| 1. | The interest rate risk is classified into embedded risk , reprcing risk , yield curve risk and basis risk
利率风险主要包括潜在选择权风险、重新定价风险、收益曲线风险和基本点风险四种形式。 |
| 2. | Ratio of the value of futures contracts purchased or sold to the value of the cash commodity being hedged , a computation necessary to minimize basis risk
所买卖的期货合约价值与要进行套保的现货商品价值之间比值，用来计算最小化基差风险。 |
| 3. | Because the component of stock index is not fully the same as the stock portfolio of pension found , there is much basis risk when one stock index futures is used to hedge
因为构成股票指数的成分资产与股票组合的资产不完全相同，单一的股票指数期货与股票组合的相关性不是很强，从而导致套期保值交易具有较大的基点差风险。 |
| 4. | In terms of interest - rate risk , especially what we call basis risk , arising from , for example , a sudden and significant narrowing of the prime - hibor spread , the banking sector as a whole remains resilient
若以利率风险而言，尤其是由最优惠贷款利率与银行同业拆息的差距突然大幅收窄所引致的所谓息率基准风险而论，整体银行业仍然保持稳健。 |
| 5. | We assess the impact on individual banks of various stress scenarios including those involving basis risk . according to the recent test results , the banking sector would be able to withstand the impact arising from a number of stress scenarios
在这些测试中，我们评估各种假设的压力情况包括息率基准风险对个别银行的影响，而最近的测试结果显示，银行体系是有能力承受多种假设压力情况下所带来的冲击。 |
| 6. | It arises from differences between the timing of rate changes and the timing of cash flows ( repricing risk ) ; from changing rate relationships among yield curves that affect bank activities ( basis risk ) ; from changing rate relationships across the spectrum of maturities ( yield curve risk ) ; and from interest - rate - related options embedded in bank products ( option risk )
从利率市场化的构成要件出发来分析,本部分主要包括三个方面: ( 1 )我国利率市场化进程。主要分析了我国尚未实现利率市场化的几个方面、在利率市场化改革进程中的主要事件以及对我国利率改革的重要意义。 ( 2 )银行改革是影响利率市场化主要因素。 |
| 7. | Risk premium , basis risk premium and systematic risk premium is built based on capital assets price model . the model is used to increase income under the condition which a systematic risk is reduced , not only the model reflects the actual meaning of hedging of stock index futures , but also combines conventional hedging theory and modern combinatorial hedging theory
风险溢价、基差风险溢价和系统风险溢价三部分构成的股票指数期货套期保值原理数学模型，该模型的运用考虑在规避掉系统风险的前提下，如何使套期保值利润最大化,该模型不仅从本质上反映套期保值实际意义，而且还是传统套期保值理论与现代组合投资套期保值理论的有机结合。 |
| 8. | And the application of economic capital is not only achieved by the establishment of the basis risk in a highly quantified losses but also continuously promoting the overall risk management and capital management reunification . the economic capital management is the core of banking risk management
经济资本的提出和应用不仅实现了建立在高度量化基础上的风险损失与资本承担的相互统一,而且不断推动着风险管理和资本管理的整体统一,经济资本管理逐渐成为银行风险管理的核心。 |
| 9. | To reduce the basis risk , this thesis offers a compound hedge policy on stock index futures and deduces the expressions of the hedge ratio in two instances when the cost is same or restricted . this paper analyses the investments of pension fund from 9 - 6 - 2003 to 7 - 10 - 2003 , then it demonstrates the stock portfolio of pension found by the goal program model
为了降低套期保值交易的基点差风险，本文提出了利用多种股票指数期货对股票组合进行复合套期保值的策略，并给出了套期保值成本相同和限制套期保值成本两种情况下的套期保值率公式。 |
