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| 政府投资重大工程项目组合风险的VaR分析 | |
| 引用本文： | 孟昭辉,王洪礼,姚士磊,李飞鹏.政府投资重大工程项目组合风险的VaR分析[J].天津大学学报(社会科学版),2012,14(4):329-333. |
| 作者姓名： | 孟昭辉 王洪礼 姚士磊 李飞鹏 |
| 作者单位： | 1. 天津大学管理与经济学部,天津 300072;天津市建设投资有限公司,天津 300050 2. 天津大学管理与经济学部,天津,300072 3. 天津大学机械学院,天津,300072 |
| 摘 要： | 根据政府对重大工程项目投资的要求与特点，预测了可能遇到的风险，具体计算了其中贷款利率的波动风险、原材料价格的波动风险和机械设备使用费用的波动风险以及总造价预算波动风险的VaR和CVaR值。将方差一协方差法和历史模拟法相结合，预测了各种风险发生的概率，即在未来一段时间内，超过一定损失的可能性大小，从而达到合理地控制建筑工程项目风险的目的。 |
| 关 键 词： | 建筑项目 风险控制 VaR CVaR |
Combined Risks' VaR Analysis of Major Project Invested by the Government |
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| MENG Zhao-hui , WANG Hong-li , YAO Shi-lei , LI Fei-peng.Combined Risks' VaR Analysis of Major Project Invested by the Government[J].Journal of Tianjin University(Social Sciences),2012,14(4):329-333. | |
| Authors: | MENG Zhao-hui WANG Hong-li YAO Shi-lei LI Fei-peng |
| Institution: | 1(1.Faculty of Management and Economics,Tianjin University,Tianjin 300072,China; 2.Tianjin Construction Investment Limited Company,Tianjin 300050,China; 3.School of Mechanical Engineering,Tianjin University,Tianjin 300072,China) |
| Abstract: | According to the characteristic of major construction project invested by the government,we have predicted its possible sources of risks,and calculated the VaR and CVaR values of interest rate fluctuation risk,the risk of price fluctuations of raw materials,machinery and equipment use cost volatility and fluctuations in total project cost.In particular,we used variance-covariance method and historical simulation method to predict the possibility of these risks.In another word,we predicted the possibility of exceeding a certain loss in time to come.In this way,we managed the risk of construction project reasonably. |
| Keywords: | construction project risk management VaR CVaR |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |