Zhongyuan Yang

  • Citations Per Year
Learn More
Credit rating refers to the commercial bank overall analyzes customers' operating level, financial position, profitability, management level, development perspectives and so on. Credit rating reflects default risk of customer and furnishes basis for loan. This paper gives credit evaluation index system consist of financial position of non-financial(More)
In this paper, the combination forecast method is presented by using minimizing the Theil-Coefficient of the ARCH and GARCH and ARIMA method. The prices of cash and futures are forecasted combination forecast method. The optimal minimum variance hedging ratio is obtained by using the combination forecast results. The contribution is that combination(More)
In this paper, Value at Risk of hedging portfolio is adopted to measure the risk of futures hedging. The control constraint based on risk tolerance of hedgers is established. The futures optimal hedge ratio is presented by maximizing the return of hedging portfolio under the control constraint. The contributions of the model are as follows: Firstly that we(More)
In this paper, the absolute value-deviation approach is adopted to measure the risk of futures hedging. By minimizing the absolute value-deviation of hedged portfolio, the futures optimal hedge ratio is presented. The contribution of the model is using the absolute value-deviation of hedging return to measure hedging risk. This method does not need the(More)
In this paper, the duration gap and immunity conditions are used to control the interest rate risk and protect the equity rights. By using the time structure matching of assets-liabilities to control the time structure risk, the optimal model of assets and liabilities portfolio is established. The contributions of this paper lie on two aspects: firstly, it(More)
  • 1