1) Confidence Interval and Sensitivity of the Operational VaR
操作风险价值置信区间及敏感性
4) VaR CI
风险置信区间
1.
This paper introduces a calibrated scenario generation method to estimate extreme Value-at-Risk (VaR) and Value-at-Risk confidence interval (VaR CI) of a portfolio with single risk factor which has heavy tailed distribution.
结合非参数估计方法,利用该模拟方法还得到投资高风险值以及高风险置信区间的准确估计。
5) hazard and operability studies
危险及可操作性评价
6) risk sensitive
风险敏感性
1.
The optimal control problem for the risk sensitive is studied by using the theory of stochastic optimal control: The definitions of value function and the coefficient of risk aversion are given, and the nonlinear transformation of value function is conducted.
运用随机最优控制理论，研究了风险敏感性随机最优控制问题。
补充资料：单侧置信区间
分子式：
CAS号：
性质：只设置在被估参数一侧，左侧或右侧的置信区间。
CAS号：
性质：只设置在被估参数一侧，左侧或右侧的置信区间。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条