摘要: 噪声交易的存在构成了金融产品交易的一部分,实证研究表明,中国证券市场主体的噪声交易过度问题相当严重,表现在机构投资者对股价的操纵、中小投资者的盲目跟庄等方面。中国证券市场主体过度噪声交易的原因是存在体制性缺陷。为此,应加强对证券市场的监...
金融噪声交易理论可以看作是正在兴起的行为金融学的重要组成部分，包括费希尔、布莱克、萨默斯、斯蒂格利茨和曼昆都对金融噪声交易理论进行了有益的探讨和支持。...
摘 要:本文首先对噪声交易理论的实质、内容以及前提进行了简要的介绍,然后应用博弈论中单阶段静态博弈模型以及不完全信息动态博弈中的声誉模型分别对我国金融市场中噪声交易商与理性交易商的投机对策行为进行了分析。...
ABSTRACT In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the...
Abstract: In recent months and years both practitioners and regulators have embraced the idea ofsupplementing VaR estimates with stress-testing. Risk managers are beginning to place anemphasis and expend resources on developing more and be...
ABSTRACT This paper proposes a procedure for using a GARCH or exponentially weighted movingaverage model in conjunction with historical simulation when computing value at risk. Itinvolves adjusting historical data on each market variable t...
This article proposes a new model for calculating VaR in which the user can choose any probability distributions for daily changes in the market are subject to updating schemes similar to GARCH. Transformations of the probability distribut...
The views expressed in this article are those of the authors and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System． The Federal Reserve Bank of New York provides no warranty,expr...
Calculating Basel II Risk Parameters for a Portfolio of Retail Loans Abstract Under the Basel II regime, banks can choose among different approaches tomeasure the regulatory capital to underpin their risky assets. From the pointof view of...
PART ONE END OF THE DOWNTURN CHAPTER I. GLOBAL TRENDS: FDI FLOWS RESUME GROWTH...................... 3 A. Signs of recovery .................................................. 3 1. Overall analysis..............................................
