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題 名 | 風險衡量與其理論基礎=Risk Measurements and Its Theoretical Foundation |
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作 者 | 鄧家駒; | 書刊名 | 中國行政 |
卷 期 | 65 1999.02[民88.02] |
頁 次 | 頁41-53 |
分類號 | 319.16 |
關鍵詞 | 風險衡量; 隨機過程; 布朗寧運動; |
語 文 | 中文(Chinese) |
中文摘要 | 本文首先針對風險管理之一些基本風險觀念作討論,並由此討論涉及該項風險觀 念之風險衡量方法。 本文的重點則重在介紹隨機過程當中之布朗寧運動,以用來衡量隨機性與具備動態行 為之風險分析。此一方法在近代之財務與經濟研究方法當中早已廣加運用。 |
英文摘要 | In this article, we discuss some basic concepts of "risk" in risk management area, and several different approaches that are associated with these concepts and their measurements. The main focus of this article is to introduce the Brownian motion of stochastic processes to deal with the dynamic as well as probabilistic situations of risk analysis. This is the method that has been wildly applied to the most current research in both Finance and Economics fields. |
本系統中英文摘要資訊取自各篇刊載內容。