The thesis sets up optimal model of Asset-Liability-Management under the constrain of VaR. This model directly makes use of historical data of earning ratio to reflect the income and risk, so the defect of calculating portfolio risk indirectly is avoided.

  • 建立了基于VaR约束的银行资产负债管理优化模型,直接利用贷款收益率的历史数据反映收益与风险,避免了间接推测组合风险的弊端。

  • 互联网摘选 2025-01-20 13:09:54

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