基于CVaR的稳健信用组合优化.pdf

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1、目录第1章引言.............................................................·..·································!·一1.1问题背景以及研究现状.....................................................····.··············……1.2论文的工作.、.....................……，..............···..·································

2、··········……1.3论文结构...……，.................……，..............................................·.··············……第2章CreditMetrics方法概述.....……，.........................................................……确定信用等级转移矩阵2.2计算单个债券预期价值2.2.1信用升级和非违约的降级情况...........................................

3、...........……62.2.2违约情况......……，.............……，.....................……，............................……82.3信用资产组合的预期价值和信用风险...............................................……92.3.1确定各资产信用等级转变阀值.........................……，.......................……92.3.2确定各资产的预期信用等级...................

4、........................................……112.3.3选择远期贴现利率曲线计算组合价值..................……，..................……112.4CreditMetricS方法中变量的选取.........……，..........................................……11第3章模型的建立..................................................................................

5、...........……143.1风险指标.............................................……、.，.........................................……143.1.1VaR.................................................................................................……143.1.2CVaR...……，.......................................

6、...........................................……，.、143.1.3WCVaR...........................................................................................……153.2投资组合优化模型................................................................................……153.2.1CVaR模型...................

7、....................................................................……巧3.2.2混合分布模型...........……，...............................................................……163.2.3盒子分布模型，...............................................................................……18第4章鲁棒情景生成.............

8、........................................