摘 要： 为改进传统Beta系数测量系统风险的不足，反映系统风险的动态特征，讨论了四阶矩的资本资产定价模型（CAPM）并将小波分析引入到高阶矩CAPM模型研究中。利用小波多分辨分析的特点，给出了小波高阶中心矩和高阶混合中心矩的定义，基于此给出了多分辨系...
未来利率水平的变动对银行的固定收益的债券和存贷款组合的价值有着直接和重大的影响，利率风险一直都是银行、无论是传统的商业银行还是投资银行所面临的最主要的市场风险之一。因此，对利率风险的管理是市场风险管理，甚至是整个风险管理中最重要的组成部分...
存在破产风险条件下的最优资本结构研究 非对称信息条件下的最优资本结构 论财务管理目标与最优资本结构 企业资本结构与产品市场竞争互动关系的研究及启示 企业最优资本结构的衡量指标 企业最优资本结构分析与判别 企业最优资本结构及其影响因素探析 企业最优...
M7hat is the cost of capital to a, firm in a world in which funds are used to acquire assets whose yields are uncertain; and in which capital can be obtained by many different media, ranging from pure debt instruments, representing money-f...
信用衍生产品是有效分散、转移以及对冲信用风险的重要工具，然而在2007年8月全面爆发的美国次级债危机中，信用衍生品却起到了放大器、助推器和加速器的作用。究其根源，信用衍生品定价失效是致使信用衍生品陷入次级债漩涡的主要原因。本文认为商业银行道德风...
Credit derivatives arose from the demand by financial institutions to hedge and diversify credit risk, but they have now become a major investment tool as well. Almost all credit derivatives take the form of the credit default swap, which...
Credit exposure is a source of risk that is present in almost all financial transactions and credit derivatives provide the most innovative method to manage this risk. Among the different categories of credit derivatives, this thesis conce...
本文研究一种最优梯度(Gradient Maximization)的优化方法（来自 Columbine Capital Services）在数量化选股策略中的应用，最优梯度法 基于线性因素模型，主要通过最优化方法搜索最优的权重配比，使得最 优股票构造的投资组合收益或其他指标最大化，此过程实...
Abstract To short a stock, an arbitrageur must first borrow it. This paper describes the market for borrowing and lending U.S. equities, with an emphasis on the conditions generating and sustaining short sales constraints. Eighteen months...
Publisher: Wiley Number Of Pages: 713 Publication Date: 2007-06-15 Sales Rank: 63285 ISBN / ASIN: 0470126302 EAN: 9780470126301 Binding: Paperback Manufacturer: Wiley Studio: Wiley Average Rating: 3 Total Reviews: 8 Contents Preface xix In...
