有没有学BVL关于金融的?快让我疯了的问题.小女子在这里先拜谢了

lazyfish

allocating risk capital on earings volatility: securities underwriting and letters of credit dividsion.

A: monthly revenue less expense(in million of dollars)

1, most recent 30 months observations

4.3, 4.5, 5.2, 4.6, 3.9, 4.3, 5.4, 4.7, 5.1, 5.4, 5, 4.5, 4.4,4.8,5..........

2, Mean:5.06million
standard deviation:0.735 million
B. allocated risk capital
(assuming risk free rate 5.5% annually)
(0.055/12)* risk capital=0.735 million
risk capital = 160.364million

但是这是为什么啊,为什么是这样的计算方法啊!我快被它弄疯掉了,为了那个PRESENTATION. 我必须要解释清楚,哪位高手可以帮帮我啊.!!!!


谢谢谢谢谢谢谢谢了

lazyfish

就真的没有哪位高人知道吗?

yoga

如果是德语的话还有可能有人知道

beimingman

楼主,我想你是在讨论银行业中风险管理的内容, 我想在下面的书中已经讲的很清楚了.

"One way to measure the required risk capital is to relate it to the volatility of earnings from this line of business; i.e., earnings-at-risk."


from:
Chapter 4
Bank Management, 5th edition.
Timothy W. Koch and S. Scott MacDonald

http://72.14.207.104/search?q=cache:Z39B-A...tility&hl=zh-TW

beimingman

I hope it maybe helpful for your presentation.

Credit Risk Management Systems in Banks
http://www.garp.com/library/Meets/bhargava.pdf

lazyfish

谢谢楼上的大侠,我就是要根据KOCH的第四章做一个PRESENTATION. 需要解释清楚整个计算个过程. 呵呵,对于那个计算过程,我只知道是这么计算,不知道为什么这样计算. .谢谢你给的提示.

beimingman

你做事比较认真. 其实,如果你不是数学专业的话,就把计算方法记清楚好了. 我想,在你的PRESENTATION 中, 不会有人对你的计算过程感兴趣的. 忘掉过程,就记住结果好了. 这样的人生比较简单些. 开玩笑了...