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 Optimierung von Conditional Value-at-Risk Das "Innere-Pinkte-Verfahren" aus der linearen und gemischt ganzzahligen Programmierung wird mit dem Nesterov-Verfahren, welches eine dem
Наименование:

Optimierung von Conditional Value-at-Risk

автор Elena Y. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 64        мягкая обложка       
Аннотация:Das "Innere-Pinkte-Verfahren" aus der linearen und gemischt ganzzahligen Programmierung wird mit dem Nesterov-Verfahren, welches eine dem CVaR aehnliche Zielfunktion besitzt, verglichen. Als Bespiel wird ein Modell mit den Aktienkursen aus dem DAX aufgebaut und mittels AMPL und MATLAB-Programm berechnet. Die Suche nach einer optimalen Anlageverteilung in einem Portfolio wird in dieser Arbeit mittels zwei Optimierungsverfahren vorgenommen. Das Risikomass CVaR (Conditional Value-at-Risk), auch als Expected Shortfall bekannt, fand in der letzten Zeit immer mehr Beachtung als eine Alternative zur Varianz oder VaR (Value-at-Risk) im Risikomanagement.
Автор: Elena Y.
Издательство: Книга по Требованию
Год:2010
Цена:
1922 руб
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Поиск: Optimierung von Conditional Value-at-Risk
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
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Показатели бизнес-плана коммерческого банка

Пример № 1 В данном примере рассматриваются предельные характеристики поддержания ликвидности банка, соответствующие наихудшему случаю, который может произойти с выбранным уровнем доверия (обычно берется 5%). Здесь разработанная технология соответствует известному подходу Value-a -Risk (VaR). При этом величиной VaR являются затраты на поддержание ликвидности в течение всего срока размещения или ликвидные издержки. Входными данными для расчетов являются: основные статистические характеристики ресурсной базы банка (средний объем ресурсной базы и стандартное отклонение); . доверительная вероятность (например, 95%); . объем размещаемого кредита; . срок размещения; . объем резервирования; . прогнозируемая ставка привлечения. Результатами расчета являются следующие характеристики ликвидности банка и прибыльности операции кредитования: . максимальный срок потери ликвидности банком (за весь период размещения кредита); . максимальный дневной объем привлечения межбанковских кредитов (для покрытия дефицита средств); . наибольшие расходы на привлечение МБК (при прогнозируемой ставке привлечения); . общий результат от операции кредитования (с учетом ликвидных издержек).
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