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The paper applies the CVaR-GARCH-GED model to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1005). The conclusion is that fluctuations of CVaR forecast earnings based on GARCH-GED model is in compliance with the trend of the original returns. The accurate CVaR test reveals that the accuracy of CVaR forecast...
An Index Tracking fund is designed to achieve similar investment performance to a market index by holding a portfolio of stocks in which each is weighted with consideration of its corresponding index weight. An ideal index tracking fund is exposed solely market risk. An enhanced index tracking fund should maintain a similar level of risk exposure through a high level of diversification (investing...
This paper establishes early warning indexes system of Chinese commercial banks failure which consists of six categories that are liquidity risk, credit risk, operation risk, capital risk, profit risk and environment risk. Based on the matter analysis approach this paper founds the early warning model of Chinese commercial banks failure with portfolio weighting combined with the indexes' weights from...
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