) P0 (1 + R ) 0 VaR 7
8 VaR A = P * * 0 P = P0 R * VaR P * R f ( p) = + p) dp * * P f P * ( P 1- VaR VaR VaR 3 VaR VaR 3.1 RiskMetrics t t+ 1 t = Σ r t k ) k= 0 2 k σ λ ( 1 λ) r σ = 1 λ) r + λσ t+1t ( t t t σ = λ r + λσ t +1 t 1 t t t 1 Risk Metrics rt = σ ε ε ~ i. i. d. N(0,1) t t t σ t+ 1 t = ( 1 λ) rt + λσ t t 1 8
9 2 E( ) = 0 Var ) = σ r t ( r t t VaR= z σ a t+1 t k Risk Metrics IGARCH(1,1) Risk Metrics t VaR Σ σ T 2 ij( t) = rj k ω = λ k ( 1 λ) λ ω k r i( t k ) µ ri ) rj( t k ) µ ) =Σ 0 k 0< λ <1 ω 1 k r M M M rt X = 11 1 r jj r1 K M M M r TK X 9
10 ~ X = λ r 11 λr M M 21 r T 1 T1 λ J 1 r jj r 1K λr λ M M 2K r T 1 TK T ~ Σ = λ i= 1 1 i 1 ~ X T ~ X T i 1 1 ~ T λ X X T ~ i= 1 1 λ ij k λ r T k= 0 i,( t k ) r j,( t k ) ij T k= 0 k λ 1 λ r,( r i t k ) j,( t k ) σ 2 = ω ' Σω VaR= z p a σ p λ Australia Belgium Switzerland Germany Denmark Spain France Great Britain Italy Japan Netherland United States RiskMetrics-Technical Document, Page 99 t t+ 1 t = Σ r t k ) k= 0 2 k 2 k σ λ ( 1 λ) r λ ( 1 λ) 10
11 '( λ) λ k f > k + 1 k k λ >0.9 k<9 λ ( 1 λ) λ λ ( 1 λ) α z σ a p Expected Shortfall ES + x f ( x) zα ES = VaR α z 1 4 VaR VaR VaR α 11
12 VaR VaR 5 VaR VaR T N p(n/t) p=p* p* 1- VaR p p* VaR T N T N p N T ( 1 p) N Kupiec p=p* R = 2ln N [ ] N T N [( ) ( T ) ] ( ) ( ) N T N T N * * 1 2ln 1 p p R χ 1 2 VaR 12
13 VaR 1 VaR 1.1 VaR % RiskMetrics VaR Risk Metrics VaR 95% 180 W:Normal Pr<W VaR 1.846% 1.811% 2.125% 1.859% VaR
14 % VaR VaR RiskMetrics VaR VaR VaR 5% 95% VaR RiskMetrics VaR 180 VaR RiskMetrics VaR Kupiec 95% 150 [3 13] RiskMetrics VaR VaR VaR 14
15 1.2 Risk Metrics N(0, σ ), MATAB z α σ t 180 ES/VaR 95% ES/VaR 99% VaR VaR VaR ES/VaR % VaR Risk Metrics VaR 2 VaR VaR 3 VaR t 15
16 P = n C r i n i= 1 (1 + ) (1 + r) P r P 1 = r 1+ r n i C (1 + r) P 1 = P (1 + r) P P = D r P 100 n + n (1 + r i i= 1 ) n i C (1 + r) 100 n + n (1 + r i i=1 ) r C D VaR VaR VaR VaR VaR RiskMetrics VaR VaR VaR % 2.06% % 7.58% % 1.92% % 1.20% % 2.07% % 1.52% % 0.68% % 0.83%
17 % 0.88% % 1.63% VaR % VaR VaR VaR VaR 1 17
18 Niemeyer 1993 Hamao 1995 Biais 1995 Hedvall 1997 Ahn VaR
19 = t ( Pmax Pmin ) V P min P P max min V t V V t t 2.2 VaR _VaR Prob A <_VaR = Prob A Asset 0 t 0 19
20 _VaR _VaR _VaR _VaR 2.3 t t t * t P ln( ) = ln t max P P min min ln( V ) t * _VaR t t * σ t _VaR= µ +1. e * t 20
21 3.1 95% * IGARCH(1,1) * σ t+ t = 1 λ rt + λσ t t 1 ( ) * * ~ N(0 1) t σ, t * σ _VaR=,t e µ σ * t % % 36,700 5% % %
22 10 _VaR _VaR 0.367% 0.694% % 3.237% IPO _VaR _VaR _VaR % % % % % % % % % % % % % % % % % % % % % %
23 % 5% % _VaR _VaR 2001 Std[(Pmax Pmin)/Pmin] 180 _VaR Exchange _risk Volume 23
24 2001 JT _VaR _VaR Exchange JT -risk % Vol % 0.67% 0.52% 1.35% 6, % 0.80% 0.51% 1.37% 4, % 0.78% 0.43% 1.78% 3, % 0.63% 0.38% 1.15% 5, % 0.64% 0.82% 1.92% 3, % 1.05% 0.71% 1.61% 3, % 1.74% 0.29% 1.69% 2, % 0.32% 0.63% 1.63% 4, % 1.96% 0.64% 2.38% 4, % 0.63% 0.70% 1.68% 1, % 0.42% 0.61% 1.35% 3, % 1.06% 0.35% 2.00% 2, % 0.33% 0.72% 1.27% % 0.82% 0.54% 1.42% 1, % 1.41% 0.50% 1.21% 2, % 1.05% 0.49% 1.54% 3, % 1.19% 0.37% 1.90% 3, % 0.63% 0.61% 1.49% 4, % 0.37% 0.42% 1.07% 1, % 0.63% 0.67% 1.74% 1, % 2.08% 0.78% 2.54% 4, % 1.41% 0.51% 2.21% 3, % 1.06% 0.46% 1.85% 1, % 0.63% 0.67% 1.72% 1, % 0.66% 0.72% 1.66% 2, % 0.30% 0.67% 1.94% 1, % 1.54% 0.26% 2.08% 2, % 0.57% 0.46% 1.65% 1, % 0.59% 0.45% 1.59% 1, % 0.70% 0.42% 1.27% 1, % 1.02% 1.17% 2.21% 1, % 0.81% 0.45% 1.30% 1, % 1.32% 0.86% 1.89% 2, % 0.54% 0.38% 1.94% 2, % 0.70% 0.18% 2.14% 1, % 0.83% 0.47% 1.04% 2, % 0.54% 0.72% 1.60%
25 % 1.10% 0.42% 1.61% 2, % 2.64% 0.19% 1.77% 3, % 0.72% 0.48% 2.33% 2, % 0.53% 0.46% 1.08% 2, % 0.77% 0.38% 2.06% 1, % 0.59% 0.15% 1.62% 2, % 0.44% 0.56% 1.41% 2, % 0.85% 0.42% 2.01% 1, % 0.93% 0.45% 1.93% 2, % 1.43% 0.57% 2.18% 1, % 0.95% 0.70% 2.08% % 3.94% 0.84% 1.87% 4, % 0.62% 0.22% 1.27% 1, % 1.58% 0.55% 1.68% 2, % 1.06% 0.30% 1.87% 5, % 0.83% 0.56% 2.45% 2, % 0.74% 0.25% 1.89% 2, % 1.10% 0.58% 2.17% 1, % 1.43% 0.76% 2.08% 1, % 1.05% 0.49% 2.09% 1, % 0.88% 0.50% 1.51% 2, % 0.48% 0.43% 1.89% % 0.70% 0.27% 1.62% 1, % 0.86% 0.63% 1.87% 2, % 0.35% 0.43% 1.47% % 0.43% 0.50% 1.88% % 0.69% 0.52% 1.70% 1, % 1.02% 0.92% 1.78% 1, % 2.23% 0.67% 2.35% 2, % 1.59% 0.12% 1.82% 2, % 0.47% 0.45% 1.44% 1, % 0.29% 0.58% 1.30% % 0.60% 0.44% 1.72% 1, % 0.76% 0.36% 1.87% 1, % 0.41% 0.67% 1.58% 1, % 0.90% 0.42% 2.02% % 0.40% 0.25% 1.20% % 0.51% 0.62% 1.84% 1, % 0.60% 0.29% 1.91% 1, % 0.43% 0.53% 1.44% 1, % 0.55% 0.40% 1.59% 1, % 0.79% 0.29% 2.00% 1, % 0.39% 0.15% 1.92% % 1.17% 0.79% 1.35% 1,
26 % 0.27% 0.00% 1.03% 1, % 0.43% 0.60% 2.00% % 0.72% 0.47% 2.04% 1, % 0.37% 1.03% 1.86% % 0.35% 0.44% 1.47% % 0.49% 0.13% 1.49% % 1.15% 0.53% 1.80% 1, % 0.70% 0.45% 1.60% 1, % 0.70% 0.61% 1.80% 1, % 0.58% 0.42% 1.88% 1, % 2.28% 0.81% 2.43% 1, % 0.70% 0.24% 1.45% 1, % 1.69% 0.12% 1.86% 2, % 0.58% 0.55% 1.48% % 0.52% 0.57% 1.53% 1, % 0.55% 0.49% 1.94% 1, % 0.32% 0.26% 1.46% % 0.67% 0.29% 1.73% 1, % 0.88% 0.78% 2.23% % 0.79% 0.26% 1.22% 1, % 1.17% 0.34% 2.22% 1, % 0.59% 0.72% 1.51% % 0.47% 0.34% 1.79% % 0.32% 0.72% 1.59% % 0.29% 0.18% 1.34% % 0.51% 0.59% 1.61% % 0.50% 0.59% 1.86% % 0.72% 0.47% 1.88% 1, % 0.56% 0.64% 1.87% % 1.08% 0.30% 2.16% 1, % 0.51% 0.30% 1.59% 1, A % 0.67% 0.41% 1.61% % 0.37% 0.47% 1.85% % 0.69% 0.39% 1.32% 1, % 0.91% 0.68% 1.88% % 0.74% 0.34% 1.89% 1, % 0.60% 0.53% 1.65% 1, % 0.25% 0.82% 1.73% % 0.42% 0.30% 1.71% % 1.15% 0.78% 1.90% 1, % 0.49% 0.64% 1.47% % 0.79% 0.66% 2.23% % 0.71% 0.72% 2.07% % 1.04% 0.22% 1.63% 1,
27 % 0.82% 0.79% 1.62% % 0.78% 0.78% 1.97% 1, % 0.59% 0.68% 1.64% % 0.54% 0.83% 1.90% % 0.81% 0.10% 2.15% 1, % 0.71% 0.02% 1.55% 2, % 0.63% 0.48% 1.96% % 0.37% 0.59% 1.35% % 0.44% 0.31% 1.13% % 0.55% 0.27% 1.70% % 0.65% 0.10% 1.30% % 0.64% 0.28% 1.91% % 0.60% 0.71% 2.11% 1, % 0.51% 0.13% 1.35% % 1.56% 0.41% 2.17% 1, % 0.44% 0.63% 1.93% % 0.53% 0.81% 2.12% % 0.67% 0.37% 1.97% % 0.47% 0.52% 1.59% % 0.74% 0.61% 1.90% % 0.93% 0.64% 2.55% % 0.31% 0.42% 1.50% % 0.44% 0.63% 1.42% % 0.53% 0.85% 2.28% % 0.53% 0.50% 1.95% % 0.32% 0.62% 1.82% % 0.51% 0.59% 1.76% % 0.66% 0.41% 1.82% 1, % 0.30% 0.67% 1.50% % 0.45% 0.11% 1.67% % 0.48% 0.38% 1.81% % 0.39% 0.67% 1.55% % 0.52% 0.34% 2.05% % 0.42% 0.05% 1.79% % 0.35% 0.74% 1.44% % 0.29% 0.28% 1.73% % 0.58% 0.60% 1.73% % 0.89% 0.73% 2.42% 1, % 0.49% 0.65% 1.72% % 0.40% 0.79% 1.81% % 0.29% 0.33% 1.71% % 0.41% 0.72% 1.86% % 0.52% 0.54% 2.23% % 0.33% 0.35% 1.60%
28 % 0.52% 0.95% 1.95% % 0.31% 0.87% 2.05% % 0.39% 0.27% 2.16% % 0.41% 0.29% 1.75% % 0.46% 0.24% 1.46% % 0.34% 0.28% 1.57% % 0.74% 0.33% 1.61% % 0.40% 0.16% 1.68% % 0.48% 0.90% 2.02% % 0.54% 0.46% 2.18% % 0.26% 0.67% 2.32% _VaR _VaR Exchange JT _risk Volume JT Exchaneg _risk Volume _VaR 1 _VaR Exchange JT -risk Vol Exchange JT risk Vol _VaR Exchange, 28
29 _VaR _VaR VaR VaR VaR VaR VaR marginal VaR component VaR VaR incremental VaR 29
30 1 VaR 1.1 VaR M-VaR P I VaR I VaR M VaR = i VaR( P) w i wi 2 I σ = w' Cov( R ) w p p σ p w σ = 2w Cov( R ) 2 p p w σ p Cov( R p ) w = = β σ p w σ p Cov( R ) w ( p β = Var R ) p 95% VaR=1.65σ M VaR = β VaR R ) VaR I p i VaR 1.2 VaR C-VaR i ( p VaR VaR N VaR VaR = i= 1 C VaR i VaR C VaR = i w M i VaR i 1.3 VaR I-VaR N VaR N VaR I - = VaR N - VaR N I-VaR VaR 30
31 I VaR( P) ( w VaR P) w wn = M VaR N = 0 wn = 0 wn N VaR 10 VaR 95% % VaR VaR VaR _VaR % 1.73% 349,978, % 1.58% 5,522, % 0.33% 2.22% 244,233, % 2.11% 5,154, % 0.51% 1.11% 163,121, % 0.82% 1,332, % 1.66% 2.62% 64,480, % 2.10% 1,354, % 0.58% 2.56% 62,143, % 1.94% 1,208, % 23.05% 1.38% 54,226, % 1.11% 604, % 3.23% 1.07% 54,134, % 0.57% 309, % 18.45% 1.91% 50,920, % 1.36% 693, % 4.69% 1.66% 41,442, % 1.29% 533, % 1.38% 2.38% 35,802, % 2.11% 754, % 7.93% VaR 1.56% 1,120,483, % VaR 17,467, % % VaR VaR VaR _VaR % 1.15% 184,950, % 0.88% 1,630, % 0.33% 2.26% 181,746, % 2.15% 3,901, % 0.51% 1.67% 176,150, % 1.52% 2,677, % 1.66% 2.66% 48,392, % 2.15% 1,041, % 0.58% 2.01% 47,294, % 1.61% 762, % 23.05% 2.63% 36,382, % 2.00% 729, % 3.23% 3.69% 34,080, % 3.12% 1,064, % 18.45% 2.95% 18,663, % 2.57% 478, % 4.69% 2.39% 8,980, % 1.76% 158, % 1.38% 1.93% 8,606, % 1.71% 147, % 7.93% 31
32 VaR 1.69% 745,247, % VaR 12,591, % % VaR VaR VaR _VaR % 1.15% 73,544, % 0.86% 630, % 1.66% 2.07% 69,025, % 1.51% 1,043, % 2.89% 3.69% 68,322, % 3.39% 2,316, % 1.16% 1.67% 60,007, % 1.42% 853, % 0.33% 2.26% 46,883, % 2.07% 970, % 0.51% VaR 1.83% 317,783, % VaR 5,814, % % VaR VaR VaR _VaR % 1.73% 35,619, % 1.57% 559, % 0.33% 1.11% 18,353, % 0.81% 148, % 1.66% 2.03% 11,920, % 1.48% 176, % 2.89% 1.66% 10,455, % 1.33% 139, % 1.38% 2.58% 9,926, % 2.08% 206, % 11.21% 2.45% 6,933, % 2.04% 141, % 37.23% 2.22% 6,825, % 2.00% 136, % 0.51% 2.06% 5,710, % 1.70% 97, % 3.26% 2.14% 4,591, % 1.57% 72, % 4.81% 1.91% 4,365, % 1.45% 63, % 4.69% VaR 1.52% 114,700, % VaR 1,741, % % VaR VaR VaR _VaR % 3.44% 10,939, % 3.04% 332, % 3.85% 2.62% 9,419, % 2.29% 215, % 0.58% 2.13% 7,910, % 1.87% 147, % 11.87% 2.16% 7,672, % 1.51% 115, % 12.11% 2.03% 7,188, % 1.48% 106, % 2.89% 3.17% 6,436, % 2.92% 188, % 2.14% 1.66% 6,147, % 1.44% 88, % 1.38% 3.48% 5,986, % 2.94% 175, % 7.20% 2.18% 5,732, % 1.76% 100, % 6.65% 1.83% 5,620, % 0.71% 40, % 46.99% VaR 2.07% 73,053, % VaR 1,511, % % VaR VaR VaR _VaR % 32
33 1.73% 20,519, % 1.38% 282, % 0.33% 2.54% 15,375, % 2.14% 329, % 8.54% 2.62% 14,588, % 2.33% 339, % 0.58% 2.06% 9,528, % 1.66% 158, % 3.26% 1.45% 7,846, % 0.26% 20, % 1.94% 2.03% 6,588, % 1.45% 95, % 2.89% 2.88% 6,510, % 2.22% 144, % 2.92% 3.44% 6,076, % 2.70% 164, % 3.85% 3.03% 5,071, % 2.56% 129, % 19.25% 2.52% 4,767, % 1.85% 87, % 2.77% VaR 1.81% 96,872, % VaR 1,752, % % VaR VaR VaR _VaR % % 356,567, % 0.268% 955, % 0.59% % 283,804, % 0.191% 542, % 0.51% % 268,415, % 0.082% 220, % 1.80% % 203,019, % 0.062% 125, % 0.02% % 165,592, % 0.083% 136, % 41.39% VaR 0.155% 1,277,400, % VaR 1,980, % VaR 1.56% VaR 17,467, % 10 VaR 2.11% VaR 211 VaR 2% VaR VaR 17,467, VaR
34 6 VaR 5 VaR VaR VaR 6 % VaR VaR VaR 1 34
35 % 130% / 120% / 20% 35
36 2 VaR *100% 36
37 % 100/120 95% VaR VaR 10.50% 1.66% 87.84% 73.20% 15.74% 5.06% 79.19% 66.00% 9.35% 2.89% 87.76% 73.13% 13.37% 8.15% 78.48% 65.40% 7.70% 4.69% 87.60% 73.00% 10.44% 11.96% 77.60% 64.67% 9.26% 3.23% 87.51% 72.92% 16.99% 5.76% 77.25% 64.37% 11.83% 1.38% 86.79% 72.33% 11.71% 11.91% 76.38% 63.65% 12.24% 1.01% 86.75% 72.29% 20.72% 5.47% 73.81% 61.51% 37
38 8.98% 4.33% 86.69% 72.24% 11.25% 15.51% 73.24% 61.03% 8.84% 5.83% 85.33% 71.10% 14.48% 13.21% 72.31% 60.26% 12.20% 2.49% 85.32% 71.10% 15.55% 13.32% 71.13% 59.28% 11.16% 4.00% 84.84% 70.70% 13.05% 16.05% 70.90% 59.08% 10.52% 5.17% 84.31% 70.26% 16.25% 13.28% 70.48% 58.73% 14.04% 1.85% 84.11% 70.09% 10.80% 20.55% 68.65% 57.20% 10.95% 5.08% 83.97% 69.97% 22.67% 9.02% 68.31% 56.92% 13.65% 2.91% 83.45% 69.54% 12.32% 19.79% 67.88% 56.57% 12.68% 3.88% 83.44% 69.53% 19.16% 13.32% 67.52% 56.26% 13.88% 2.77% 83.36% 69.46% 10.80% 22.00% 67.20% 56.00% 12.87% 4.45% 82.68% 68.90% 13.35% 21.40% 65.26% 54.38% 11.02% 6.30% 82.67% 68.90% 23.05% 11.89% 65.06% 54.22% 15.14% 2.29% 82.56% 68.80% 17.05% 17.95% 65.00% 54.17% 10.07% 7.38% 82.55% 68.79% 18.74% 16.78% 64.48% 53.73% 15.53% 1.94% 82.53% 68.77% 12.15% 23.44% 64.41% 53.67% 12.70% 4.81% 82.49% 68.74% 15.59% 21.43% 62.98% 52.48% 14.05% 3.72% 82.23% 68.53% 20.17% 17.14% 62.69% 52.24% 14.82% 3.13% 82.05% 68.37% 19.90% 17.99% 62.11% 51.76% 15.03% 2.93% 82.04% 68.37% 13.88% 25.31% 60.81% 50.68% 8.50% 9.66% 81.83% 68.19% 17.06% 22.22% 60.72% 50.60% 15.16% 3.22% 81.62% 68.01% 11.05% 30.13% 58.82% 49.01% 10.50% 7.93% 81.56% 67.97% 18.75% 23.00% 58.25% 48.54% 13.26% 5.18% 81.56% 67.97% 14.21% 27.86% 57.93% 48.27% 13.70% 4.78% 81.52% 67.94% 13.44% 28.69% 57.87% 48.23% 14.14% 4.55% 81.31% 67.76% 25.17% 17.31% 57.52% 47.93% 10.41% 8.31% 81.28% 67.73% 21.28% 22.01% 56.71% 47.26% 14.97% 4.11% 80.92% 67.43% 25.82% 18.08% 56.09% 46.74% 14.52% 4.65% 80.84% 67.36% 21.64% 22.27% 56.09% 46.74% 17.03% 2.14% 80.83% 67.36% 15.00% 29.69% 55.31% 46.09% 13.21% 6.16% 80.63% 67.19% 16.63% 28.83% 54.54% 45.45% 11.20% 8.35% 80.46% 67.05% 21.46% 24.59% 53.95% 44.96% 16.06% 3.51% 80.44% 67.03% 15.25% 31.41% 53.34% 44.45% 15.94% 4.01% 80.05% 66.71% 14.86% 32.05% 53.09% 44.24% 12.66% 7.40% 79.93% 66.61% 24.60% 22.56% 52.84% 44.03% 15.44% 4.71% 79.85% 66.54% 11.90% 36.10% 52.00% 43.34% 10.86% 9.60% 79.53% 66.28% 26.91% 22.07% 51.02% 42.52% 17.76% 3.02% 79.21% 66.01% 20.05% 29.17% 50.78% 42.32% 12.69% 8.37% 78.94% 65.79% 18.31% 31.15% 50.54% 42.12% 17.20% 3.91% 78.88% 65.74% 29.52% 20.39% 50.09% 41.74% 8.22% 13.00% 78.78% 65.65% 21.36% 28.69% 49.95% 41.63% 18.02% 3.33% 78.64% 65.54% 21.21% 29.30% 49.49% 41.25% 19.40% 1.99% 78.61% 65.51% 31.68% 19.97% 48.36% 40.30% 38
39 15.74% 5.66% 78.60% 65.50% 16.63% 35.15% 48.22% 40.18% 15.82% 5.87% 78.31% 65.26% 27.34% 24.92% 47.74% 39.78% 13.79% 8.16% 78.05% 65.04% 16.70% 36.33% 46.97% 39.14% 14.46% 7.63% 77.91% 64.93% 12.79% 40.31% 46.90% 39.08% 12.27% 9.96% 77.77% 64.81% 20.08% 33.21% 46.71% 38.93% 15.45% 6.93% 77.62% 64.68% 13.27% 40.58% 46.15% 38.46% 12.30% 10.14% 77.56% 64.64% 15.01% 39.11% 45.88% 38.23% 14.96% 7.52% 77.52% 64.60% 17.42% 36.94% 45.64% 38.03% 17.86% 4.66% 77.48% 64.56% 18.02% 37.10% 44.88% 37.40% 17.04% 5.50% 77.46% 64.55% 26.65% 28.83% 44.52% 37.10% 17.25% 5.29% 77.46% 64.55% 20.55% 35.01% 44.44% 37.04% 17.74% 4.92% 77.34% 64.45% 15.11% 41.56% 43.33% 36.11% 16.38% 6.56% 77.06% 64.22% 13.23% 43.45% 43.31% 36.10% 14.95% 8.03% 77.02% 64.18% 24.26% 32.50% 43.23% 36.03% 11.47% 11.51% 77.02% 64.18% 13.82% 43.78% 42.40% 35.33% 15.26% 7.83% 76.91% 64.09% 15.58% 42.24% 42.17% 35.14% 13.34% 10.04% 76.62% 63.85% 15.72% 43.48% 40.80% 34.00% 15.94% 7.55% 76.50% 63.75% 15.40% 44.06% 40.54% 33.79% 12.73% 10.85% 76.42% 63.68% 9.79% 49.72% 40.49% 33.74% 16.63% 7.05% 76.32% 63.60% 23.39% 36.57% 40.04% 33.37% 13.61% 10.15% 76.24% 63.53% 21.00% 39.06% 39.95% 33.29% 16.03% 7.75% 76.22% 63.52% 16.40% 43.91% 39.70% 33.08% 11.88% 12.34% 75.78% 63.15% 22.16% 38.60% 39.24% 32.70% 16.51% 7.74% 75.75% 63.12% 19.83% 40.97% 39.20% 32.67% 12.06% 12.25% 75.69% 63.07% 18.23% 43.28% 38.48% 32.07% 18.91% 5.63% 75.46% 62.88% 31.69% 29.89% 38.42% 32.02% 14.53% 10.08% 75.39% 62.82% 19.40% 42.66% 37.95% 31.62% 12.64% 11.97% 75.38% 62.82% 20.51% 42.39% 37.11% 30.92% 18.52% 6.15% 75.32% 62.77% 20.12% 43.34% 36.54% 30.45% 15.97% 8.70% 75.32% 62.77% 26.93% 37.35% 35.72% 29.77% 16.24% 8.51% 75.24% 62.70% 12.40% 52.31% 35.29% 29.41% 21.20% 3.59% 75.21% 62.67% 18.51% 47.86% 33.63% 28.03% 17.85% 7.20% 74.95% 62.45% 17.27% 49.36% 33.36% 27.80% 13.66% 11.43% 74.91% 62.43% 19.46% 48.38% 32.16% 26.80% 16.62% 8.47% 74.91% 62.42% 23.40% 44.85% 31.75% 26.46% 17.09% 8.03% 74.89% 62.41% 13.44% 55.16% 31.40% 26.17% 17.87% 7.34% 74.79% 62.32% 23.50% 45.77% 30.73% 25.61% 18.76% 6.45% 74.79% 62.32% 28.91% 40.55% 30.54% 25.45% 17.06% 8.44% 74.50% 62.08% 18.54% 52.08% 29.37% 24.48% 14.40% 11.39% 74.21% 61.84% 21.77% 49.12% 29.11% 24.26% 15.23% 10.60% 74.17% 61.81% 20.83% 50.10% 29.08% 24.23% 16.92% 8.93% 74.15% 61.79% 15.87% 56.26% 27.87% 23.23% 39
40 14.23% 11.80% 73.97% 61.64% 19.59% 52.56% 27.85% 23.21% 15.05% 11.01% 73.94% 61.62% 20.64% 51.66% 27.70% 23.08% 16.75% 9.34% 73.92% 61.60% 22.94% 50.05% 27.01% 22.50% 17.31% 8.83% 73.86% 61.55% 15.12% 58.71% 26.17% 21.80% 11.80% 14.50% 73.70% 61.41% 15.82% 58.41% 25.77% 21.48% 13.41% 13.02% 73.57% 61.31% 23.82% 50.99% 25.19% 20.99% 13.50% 12.99% 73.51% 61.26% 20.44% 56.20% 23.36% 19.46% 8.38% 18.46% 73.17% 60.97% 20.05% 57.45% 22.50% 18.75% 15.26% 11.60% 73.14% 60.95% 19.81% 60.37% 19.82% 16.52% 15.38% 11.87% 72.75% 60.62% 17.24% 63.30% 19.46% 16.21% 21.20% 6.22% 72.58% 60.49% 17.51% 63.16% 19.32% 16.10% A 14.52% 13.00% 72.48% 60.40% 18.84% 62.16% 19.00% 15.83% 13.28% 14.24% 72.48% 60.40% 17.16% 63.93% 18.91% 15.76% 11.36% 16.41% 72.22% 60.19% 22.99% 58.35% 18.66% 15.55% 15.08% 12.87% 72.04% 60.04% 28.76% 54.32% 16.93% 14.10% 11.59% 16.45% 71.96% 59.97% 22.39% 60.93% 16.69% 13.90% 14.71% 13.36% 71.92% 59.93% 24.43% 59.68% 15.89% 13.24% 12.84% 15.31% 71.85% 59.88% 24.62% 59.95% 15.43% 12.86% 12.12% 16.06% 71.82% 59.85% 19.51% 65.22% 15.27% 12.72% 17.53% 10.72% 71.75% 59.79% 17.56% 68.66% 13.78% 11.48% 16.32% 11.94% 71.73% 59.78% 20.89% 65.87% 13.24% 11.03% 21.70% 6.57% 71.73% 59.78% 24.16% 63.25% 12.59% 10.49% 15.65% 12.77% 71.58% 59.65% 28.86% 59.22% 11.92% 9.94% 18.03% 10.69% 71.28% 59.40% 23.33% 65.10% 11.57% 9.64% 13.93% 14.80% 71.27% 59.39% 18.08% 71.10% 10.81% 9.01% 21.91% 7.04% 71.04% 59.20% 13.60% 75.83% 10.57% 8.81% 9.29% 19.71% 71.00% 59.17% 28.17% 61.78% 10.05% 8.38% 21.46% 7.71% 70.84% 59.03% 26.89% 63.86% 9.25% 7.70% 10.88% 18.53% 70.59% 58.83% 26.99% 65.39% 7.62% 6.35% 13.92% 15.50% 70.58% 58.81% 17.56% 75.32% 7.12% 5.94% 11.77% 18.04% 70.19% 58.49% 22.69% 71.42% 5.90% 4.91% 13.38% 16.52% 70.10% 58.42% 15.34% 80.03% 4.63% 3.86% 13.74% 16.46% 69.80% 58.17% 13.85% 82.37% 3.79% 3.16% 14.54% 15.69% 69.78% 58.15% 17.19% 79.10% 3.71% 3.09% 17.59% 12.90% 69.51% 57.93% 21.96% 75.46% 2.58% 2.15% 16.91% 13.75% 69.34% 57.78% 22.09% 76.58% 1.33% 1.11% 14.63% 16.42% 68.95% 57.46% 21.16% 79.22% -0.38% -0.32% 15.15% 15.91% 68.94% 57.45% 19.64% 80.77% -0.41% -0.34% 16.31% 14.89% 68.80% 57.34% 21.87% 80.08% -1.95% -1.63% 13.69% 17.60% 68.71% 57.26% 13.56% 89.00% -2.56% -2.13% 18.63% 12.95% 68.42% 57.02% 22.09% 82.48% -4.57% -3.81% 14.75% 16.94% 68.30% 56.92% A 22.77% 84.33% -7.10% -5.91% 40
41 15.91% 15.82% 68.26% 56.89% 27.65% 80.67% -8.32% -6.93% 16.24% 16.96% 66.80% 55.66% 19.20% 89.53% -8.73% -7.28% 17.08% 16.36% 66.56% 55.47% 18.09% 91.37% -9.46% -7.88% 14.91% 18.57% 66.52% 55.43% 18.85% 91.06% -9.91% -8.26% 22.59% 11.13% 66.27% 55.23% 27.91% 82.42% % -8.61% 13.49% 20.28% 66.23% 55.19% 19.04% 96.36% % % 13.95% 20.03% 66.02% 55.02% 18.03% 98.96% % % 16.70% 17.37% 65.92% 54.94% 16.31% % % % 13.72% 20.46% 65.82% 54.85% 21.70% 97.06% % % 21.44% 12.91% 65.65% 54.71% 25.56% 93.29% % % 16.55% 18.55% 64.90% 54.09% 37.06% 81.84% % % 14.76% 20.40% 64.84% 54.03% 25.43% 94.83% % % 11.77% 23.42% 64.80% 54.00% 19.96% % % % 16.44% 18.93% 64.63% 53.86% 17.02% % % % 14.00% 21.42% 64.59% 53.82% 17.79% % % % 8.68% 26.74% 64.58% 53.82% 19.98% % % % 21.23% 15.23% 63.55% 52.95% 17.88% % % % 13.15% 23.39% 63.46% 52.89% 19.41% % % % 12.49% 24.15% 63.36% 52.80% 20.29% % % % 15.80% 21.27% 62.93% 52.44% 25.64% % % % 12.61% 24.52% 62.87% 52.39% 23.90% % % % 18.37% 18.97% 62.65% 52.21% 20.24% % % % 12.11% 25.95% 61.94% 51.62% 25.10% % % % 13.47% 24.69% 61.84% 51.53% 18.53% % % % 16.36% 22.12% 61.52% 51.27% 18.92% % % % 13.91% 24.61% 61.48% 51.23% 18.54% % % % 13.17% 25.92% 60.91% 50.76% 24.30% % % % 15.55% 24.18% 60.27% 50.22% 19.38% % % % 19.45% 20.29% 60.26% 50.22% 27.74% % % % 15.65% 24.63% 59.72% 49.76% 25.54% % % % 15.86% 24.56% 59.58% 49.65% 30.77% % % % 16.63% 25.14% 58.23% 48.53% 19.73% % % % 22.23% 19.99% 57.78% 48.15% 23.19% % % % 13.47% 28.76% 57.76% 48.13% 22.36% % % % 16.14% 26.37% 57.48% 47.90% 29.72% % % % 16.01% 26.74% 57.25% 47.71% 29.94% % % % 14.82% 28.20% 56.99% 47.49% 23.18% % % % 13.48% 29.58% 56.95% 47.46% 19.56% % % % 12.31% 31.45% 56.25% 46.87% 24.23% % % % 15.82% 29.08% 55.10% 45.92% 17.45% % % % 19.74% 26.06% 54.21% 45.17% 19.76% % % % 18.67% 27.48% 53.85% 44.87% 21.21% % % % 41
42 18.82% 27.78% 53.40% 44.50% 19.40% % % % 16.24% 33.64% 50.13% 41.77% 23.27% % % % 14.3% 36.96% 48.91% 40.76% 17.24% % % % 17.78% 37.93% 44.29% 36.91% 16.27% % % % 19.75% 79.00% 1.25% 1.04% 22.14% % % % 15.46% % % % 26.01% % % % 60% 1 VaR 2003 VaR VaR VaR VaR 42
43 % % % 60% % 60% % 60% 60% 60% G30 VaR 43
44 VaR VaR VaR VaR VaR VaR ARCH 11 J.P Morgan 1996 RiskMetrics Technical Document 12 J.P Morgan 2000 RiskMetrics Technical Document 13 J.P Morgan/Reuters Risk Metrics Monitor VaR 16..K VaR 44
%! # # % % & # ( ) ( +, & +, +, & +, & +, +, &!
%! # # % % & # ( ) ( +, & +, +, & +, & +, +, &! & &./ 0 # #1 # 2! +, 3 4 4 +,!!!! 4 4 4 4 4 56 7 89 #! 4! 4 4! 4 4! 14 #: 2 4! +,! +, 14 4 ; < = ( 4 < = +14 # : 1 1 4 # : : 3 # (4,! / +, +, +, > +,? 3
# ( + + # + # 6 +,! + # +! +, + # ( + ) ( + ( + ) + 7! + # + /8 + ) ( +! + #. + ( +, +! + # + # + + ( ! ( + ) ( + ) +, + ( + 9% +! +, + ( +
! ## % & (! ) # (! + ) (, ( + ) ( +! ( + + # + #! + ( + + ( + ) ( + + ( + # + ) +! ( + ( + # +! ( + ) + # ( + ) + # +! ( +. + / 0. + ( + # + # + +, + ) + + ) + 1!, ( 2 1 # 3 )! # ( 4 5 #3 (! # ( 4 # #
Ζ # % & ( ) % + & ) / 0 0 1 0 2 3 ( ( # 4 & 5 & 4 2 2 ( 1 ) ). / 6 # ( 2 78 9 % + : ; ( ; < = % > ) / 4 % 1 & % 1 ) 8 (? Α >? Β? Χ Β Δ Ε ;> Φ Β >? = Β Χ? Α Γ Η 0 Γ > 0 0 Γ 0 Β Β Χ 5 Ι ϑ 0 Γ 1 ) & Ε 0 Α
untitled
Ω min VaRβ ( x) x X T T T rx = E( x y) = x u = rp, x I = 1 R i R i f Ri Rf i R c Rc Rf Rp Rf ρpc...(4) c p c Rc ρcp ( Rp Rf) + Rf...(5) p Rc R f c Rp p ρcp R f R c p p ρ cp r A = rd D ra r rd r > > A A
& &((. ) ( & ) 6 0 &6,: & ) ; ; < 7 ; = = ;# > <# > 7 # 0 7#? Α <7 7 < = ; <
! # %& ( )! & +, &. / 0 # # 1 1 2 # 3 4!. &5 (& ) 6 0 0 2! +! +( &) 6 0 7 & 6 8. 9 6 &((. ) 6 4. 6 + ( & ) 6 0 &6,: & )6 0 3 7 ; ; < 7 ; = = ;# > 7 # 0 7#? Α
) & ( +,! (# ) +. + / & 6!!!.! (!,! (! & 7 6!. 8 / ! (! & 0 6! (9 & 2 7 6!! 3 : ; 5 7 6! ) % (. ()
! # % & & &! # % &! ( &! # )! ) & ( +,! (# ) +. + / 0 1 2 3 4 4 5 & 6!!!.! (!,! (! & 7 6!. 8 / 6 7 6 8! (! & 0 6! (9 & 2 7 6!! 3 : ; 5 7 6! ) % (. () , 4 / 7!# + 6 7 1 1 1 0 7!.. 6 1 1 2 1 3
08-01.indd
1 02 04 08 14 20 27 31 35 40 43 51 57 60 07 26 30 39 50 56 65 65 67 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 ω ρ ε 23 λ ω < 1 ω < 1 ω > 0 24 25 26 27 28 29 30 31 ρ 1 ρ σ b a x x i +3 x i
! /. /. /> /. / Ε Χ /. 2 5 /. /. / /. 5 / Φ0 5 7 Γ Η Ε 9 5 /
! # %& ( %) & +, + % ) # % % ). / 0 /. /10 2 /3. /!. 4 5 /6. /. 7!8! 9 / 5 : 6 8 : 7 ; < 5 7 9 1. 5 /3 5 7 9 7! 4 5 5 /! 7 = /6 5 / 0 5 /. 7 : 6 8 : 9 5 / >? 0 /.? 0 /1> 30 /!0 7 3 Α 9 / 5 7 9 /. 7 Β Χ9
! # % & ( & # ) +& & # ). / 0 ) + 1 0 2 & 4 56 7 8 5 0 9 7 # & : 6/ # ; 4 6 # # ; < 8 / # 7 & & = # < > 6 +? # Α # + + Β # Χ Χ Χ > Δ / < Ε + & 6 ; > > 6 & > < > # < & 6 & + : & = & < > 6+?. = & & ) & >&
!! # % & ( )!!! # + %!!! &!!, # ( + #. ) % )/ # & /.
! # !! # % & ( )!!! # + %!!! &!!, # ( + #. ) % )/ # & /. #! % & & ( ) # (!! /! / + ) & %,/ #! )!! / & # 0 %#,,. /! &! /!! ) 0+(,, # & % ) 1 # & /. / & %! # # #! & & # # #. ).! & #. #,!! 2 34 56 7 86 9
07-3.indd
1 2 3 4 5 6 7 08 11 19 26 31 35 38 47 52 59 64 67 73 10 18 29 76 77 78 79 81 84 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48
! # % & # % & ( ) % % %# # %+ %% % & + %, ( % % &, & #!.,/, % &, ) ) ( % %/ ) %# / + & + (! ) &, & % & ( ) % % (% 2 & % ( & 3 % /, 4 ) %+ %( %!
! # # % & ( ) ! # % & # % & ( ) % % %# # %+ %% % & + %, ( % % &, & #!.,/, % &, ) ) ( % %/ ) 0 + 1 %# / + & + (! ) &, & % & ( ) % % (% 2 & % ( & 3 % /, 4 ) %+ %( %! # ( & & 5)6 %+ % ( % %/ ) ( % & + %/
! Ν! Ν Ν & ] # Α. 7 Α ) Σ ),, Σ 87 ) Ψ ) +Ε 1)Ε Τ 7 4, <) < Ε : ), > 8 7
![! Ν! Ν Ν & ] # Α. 7 Α ) Σ ),, Σ 87 ) Ψ ) +Ε 1)Ε Τ 7 4, <) < Ε : ), > 8 7](/thumbs/48/24501715.jpg "! Ν! Ν Ν & ] # Α. 7 Α ) Σ ),, Σ 87 ) Ψ ) +Ε 1)Ε Τ 7 4, <) < Ε : ), > 8 7")
!! # & ( ) +,. )/ 0 1, 2 ) 3, 4 5. 6 7 87 + 5 1!! # : ;< = > < < ;?? Α Β Χ Β ;< Α? 6 Δ : Ε6 Χ < Χ Α < Α Α Χ? Φ > Α ;Γ ;Η Α ;?? Φ Ι 6 Ε Β ΕΒ Γ Γ > < ϑ ( = : ;Α < : Χ Κ Χ Γ? Ε Ι Χ Α Ε? Α Χ Α ; Γ ;
% %! # % & ( ) % # + # # % # # & & % ( #,. %
!!! # #! # % & % %! # % & ( ) % # + # # % # # & & % ( #,. % , ( /0 ) %, + ( 1 ( 2 ) + %, ( 3, ( 123 % & # %, &% % #, % ( ) + & &% & ( & 4 ( & # 4 % #, #, ( ) + % 4 % & &, & & # / / % %, &% ! # #! # # #
! # %& ( %! & & + %!, ( Α Α Α Α Χ Χ Α Χ Α Α Χ Α Α Α Α
Ε! # % & ( )%! & & + %!, (./ 0 1 & & 2. 3 &. 4/. %! / (! %2 % ( 5 4 5 ) 2! 6 2! 2 2. / & 7 2! % &. 3.! & (. 2 & & / 8 2. ( % 2 & 2.! 9. %./ 5 : ; 5. % & %2 2 & % 2!! /. . %! & % &? & 5 6!% 2.
! + +, ) % %.!&!, /! 0! 0 # ( ( # (,, # ( % 1 2 ) (, ( 4! 0 & 2 /, # # ( &
! # %! &! #!! %! %! & %! &! & ( %! & #! & )! & & + ) +!!, + ! + +, ) % %.!&!, /! 0! 0 # ( ( # (,, # ( % 1 2 ) (, 3 0 1 ( 4! 0 & 2 /, # # ( 1 5 2 1 & % # # ( #! 0 ) + 4 +, 0 #,!, + 0 2 ), +! 0! 4, +! (!
Ρ Τ Π Υ 8 ). /0+ 1, 234) ς Ω! Ω! # Ω Ξ %& Π 8 Δ, + 8 ),. Ψ4) (. / 0+ 1, > + 1, / : ( 2 : / < Α : / %& %& Ζ Θ Π Π 4 Π Τ > [ [ Ζ ] ] %& Τ Τ Ζ Ζ Π
![Ρ Τ Π Υ 8 ). /0+ 1, 234) ς Ω! Ω! # Ω Ξ %& Π 8 Δ, + 8 ),. Ψ4) (. / 0+ 1, > + 1, / : ( 2 : / < Α : / %& %& Ζ Θ Π Π 4 Π Τ > [ [ Ζ ] ] %& Τ Τ Ζ Ζ Π](/thumbs/52/29426146.jpg "Ρ Τ Π Υ 8 ). /0+ 1, 234) ς Ω! Ω! # Ω Ξ %& Π 8 Δ, + 8 ),. Ψ4) (. / 0+ 1, > + 1, / : ( 2 : / < Α : / %& %& Ζ Θ Π Π 4 Π Τ > [ [ Ζ ] ] %& Τ Τ Ζ Ζ Π")
! # % & ( ) + (,. /0 +1, 234) % 5 / 0 6/ 7 7 & % 8 9 : / ; 34 : + 3. & < / = : / 0 5 /: = + % >+ ( 4 : 0, 7 : 0,? & % 5. / 0:? : / : 43 : 2 : Α : / 6 3 : ; Β?? : Α 0+ 1,4. Α? + & % ; 4 ( :. Α 6 4 : & %
%% &% %% %% %% % () (! #! %!!!!!!!%! # %& ( % & ) +, # (.. /,) %& 0
!! # # %% &% %% %% %% % () (! #! %!!!!!!!%! # %& ( % & ) +, # (.. /,) %& 0 +! (%& / 1! 2 %& % & 0/ / %& + (.%.%, %& % %& )& % %& ) 3, &, 5, % &. ) 4 4 4 %& / , %& ).. % # 6 /0 % &. & %& ) % %& 0.!!! %&
&! +! # ## % & #( ) % % % () ) ( %
&! +! # ## % & #( ) % % % () ) ( % &! +! # ## % & #( ) % % % () ) ( % ,. /, / 0 0 1,! # % & ( ) + /, 2 3 4 5 6 7 8 6 6 9 : / ;. ; % % % % %. ) >? > /,,
,!! #! > 1? = 4!! > = 5 4? 2 Α Α!.= = 54? Β. : 2>7 2 1 Χ! # % % ( ) +,. /0, , ) 7. 2
! # %!% # ( % ) + %, ). ) % %(/ / %/!! # %!! 0 1 234 5 6 2 7 8 )9!2: 5; 1? = 4!! > = 5 4? 2 Α 7 72 1 Α!.= = 54?2 72 1 Β. : 2>7 2 1 Χ! # % % ( ) +,.
& & ) ( +( #, # &,! # +., ) # % # # % ( #
! # % & # (! & & ) ( +( #, # &,! # +., ) # % # # % ( # Ι! # % & ( ) & % / 0 ( # ( 1 2 & 3 # ) 123 #, # #!. + 4 5 6, 7 8 9 : 5 ; < = >?? Α Β Χ Δ : 5 > Ε Φ > Γ > Α Β #! Η % # (, # # #, & # % % %+ ( Ι # %
!! )!!! +,./ 0 1 +, 2 3 4, # 8,2 6, 2 6,,2 6, 2 6 3,2 6 5, 2 6 3, 2 6 9!, , 2 6 9, 2 3 9, 2 6 9,
! # !! )!!! +,./ 0 1 +, 2 3 4, 23 3 5 67 # 8,2 6, 2 6,,2 6, 2 6 3,2 6 5, 2 6 3, 2 6 9!, 2 6 65, 2 6 9, 2 3 9, 2 6 9, 2 6 3 5 , 2 6 2, 2 6, 2 6 2, 2 6!!!, 2, 4 # : :, 2 6.! # ; /< = > /?, 2 3! 9 ! #!,!!#.,
., /,, 0!, + & )!. + + (, &, & 1 & ) ) 2 2 ) 1! 2 2
! # &!! ) ( +, ., /,, 0!, + & )!. + + (, &, & 1 & ) ) 2 2 ) 1! 2 2 ! 2 2 & & 1 3! 3, 4 45!, 2! # 1 # ( &, 2 &, # 7 + 4 3 ) 8. 9 9 : ; 4 ), 1!! 4 4 &1 &,, 2! & 1 2 1! 1! 1 & 2, & 2 & < )4 )! /! 4 4 &! &,
4= 8 4 < 4 ϑ = 4 ϑ ; 4 4= = 8 : 4 < : 4 < Κ : 4 ϑ ; : = 4 4 : ;
! #! % & ( ) +!, + +!. / 0 /, 2 ) 3 4 5 6 7 8 8 8 9 : 9 ;< 9 = = = 4 ) > (/?08 4 ; ; 8 Β Χ 2 ΔΔ2 4 4 8 4 8 4 8 Ε Φ Α, 3Γ Η Ι 4 ϑ 8 4 ϑ 8 4 8 4 < 8 4 5 8 4 4
.., + +, +, +, +, +, +,! # # % ( % ( / 0!% ( %! %! % # (!) %!%! # (!!# % ) # (!! # )! % +,! ) ) &.. 1. # % 1 ) 2 % 2 1 #% %! ( & # +! %, %. #( # ( 1 (
! # %! % &! # %#!! #! %!% &! # (!! # )! %!! ) &!! +!( ), ( .., + +, +, +, +, +, +,! # # % ( % ( / 0!% ( %! %! % # (!) %!%! # (!!# % ) # (!! # )! % +,! ) ) &.. 1. # % 1 ) 2 % 2 1 #% %! ( & # +! %, %. #(
# % & ) ) & + %,!# & + #. / / & ) 0 / 1! 2
!!! #! # % & ) ) & + %,!# & + #. / / & ) 0 / 1! 2 % ) 1 1 3 1 4 5 % #! 2! 1,!!! /+, +!& 2! 2! / # / 6 2 6 3 1 2 4 # / &!/ % ). 1!!! &! & 7 2 7! 7 6 7 3 & 1 2 % # ) / / 8 2 6,!!! /+, +! & 2 9! 3 1!! % %
Μ Μ Μ Μ Μ x ( j j = 1, 2Λ Λ n ) n aijxi bi ( bi ; = bi ) j= 1 ( i = 1, 2, Λ m) x j 0( j = 1, 2, Λ n) n c jxj j= 1 S = a, b, c ( i = 1, 2, Λ m, j = 1, 2, Λ n) ij i y n = i= 1 n i=
Π Ρ! #! % & #! (! )! + %!!. / 0% # 0 2 3 3 4 7 8 9 Δ5?? 5 9? Κ :5 5 7 < 7 Δ 7 9 :5? / + 0 5 6 6 7 : ; 7 < = >? : Α8 5 > :9 Β 5 Χ : = 8 + ΑΔ? 9 Β Ε 9 = 9? : ; : Α 5 9 7 3 5 > 5 Δ > Β Χ < :? 3 9? 5 Χ 9 Β
, ( 6 7 8! 9! (, 4 : : ; 0.<. = (>!? Α% ), Β 0< Χ 0< Χ 2 Δ Ε Φ( 7 Γ Β Δ Η7 (7 Ι + ) ϑ!, 4 0 / / 2 / / < 5 02
! # % & ( ) +, ) %,! # % & ( ( ) +,. / / 01 23 01 4, 0/ / 5 0 , ( 6 7 8! 9! (, 4 : : ; 0.!? Α% ), Β 0< Χ 0< Χ 2 Δ Ε Φ( 7 Γ Β Δ 5 3 3 5 3 1 Η7 (7 Ι + ) ϑ!, 4 0 / / 2 / 3 0 0 / < 5 02 Ν!.! %) / 0
untitled
2 3 4 n Rp = [ ( + Ri) ]*00% Ri i= N 2 σ p = ( Rt ARp) AR N p = t N R N t= t= ADp IRp = σ Dp σ Dp ARp Rf Sp = Rf σ p Jp = Rp [ Rf + β p( Rm Rf )] N DRp = min( Rpn Rfn,0) N n = Rfn M + i *00 M 00 M 5 M
- i - 1 2 W 1 W 2 W W W d(w) = d(p) + d (P) + L+ d(t) + d( σ ) + d(r) 2 P 2 P t σ R 1 2 = d(p) + Γ d (P) + L+ θ d(t) + ν d( σ) + ρ d(r) 2 Delta Delta Leland WW Delta-Gamma Delta-Gamma-Vega Michel Crouhy,
PowerPoint 演示文稿
. ttp://www.reej.com 4-9-9 4-9-9 . a b { } a b { }. Φ ϕ ϕ ϕ { } Φ a b { }. ttp://www.reej.com 4-9-9 . ~ ma{ } ~ m m{ } ~ m~ ~ a b but m ~ 4-9-9 4 . P : ; Φ { } { ϕ ϕ a a a a a R } P pa ttp://www.reej.com
: ; # 7 ( 8 7
(! # % & ( ) +,. / +. 0 0 ) 1. 2 3 +4 1/,5,6 )/ ) 7 7 8 9 : ; 7 8 7 # 7 ( 8 7 ; ;! #! % & % ( # ) % + # # #, # % + &! #!. #! # # / 0 ( / / 0! #,. # 0(! #,. # 0!. # 0 0 7 7 < = # ; & % ) (, ) ) ) ) ) )!
8 9 8 Δ 9 = 1 Η Ι4 ϑ< Κ Λ 3ϑ 3 >1Ε Μ Ε 8 > = 8 9 =
!! % & ( & ),,., / 0 1. 0 0 3 4 0 5 3 6!! 7 8 9 8!! : ; < = > :? Α 4 8 9 < Β Β : Δ Ε Δ Α = 819 = Γ 8 9 8 Δ 9 = 1 Η Ι4 ϑ< Κ Λ 3ϑ 3 >1Ε 8 9 0 Μ Ε 8 > 9 8 9 = 8 9 = 819 8 9 =
# # # #!! % &! # % 6 & () ) &+ & ( & +, () + 0. / & / &1 / &1, & ( ( & +. 4 / &1 5,
# # # #!! % &! # % 6 & () ) &+ & ( & +, () + 0. / & / &1 / &1, & ( 0 2 3 ( & +. 4 / &1 5, !! & 6 7! 6! &1 + 51, (,1 ( 5& (5( (5 & &1 8. +5 &1 +,,( ! (! 6 9/: ;/:! % 7 3 &1 + ( & &, ( && ( )
/ Ν #, Ο / ( = Π 2Θ Ε2 Ρ Σ Π 2 Θ Ε Θ Ρ Π 2Θ ϑ2 Ρ Π 2 Θ ϑ2 Ρ Π 23 8 Ρ Π 2 Θϑ 2 Ρ Σ Σ Μ Π 2 Θ 3 Θ Ρ Κ2 Σ Π 2 Θ 3 Θ Ρ Κ Η Σ Π 2 ϑ Η 2 Ρ Π Ρ Π 2 ϑ Θ Κ Ρ Π
! # #! % & ( ) % # # +, % #. % ( # / ) % 0 1 + ) % 2 3 3 3 4 5 6 # 7 % 0 8 + % 8 + 9 ) 9 # % : ; + % 5! + )+)#. + + < ) ( # )# < # # % 0 < % + % + < + ) = ( 0 ) # + + # % )#!# +), (? ( # +) # + ( +. #!,
9 : : ; 7 % 8
! 0 4 1 % # % & ( ) # + #, ( ) + ) ( ). / 2 3 %! 5 6 7! 8 6 7 5 9 9 : 6 7 8 : 17 8 7 8 ; 7 % 8 % 8 ; % % 8 7 > : < % % 7! = = = : = 8 > > ; 7 Ε Β Β % 17 7 :! # # %& & ( ) + %&, %& ) # 8. / 0. 1 2 3 4 5
Β 8 Α ) ; %! #?! > 8 8 Χ Δ Ε ΦΦ Ε Γ Δ Ε Η Η Ι Ε ϑ 8 9 :! 9 9 & ϑ Κ & ϑ Λ &! &!! 4!! Μ Α!! ϑ Β & Ν Λ Κ Λ Ο Λ 8! % & Π Θ Φ & Ρ Θ & Θ & Σ ΠΕ # & Θ Θ Σ Ε
! #!! % & ( ) +,. /. 0,(,, 2 4! 6! #!!! 8! &! % # & # &! 9 8 9 # : : : : :!! 9 8 9 # #! %! ; &! % + & + & < = 8 > 9 #!!? Α!#!9 Α 8 8!!! 8!%! 8! 8 Β 8 Α ) ; %! #?! > 8 8 Χ Δ Ε ΦΦ Ε Γ Δ Ε Η Η Ι Ε ϑ 8 9 :!
8 9 < ; ; = < ; : < ;! 8 9 % ; ϑ 8 9 <; < 8 9 <! 89! Ε Χ ϑ! ϑ! ϑ < ϑ 8 9 : ϑ ϑ 89 9 ϑ ϑ! ϑ! < ϑ < = 8 9 Χ ϑ!! <! 8 9 ΧΧ ϑ! < < < < = 8 9 <! = 8 9 <! <
! # % ( ) ( +, +. ( / 0 1) ( 2 1 1 + ( 3 4 5 6 7! 89 : ; 8 < ; ; = 9 ; ; 8 < = 9! ; >? 8 = 9 < : ; 8 < ; ; = 9 8 9 = : : ; = 8 9 = < 8 < 9 Α 8 9 =; %Β Β ; ; Χ ; < ; = :; Δ Ε Γ Δ Γ Ι 8 9 < ; ; = < ; :
) Μ <Κ 1 > < # % & ( ) % > Χ < > Δ Χ < > < > / 7 ϑ Ν < Δ 7 ϑ Ν > < 8 ) %2 ): > < Ο Ε 4 Π : 2 Θ >? / Γ Ι) = =? Γ Α Ι Ρ ;2 < 7 Σ6 )> Ι= Η < Λ 2 % & 1 &
! # % & ( ) % + ),. / & 0 1 + 2. 3 ) +.! 4 5 2 2 & 5 0 67 1) 8 9 6.! :. ;. + 9 < = = = = / >? Α ) /= Β Χ Β Δ Ε Β Ε / Χ ΦΓ Χ Η Ι = = = / = = = Β < ( # % & ( ) % + ),. > (? Φ?? Γ? ) Μ
!!! #! )! ( %!! #!%! % + % & & ( )) % & & #! & )! ( %! ),,, )
! # % & # % ( ) & + + !!! #! )! ( %!! #!%! % + % & & ( )) % & & #! & )! ( %! ),,, ) 6 # / 0 1 + ) ( + 3 0 ( 1 1( ) ) ( 0 ) 4 ( ) 1 1 0 ( ( ) 1 / ) ( 1 ( 0 ) ) + ( ( 0 ) 0 0 ( / / ) ( ( ) ( 5 ( 0 + 0 +
> # ) Β Χ Χ 7 Δ Ε Φ Γ 5 Η Γ + Ι + ϑ Κ 7 # + 7 Φ 0 Ε Φ # Ε + Φ, Κ + ( Λ # Γ Κ Γ # Κ Μ 0 Ν Ο Κ Ι Π, Ι Π Θ Κ Ι Π ; 4 # Ι Π Η Κ Ι Π. Ο Κ Ι ;. Ο Κ Ι Π 2 Η
1 )/ 2 & +! # % & ( ) +, + # # %. /& 0 4 # 5 6 7 8 9 6 : : : ; ; < = > < # ) Β Χ Χ 7 Δ Ε Φ Γ 5 Η Γ + Ι + ϑ Κ 7 # + 7 Φ 0 Ε Φ # Ε + Φ, Κ + ( Λ # Γ Κ Γ #
交易所网站定位.doc
1 2 3 4 5 6 7 8 a FMV Var FMV C Cov FMV Var FMV C Cov JFMV Var JFMV C Cov a = = = = ) ) α α α α ) ( ), ( ) ( ), ( ) ( ), ( 2 9 10 11 12 13 = 0 0 1 0 1 0 1 1 0 0 1 1 q p q p q p q p q p q p 14 15 0 D1=
# # 4 + % ( ) ( /! 3 (0 0 (012 0 # (,!./ %
#! # # %! # + 5 + # 4 + % ( ) ( /! 3 (0 0 (012 0 # (,!./ % ,9 989 + 8 9 % % % % # +6 # % 7, # (% ) ,,? % (, 8> % %9 % > %9 8 % = ΑΒ8 8 ) + 8 8 >. 4. ) % 8 # % =)= )
. /!Ι Γ 3 ϑκ, / Ι Ι Ι Λ, Λ +Ι Λ +Ι
! # % & ( ) +,& ( + &. / 0 + 1 0 + 1,0 + 2 3., 0 4 2 /.,+ 5 6 / 78. 9: ; < = : > ; 9? : > Α
2 2 Λ ϑ Δ Χ Δ Ι> 5 Λ Λ Χ Δ 5 Β. Δ Ι > Ε!!Χ ϑ : Χ Ε ϑ! ϑ Β Β Β ϑ Χ Β! Β Χ 5 ϑ Λ ϑ % < Μ / 4 Ν < 7 :. /. Ο 9 4 < / = Π 7 4 Η 7 4 =
! # % # & ( ) % # ( +, & % # ) % # (. / ). 1 2 3 4! 5 6 4. 7 8 9 4 : 2 ; 4 < = = 2 >9 3? & 5 5 Α Α 1 Β ΧΔ Ε Α Φ 7 Γ 9Η 8 Δ Ι > Δ / ϑ Κ Α Χ Ε ϑ Λ ϑ 2 2 Λ ϑ Δ Χ Δ Ι> 5 Λ Λ Χ Δ 5 Β. Δ Ι > Ε!!Χ ϑ : Χ Ε ϑ!
ⅠⅡⅢ Ⅳ
ⅠⅡⅢ Ⅳ ! "!"#$%&!!! !"#$%& ()*+,!"" *! " !! " #$%& ( Δ !"#$%& ()*+,!"" * !! " #$%& ( !"#$%& ()*+,!"" * !! " #$%& ( !"#$%& ()*+,!"" * !! " #$%& (! # !"#$%& ()*+,!"" * !! " #$%& ( 1 1 !"#$%& ()*+,!"" *
= Υ Ξ & 9 = ) %. Ο) Δ Υ Ψ &Ο. 05 3; Ι Ι + 4) &Υ ϑ% Ο ) Χ Υ &! 7) &Ξ) Ζ) 9 [ )!! Τ 9 = Δ Υ Δ Υ Ψ (
! # %! & (!! ) +, %. ( +/ 0 1 2 3. 4 5 6 78 9 9 +, : % % : < = % ;. % > &? 9! ) Α Β% Χ %/ 3. Δ 8 ( %.. + 2 ( Φ, % Γ Η. 6 Γ Φ, Ι Χ % / Γ 3 ϑκ 2 5 6 Χ8 9 9 Λ % 2 Χ & % ;. % 9 9 Μ3 Ν 1 Μ 3 Φ Λ 3 Φ ) Χ. 0
9!!!! #!! : ;!! <! #! # & # (! )! & ( # # #+
! #! &!! # () +( +, + ) + (. ) / 0 1 2 1 3 4 1 2 3 4 1 51 0 6. 6 (78 1 & 9!!!! #!! : ;!! ? &! : < < &? < Α!!&! : Χ / #! : Β??. Δ?. ; ;
《分析化学辞典》_数据处理条目_1.DOC
3 4 5 6 7 χ χ m.303 B = f log f log C = m f = = m = f m C = + 3( m ) f = f f = m = f f = n n m B χ α χ α,( m ) H µ σ H 0 µ = µ H σ = 0 σ H µ µ H σ σ α H0 H α 0 H0 H0 H H 0 H 0 8 = σ σ σ = ( n ) σ n σ /
4 # = # 4 Γ = 4 0 = 4 = 4 = Η, 6 3 Ι ; 9 Β Δ : 8 9 Χ Χ ϑ 6 Κ Δ ) Χ 8 Λ 6 ;3 Ι 6 Χ Δ : Χ 9 Χ Χ ϑ 6 Κ
! # % & & ( ) +, %. % / 0 / 2 3! # 4 ) 567 68 5 9 9 : ; > >? 3 6 7 : 9 9 7 4! Α = 42 6Β 3 Χ = 42 3 6 3 3 = 42 : 0 3 3 = 42 Δ 3 Β : 0 3 Χ 3 = 42 Χ Β Χ 6 9 = 4 =, ( 9 6 9 75 3 6 7 +. / 9
Β Χ + Δ Ε /4 10 ) > : > 8 / 332 > 2 / 4 + Φ + Γ 0 4 Η / 8 / 332 / 2 / 4 + # + Ι + ϑ /) 5 >8 /3 2>2 / 4 + ( )( + 8 ; 8 / 8. 8 :
!! # % & % () + (. / 0 ) 1 233 /. / 4 2 0 2 + + 5. 2 / 6 ) 6. 0 ) 7. 8 1 6 / 2 9 2 :+ ; < 8 10 ; + + ( =0 41 6< / >0 7 0?2) 29 + +.. 81 6> Α 29 +8 Β Χ + Δ Ε /4 10 )+ 2 +. 8 1 6 > 2 9 2 : > 8 / 332 > 2
國家圖書館典藏電子全文
昰 1 2 3 4 5 6 Logit Logit Logit 7 昰 Logit 1968 Washington, D.C. 8 9 巣 10 11 巣 巣 巣 巣 12 13 S U j f ( Z, S ) j j U j Z j S U j > U, j j, k C.. (2-2) k i Ci i 14 15 S Z ), ( S Z U ),, ( Pr ) ( C k j j U U
1 <9= <?/:Χ 9 /% Α 9 Δ Ε Α : 9 Δ 1 8: ; Δ : ; Α Δ : Β Α Α Α 9 : Β Α Δ Α Δ : / Ε /? Δ 1 Δ ; Δ Α Δ : /6Φ 6 Δ
! #! %&! ( )! +,!. / 1,. + 2 ( 3 4 5 6 7 8 9: : 9: : : ; ; ? =
( ) (! +)! #! () % + + %, +,!#! # # % + +!
!! # % & & & &! # # % ( ) (! +)! #! () % + + %, +,!#! # # % + +! ! %!!.! /, ()!!# 0 12!# # 0 % 1 ( ) #3 % & & () (, 3)! #% % 4 % + +! (!, ), %, (!!) (! 3 )!, 1 4 ( ) % % + % %!%! # # !)! % &! % () (! %
, & % # & # # & % & + # & # # # & # % #,
! # #! % # & # & & ( ( # ) % , & % # & # # & % & + # & # # # & # % #, # % % # % # ) % # % % # % # # % # % # + # % ( ( # % & & & & & & % & & # % # % & & % % % . % # / & & # 0 ) & # % & % ( # # & & & # #
untitled
2010 2010 2010 12 31 1 2010 2011 3 28 2010 1 1 12 31 2 2010 3 2010 4 2010 021-38794999 010-67595003 xia.hong@jpmf-sitico.com yindong@ccb.cn 400-889-4888 010-67595096 021-68881170 010-66275853 5 2010 9920
《分析化学辞典》_数据处理条目_2.DOC
lg lg ) (lg µ lg lg lg g g g lg lg g lg g () f ma m ) ( ma f ) ( m f w w w w w / s s µ w sw w s w m s s m ( y Y ) w[ y ( a b Q w Q w w + Q w w a b )] a b H H H H H H α H α H H β H H H α H H α H H α α H
untitled
2009 2009 12 31 2010 3 31 1 ...2...2...2...4...4...4...5...5...5...6...6...6...8...8...8...10...10...10... 11... 11... 11...12...12 2 ...12...12...12...12...12...13...14...14...15...16...17...34...34...35...36...38...42...42...42...42...43...43...43...44...44...44...44...44...45...45...45...45...45...46...47...47
Ⅰ Ⅱ 1 2 Ⅲ Ⅳ
Ⅰ Ⅱ 1 2 Ⅲ Ⅳ !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
μ μ - - β- - μ
SUA41 - β- - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - μ μ - - β- - μ μ - β- β- β- - - - - - - - - - - - - - - - - - - μ - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
,.2018, 38,.1 :1, 220 ( ) 140, ;2,,,;3,,,, >180 ( ) >120,,, [10] :,,,,,,,, ( ), [6,11],,,,,, ( ), ( Ⅱ ),,, ( -6),,,,, -,, [2],, [12],, (
![,.2018, 38,.1 :1, 220 ( ) 140, ;2,,,;3,,,, >180 ( ) >120,,, [10] :,,,,,,,, ( ), [6,11],,,,,, ( ), ( Ⅱ ),,, ( -6),,,,, -,, [2],, [12],, (](/thumbs/91/107403329.jpg ",.2018, 38,.1 :1, 220 ( ) 140, ;2,,,;3,,,, >180 ( ) >120,,, [10] :,,,,,,,, ( ), [6,11],,,,,, ( ), ( Ⅱ ),,, ( -6),,,,, -,, [2],, [12],, (")
2018 1 38 1,.2018, 38,.1 1 (2017 ),, :,, -:_@.;,, -:@.. ;,, -:@.;,, - :5588@126. [] ; ; ; :10.3969 /..1002-1949.2018.01.001 ( - ), ( ) ( ),,,, 25.2%, 2.7 [1],1% ~2% [2],, 6.9%, 90 11% 37%, 1 /4 [3] 12
先进制造技术是近几年提得较多,叫得较响的一个专用词语,而且先进制造技术在机械制造业领域中的应用越来越广泛而深入,并取得了很大的成绩
21 世 纪 全 国 高 校 应 用 人 才 培 养 旅 游 类 规 划 教 材 中 国 公 民 出 境 旅 游 目 的 地 国 家 ( 地 区 ) 概 况 方 海 川 主 编 付 景 保 副 主 编 内 容 简 介 中 国 公 民 出 境 旅 游 目 的 地 国 家 ( 地 区 ) 概 况 一 书 共 分 5 章, 第 1 章 主 要 介 绍 有 关 中 国 出 境 旅 游 市 场 的 发 展 历
2.1 1980 1992 % 80 81 82 83 84 85 86 87 88 89 90 91 92 81.9 69.5 68.7 66.6 64.7 66.1 65.5 63.1 61.4 61.3 65.6 65.8 67.1 5.0 12.0 14.2 10.9 13.0 12.9 13.0 15.0 15.8 13.8 10.9 12.7 17.3 13.1 18.6 17.1 22.5
?.! #! % 66! & () 6 98: +,. / / 0 & & < > = +5 <. ( < Α. 1
!! # % # & ( & ) # +, #,., # / 0 1. 0 1 3 4 5! 6 7 6 7 67 +18 9 : : : : : : : : : :! : : < : : ?.! #! % 66! & 6 1 1 3 4.5 () 6 98: +,. / / 0 & 0 0 + & 178 5 3 0. = +5
) ) ) Ο ΛΑ >. & Β 9Α Π Ν6 Γ2 Π6 Φ 2 Μ 5 ΝΒ 8 3 Β 8 Η 5 Φ6 Β 8 Η 5 ΝΒ 8 Φ 9 Α Β 3 6 ΝΒ 8 # # Ε Ο ( & & % ( % ) % & +,. &
!! # % & ( ) +,.% /.0.% 1 2 3 / 5,,3 6 7 6 8 9 6!! : 3 ) ; < < = )> 2?6 8 Α8 > 6 2 Β 3Α9 Α 2 8 Χ Δ < < Ε! ; # < # )Φ 5 Γ Γ 2 96 Η Ι ϑ 0 Β 9 Α 2 8 Β 3 0 Β 9 Β ΦΚ Α 6 8 6 6 Λ 2 5 8 Η Β 9 Α 2 8 2 Μ 6 Ν Α
cumcm0206.PDF
6 : 00 attract sgod attract 9 4 3 9 60 7 6+ 60 7 60 7 60 7 6 0 6+ 0 9 6 0 4 33 7 0~33 33 7 6 0~33 7 36 6+ 0~36 36 6 30 0~36 7 50% 60 500 [( ) - ] 3 3 6 K F F µ ( = LK ) R ( = L ) r ( = L ) P P w W ( =
: 29 : n ( ),,. T, T +,. y ij i =, 2,, n, j =, 2,, T, y ij y ij = β + jβ 2 + α i + ɛ ij i =, 2,, n, j =, 2,, T, (.) β, β 2,. jβ 2,. β, β 2, α i i, ɛ i
2009 6 Chinese Journal of Applied Probability and Statistics Vol.25 No.3 Jun. 2009 (,, 20024;,, 54004).,,., P,. :,,. : O22... (Credibility Theory) 20 20, 80. ( []).,.,,,.,,,,.,. Buhlmann Buhlmann-Straub
% & :?8 & : 3 ; Λ 3 3 # % & ( ) + ) # ( ), ( ) ). ) / & /:. + ( ;< / 0 ( + / = > = =? 2 & /:. + ( ; < % >=? ) 2 5 > =? 2 Α 1 Β 1 + Α
# % & ( ) # +,. / 0 1 2 /0 1 0 3 4 # 5 7 8 / 9 # & : 9 ; & < 9 = = ;.5 : < 9 98 & : 9 %& : < 9 2. = & : > 7; 9 & # 3 2
國立中山大學學位論文典藏.PDF
95 06 ...1...1...3...5...6...7...7...10...13...13...14...14...15...17...18...19...22...22 ...22...27...31...41...53...61...61...63...64 1 2 3 4 5 VAR VAR Johansen VECM 6 7 8 9 10 11 12 E( y ) =
# #! ) ( ( +,! %,! ( # # %& % ( ) +! +, +. /
! ( ) # # % % ( % % %! % % & % # #! ) ( ( +,! %,! ( # # %& % ( ) +! +, +. / 12 23 4 5 6 7 3.! (. ( / ( ) ). 1.12 ( 4 4 % & &!7 % (!!!!, (! % !!! % %!,! ( & (!! 8!!!,!!+!! & !!%! & 9 3 3 :;
! Β Β? Β ( >?? >? %? Γ Β? %? % % %? Χ Η Ιϑ Κ 5 8 Λ 9. Μ Ν Ο Χ? Π Β # % Χ Χ Θ Ρ% Ρ% Θ!??? % < & Θ
! # % & ( ) +,. / 0 1 + 2. 3 4. 56. / 7 89 8.,6 2 ; # ( ( ; ( ( ( # ? >? % > 64 5 5Α5. Α 8/ 56 5 9. > Β 8. / Χ 8 9 9 5 Δ Ε 5, 9 8 2 3 8 //5 5! Α 8/ 56/ 9. Φ ( < % < ( > < ( %! # ! Β Β? Β ( >?? >?
第12章_下_-随机微分方程与扩散.doc
Ω, F, P } B B ω, ω Ω { B ω ω Φ ω Φ Φ Φ ω ω B ω Φ Φ ω B ω [, ] < L < l l J l ω Φ ω B ω B ω Φ ω B ω l J ω l J ω Φ B l J ω l ω J 343 J J ω, ω Ω } { B : B J B ε > l P ω η ω > ε J Φ ω B ω Φ B η ΦB J, ] B B
:::: : : : :::: :: :: :::::: :::: < ; 7 7 ; ; % < = = > = / =?? Α Β.. Β Χ (. 7 > 5 / Δ 6 Ε. Φ Δ 5 / 6 Ε. Φ 1 Γ 5 / 6 7 Η (. >5 Ι Δ 6 Φ ϑ
. /,.!! # % # & %& ( ) ) + % # & %, % # ( 1 2 3 4 5 6 7 5 6 4 8 3 9 :::: : : : :::: :: :: :::::: :::: < ; 7 7 ; ; % < = = > = / =?? Α 5 6 5 Β.. Β Χ (. 7 > 5 / Δ 6 Ε. Φ 5 3 1 6 Δ 5 / 6 Ε. Φ 1 Γ 5 / 6 7
Α 3 Α 2Η # # > # 8 6 5# Ι + ϑ Κ Ι Ι Ι Η Β Β Β Β Β Β ΔΕ Β Β Γ 8 < Φ Α Α # >, 0 Η Λ Μ Ν Ο Β 8 1 Β Π Θ 1 Π Β 0 Λ Μ 1 Ρ 0 Μ ϑ Σ ϑ Τ Ο Λ 8 ϑ
! # % & ( ) % + ( ), & ). % & /. % 0 1!! 2 3 4 5# 6 7 8 3 5 5 9 # 8 3 3 2 4 # 3 # # 3 # 3 # 3 # 3 # # # ( 3 # # 3 5 # # 8 3 6 # # # # # 8 5# :;< 6#! 6 =! 6 > > 3 2?0 1 4 3 4! 6 Α 3 Α 2Η4 3 3 2 4 # # >
(r s) {φ r1, φ r2,, φ rn } {φ s1, φ s2,, φ sn } u r (t) u s (t). F st ι u st u st k 1 ι φ i q st i (6) r β u r β u r u r(t) max u st r φ
3 351 1) 2) ( 100083)... TU311.3 doi 10.6052/1000-0879-13-151 A. [1-3]. 180.. [4]..... 2013 04 18 1 2013 05 23. 1 N mü(t) + c u(t) + ku(t) ι sin θt (1) m, c k N N m u(t) u(t) ü(t) N ι N θ. (ω i, φ i ).
Ψ! Θ! Χ Σ! Υ Χ Ω Σ Ξ Ψ Χ Ξ Ζ Κ < < Κ Ζ [Ψ Σ Ξ [ Σ Ξ Χ!! Σ > _ Κ 5 6!< < < 6!< < α Χ Σ β,! Χ! Σ ; _!! Χ! Χ Ζ Σ < Ω <!! ; _!! Χ Υ! Σ!!!! ββ /β χ <
! # %!! ( (! +,. /0 0 1 2,34 + 5 6 7,3. 7, 8, 2 7 + 1 9 #. 3 : + ; + 5 83 8 % 8 2 ; , 1 1 8 2 =? : + 2 = 2 = Α 1,!. Β 3 + 5 Χ Β Β
FVA MVA I
* *, 00 983 1 000 11 001 6 00 6 00 11 FVA MVA I ... 1 1 []... 1 1.1... 1 1.... 1 1.3... 3 1.4... 4... 4.1... 4.... 5 3... 6 3.1... 7 3.... 9 3.3... 10 3.4... 16 3.5... 18 4... 19 4.1... 19 4.... 19 5...
02 Μ Μ Μ Μ Μ x ( j j = 1, 2Λ Λ n ) n aijxi bi ( bi ; = bi ) j= 1 ( i = 1, 2, Λ m) x j 0( j = 1, 2, Λ n) n c jxj j= 1 S = a, b, c ( i = 1, 2, Λ m, j = 1, 2, Λ n) ij i y n
; < 5 6 => 6 % = 5
! # % ( ),,. / 0. 1, ) 2 3, 3+ 3 # 4 + % 5 6 67 5 6, 8 8 5 6 5 6 5 6 5 6 5 6 5 9! 7 9 9 6 : 6 ; 7 7 7 < 5 6 => 6 % = 5 Δ 5 6 ; Β ;? # Ε 6 = 6 Α Ε ; ; ; ; Φ Α Α Ε 0 Α Α Α Α Α Α Α Α Α Α Α Α Α Β Α Α Α Α Α
% % %/ + ) &,. ) ) (!
! ( ) + & # % % % %/ + ) &,. ) ) (! 1 2 0 3. 34 0 # & 5 # #% & 6 7 ( ) .)( #. 8!, ) + + < ; & ; & # : 0 9.. 0?. = > /! )( + < 4 +Χ Α # Β 0 Α ) Δ. % ΕΦ 5 1 +. # Ι Κ +,0. Α ϑ. + Ι4 Β Η 5 Γ 1 7 Μ,! 0 1 0
导成word文件
黄 金 行 业 月 度 分 析 报 告 2016 年 9 月 5 日 发 布 Beijing Unbank Technology Co.,Ltd. www.unbank.info [ 全 国 ] http://www.unbank.info 1 服 务 电 话 :(010)63368810 目 录 第 一 章 宏 观 经 济... 4 一 本 月 宏 观 经 济 运 行... 4 ( 一 ) 中 国
untitled
1 2003 2 34 U L S 5 20022000 1 2 n n t t L = v r 100 = 1 t = 1 t v t tt-r t 3 1SHFE 4 2SHFE 5 6 KW DF Pr > KW KW DF Pr > KW 3 7 8 4 9 10 SHFE 1 r t+i t i t m 2 1/2 rti, i= 1 σ = ( ) t m 11 2 ADF τ Pr>
RW Focus Asia Whitepaper CH1029
F CUSASIA 1 Robert Walters Focus Asia Whitepaper Matthew Bennett Robert Walters 2 03 04 06 08 10 13 13 14 3 4 5 Robert Walters Focus Asia Whitepaper 6 7 Robert Walters Focus Asia Whitepaper 8 9 Robert
80000 400 200 X i X1 + X 2 + X 3 + + X n i= 1 x = n n x n x 17 + 15 + 18 + 16 + 17 + 16 + 14 + 17 + 16 + 15 + 18 + 16 = 12 195 = = 1625. ( ) 12 X X n i = = 1 n i= 1 X f i f Xf = f n i= 1 X f ( Xf). i i
! # %! #! #! # % + &, % % ) %. /! # 0 1
! # %! #! #! # % + &, % % ) %. /! # 0 1 2 32 % 4! #! # 4 4 2 32 4 4! # 2 32 ! # % 2 5 2 32 % % 6 2 7 8 %! 6 # %3 3 9 % /, 9 % 2 % % 3 #7 9 % 2 8 7 2 % 3 7 7 7 8 7 7 7 7 3 9 8 8 % 3! # 7 12 1191 1 ; % %
7 6 Η : Δ >! % 4 Τ & Β( Β) 5 &! Α Υ Υ 2 Η 7 %! Φ! Β! 7 : 7 9 Λ 9 :? : 9 Λ Λ 7 Φ! : > 9 : 7Δ 2 Η : 7 ΛΔ := ς : Ν 7 Λ Δ = Ν : Ν 7 ΛΔ : = Λ ς :9 Λ 7 Λ! Λ
! % & ( ),. / & 0 1 & 2 1 // % & 3 0 4 5 ( 6( ) ( & 7 8 9:! ; < / 4 / 7 = : > : 8 > >? :! 0 1 & 7 8 Α :! 4 Β ( & Β ( ( 5 ) 6 Χ 8 Δ > 8 7:?! < 2 4 & Ε ; 0 Φ & % & 3 0 1 & 7 8 Α?! Γ ), Η % 6 Β% 3 Ι Β ϑ Ι
< < ; : % & < % & > & % &? > & 5 % & ( ; & & % & Α Β + 8 ; Α9 Χ Δ () Χ Δ Ε 41 Φ # (Β % Γ : 9 Χ Δ Η +9 Χ Δ 2 9 Χ Δ 2 0 /? % & Ι 1 ϑ Κ 3 % & % & + 9 Β 9
!! #! % & ( ) +,. / 0 1 2 34 5 6 % & +7 % & 89 % & % & 79 % & : % & < < ; : % & < % & > & % &? > & 5 % & ( ; & & % & Α Β + 8 ; Α9 Χ Δ () Χ Δ Ε 41 Φ # (Β % Γ : 9 Χ Δ Η +9 Χ Δ 2 9 Χ Δ 2 0 /? % & Ι 1 ϑ Κ
Α? Β / Χ 3 Δ Ε/ Ε 4? 4 Ε Φ? ΧΕ Γ Χ Η ΙΙ ϑ % Η < 3 Ε Φ Γ ΕΙΙ 3 Χ 3 Φ 4 Κ? 4 3 Χ Λ Μ 3 Γ Ε Φ ) Μ Ε Φ? 5 : < 6 5 % Λ < 6 5< > 6! 8 8 8! 9 9 9! 9 =! = 9!
# %!!! ( ) ( +, +. ( / 0 1) ( 21 1) ( 2 3 / 4!! 5 6 7 7! 8 8 9 : ; < 9 = < < :! : = 9 ; < = 8 9 < < = 9 8 : < >? % > % > % 8 5 6 % 9!9 9 : : : 9 Α % 9 Α? Β / Χ 3 Δ Ε/ Ε 4? 4 Ε Φ? ΧΕ Γ Χ Η ΙΙ ϑ % Η < 3
8 8 Β Β : ; Χ; ; ; 8 : && Δ Ε 3 4Φ 3 4Φ Ε Δ Ε > Β & Γ 3 Γ 3 Ε3Δ 3 3 3? Ε Δ Δ Δ Δ > Δ # Χ 3 Η Ι Ι ϑ 3 Γ 6! # # % % # ( % ( ) + ( # ( %, & ( #,.
! # % & ( ) ( +,.% /.0.% 1 2 3 4 5 6 #! 7 8 9 9 : ; 8 : ; &; ; < ; 7 => 9 9 8?; 8! 3 3 3 3 Β & Γ 3 Γ 3 Ε3Δ 3 3 3?
1#
! # % & ( % + #,,. + /# + 0 1#. 2 2 3 4. 2 +! 5 + 6 0 7 #& 5 # 8 % 9 : ; < =# #% > 1?= # = Α 1# Β > Χ50 7 / Δ % # 50& 0 0= % 4 4 ; 2 Ε; %5 Β % &=Φ = % & = # Γ 0 0 Η = # 2 Ι Ι ; 9 Ι 2 2 2 ; 2 ;4 +, ϑ Α5#!
实验室诊断专辑
...1...2...4...5...8...10...12...13...14...15...56...57...58...66 1 2 3 4 5 β 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48
齐鲁股权每日金融
齐 鲁 股 权 每 日 金 融 2015 年 2 月 16 日 导 航 政 策 导 向 证 监 会 组 织 7 家 证 监 局 检 查 9 家 私 募 内 地 全 面 取 消 暂 住 证 制 度 一 字 之 变 逾 2 亿 人 受 益 业 务 参 考 现 代 信 用 风 险 模 型 在 我 国 面 临 适 用 性 挑 战 玩 转 股 权 众 筹 你 该 知 道 这 些 6 点 要 素 : 教 你 做
人 生 中 总 有 很 多 不 期 而 遇 的 礼 物 或 价 值 不 菲 或 精 巧 别 致 而 让 您 动 容 的 或 许, 恰 恰 是 手 中 的 这 段 旅 行 旅 行, 不 仅 让 我 们 看 到 世 界 更 让 我 们 抵 达 世 界 更 深 处 去 发 现 和 感 知 CAISSA G
人 生 中 总 有 很 多 不 期 而 遇 的 礼 物 或 价 值 不 菲 或 精 巧 别 致 而 让 您 动 容 的 或 许, 恰 恰 是 手 中 的 这 段 旅 行 旅 行, 不 仅 让 我 们 看 到 世 界 更 让 我 们 抵 达 世 界 更 深 处 去 发 现 和 感 知 CAISSA GIFT CARD 那 些 独 一 无 二 的 风 景 它 们 无 法 被 预 知 却 永 远 被 存
8 9 : < : 3, 1 4 < 8 3 = >? 4 =?,( 3 4 1( / =? =? : 3, : 4 9 / < 5 3, ; > 8? : 5 4 +? Α > 6 + > 3, > 5 <? 9 5 < =, Β >5
0 ( 1 0 % (! # % & ( ) + #,. / / % (! 3 4 5 5 5 3 4,( 7 8 9 /, 9 : 6, 9 5,9 8,9 7 5,9!,9 ; 6 / 9! # %#& 7 8 < 9 & 9 9 : < 5 ( ) 8 9 : < : 3, 1 4 < 8 3 = >? 4 =?,( 3 4 1( / =? =? : 3, : 4 9 / < 5 3, 5 4
9. =?! > = 9.= 9.= > > Η 9 > = 9 > 7 = >!! 7 9 = 9 = Σ >!?? Υ./ 9! = 9 Σ 7 = Σ Σ? Ε Ψ.Γ > > 7? >??? Σ 9
! # %& ( %) & +, + % ) # % % )./ 0 12 12 0 3 4 5 ). 12 0 0 61 2 0 7 / 94 3 : ;< = >?? = Α Β Β Β Β. Β. > 9. Δ Δ. Ε % Α % Φ. Β.,,.. Δ : : 9 % Γ >? %? >? Η Ε Α 9 Η = / : 2Ι 2Ι 2Ι 2Ι. 1 ϑ : Κ Λ Μ 9 : Ν Ο 0