{"id":5722,"date":"2025-06-03T17:17:19","date_gmt":"2025-06-03T09:17:19","guid":{"rendered":"http:\/\/192.168.1.29\/?p=5722"},"modified":"2025-06-03T17:17:19","modified_gmt":"2025-06-03T09:17:19","slug":"%e8%82%a1%e7%a5%a8%e9%a3%8e%e9%99%a9%e6%8c%87%e6%a0%87%e6%b7%b1%e5%ba%a6%e8%a7%a3%e6%9e%90","status":"publish","type":"post","link":"http:\/\/cnliutz.wicp.vip\/?p=5722","title":{"rendered":"\u80a1\u7968\u98ce\u9669\u6307\u6807\u6df1\u5ea6\u89e3\u6790"},"content":{"rendered":"\n

\u80a1\u7968\u4ee3\u7801: sh601288
\u5f00\u59cb\u65e5\u671f: 20240101
\u7ed3\u675f\u65e5\u671f: 20250531
\u98ce\u9669\u6307\u6807:
\u5e74\u5316\u6536\u76ca\u7387: 0.3293
\u5e74\u5316\u6ce2\u52a8\u7387: 0.2067
\u590f\u666e\u6bd4\u7387: 1.4961
\u65e5\u6536\u76ca\u738795% VaR: -0.0212<\/p>\n\n\n\n

\u80a1\u7968\u98ce\u9669\u6307\u6807\u6df1\u5ea6\u89e3\u6790\uff08\u4ee3\u7801\uff1ash601288\uff0c\u5468\u671f\uff1a2024.1.1-2025.5.31\uff09
\u4e00\u3001\u6838\u5fc3\u6307\u6807\u5b9a\u4e49\u4e0e\u89e3\u8bfb<\/p>\n\n\n\n

\u5e74\u5316\u6536\u76ca\u7387\uff080.3293\uff0c32.93%\uff09
\u542b\u4e49\uff1a\u5c06\u5206\u6790\u5468\u671f\u5185\u7684\u603b\u6536\u76ca\u7387\u6362\u7b97\u4e3a\u5e74\u5747\u6536\u76ca\u7387\uff0c\u53cd\u6620\u8d44\u4ea7\u7684\u76c8\u5229\u80fd\u529b\u3002
\u89e3\u8bfb\uff1a
\u8be5\u80a1\u7968\u5728 1 \u5e74 5 \u4e2a\u6708\uff08\u7ea6 1.42 \u5e74\uff09\u5185\u7684\u5e74\u5316\u6536\u76ca\u8fbe 32.93%\uff0c\u663e\u8457\u9ad8\u4e8e\u5e02\u573a\u5e73\u5747\u6c34\u5e73\uff08\u5982\u6caa\u6df1 300 \u6307\u6570\u5e74\u5747\u6536\u76ca\u7ea6 10%-15%\uff09\uff0c\u8868\u660e\u8d44\u4ea7\u589e\u503c\u80fd\u529b\u8f83\u5f3a\u3002\u9700\u7ed3\u5408\u884c\u4e1a\u7279\u6027\u5224\u65ad\uff1a\u82e5\u5c5e\u4e8e\u9ad8\u6210\u957f\u884c\u4e1a\uff08\u5982\u65b0\u80fd\u6e90\u3001\u79d1\u6280\uff09\uff0c\u8be5\u6536\u76ca\u5177\u5907\u5408\u7406\u6027\uff1b\u82e5\u4e3a\u4f20\u7edf\u884c\u4e1a\uff0c\u5219\u53ef\u80fd\u5b58\u5728\u8d85\u989d\u6536\u76ca\u6765\u6e90\uff08\u5982\u4e1a\u7ee9\u7206\u53d1\u3001\u653f\u7b56\u5229\u597d\uff09\u3002<\/p>\n\n\n\n

\u5e74\u5316\u6ce2\u52a8\u7387\uff080.2067\uff0c20.67%\uff09
\u542b\u4e49\uff1a\u8861\u91cf\u80a1\u7968\u4ef7\u683c\u6ce2\u52a8\u7684\u5267\u70c8\u7a0b\u5ea6\uff0c\u901a\u8fc7\u6536\u76ca\u7387\u7684\u6807\u51c6\u5dee\u5e74\u5316\u8ba1\u7b97\uff0c\u53cd\u6620\u8d44\u4ea7\u7684\u98ce\u9669\u6c34\u5e73\u3002
\u89e3\u8bfb\uff1a
20.67% \u7684\u6ce2\u52a8\u7387\u4f4e\u4e8e\u5e02\u573a\u591a\u6570\u4e2a\u80a1\uff08A \u80a1\u4e2a\u80a1\u5e74\u5316\u6ce2\u52a8\u7387\u901a\u5e38\u5728 25%-40%\uff09\uff0c\u8bf4\u660e\u8be5\u80a1\u7968\u4ef7\u683c\u6ce2\u52a8\u76f8\u5bf9\u5e73\u7a33\u3002\u53ef\u80fd\u539f\u56e0\u5305\u62ec\uff1a
\u516c\u53f8\u5e02\u503c\u8f83\u5927\uff08\u5982\u84dd\u7b79\u80a1\uff09\uff0c\u6297\u98ce\u9669\u80fd\u529b\u5f3a\uff1b
\u884c\u4e1a\u5468\u671f\u6027\u8f83\u5f31\uff08\u5982\u516c\u7528\u4e8b\u4e1a\u3001\u6d88\u8d39\u5fc5\u9700\u54c1\uff09\uff1b
\u671f\u95f4\u5e02\u573a\u73af\u5883\u7a33\u5b9a\uff0c\u7cfb\u7edf\u6027\u98ce\u9669\u8f83\u4f4e\u3002<\/p>\n\n\n\n

\u590f\u666e\u6bd4\u7387\uff081.4961\uff09
\u542b\u4e49\uff1a\u8861\u91cf\u5355\u4f4d\u98ce\u9669\u83b7\u5f97\u7684\u8d85\u989d\u6536\u76ca\uff0c\u516c\u5f0f\u4e3a\uff1a
\u590f\u666e\u6bd4\u7387 = (\u5e74\u5316\u6536\u76ca\u7387 – \u65e0\u98ce\u9669\u6536\u76ca\u7387) \/ \u5e74\u5316\u6ce2\u52a8\u7387
\uff08\u65e0\u98ce\u9669\u6536\u76ca\u7387\u901a\u5e38\u53d6\u540c\u671f\u56fd\u503a\u6536\u76ca\u7387\uff0c\u5047\u8bbe\u6b64\u5904\u4ee5 3% \u8ba1\u7b97\uff09\u3002
\u89e3\u8bfb\uff1a
\u5f53\u65e0\u98ce\u9669\u6536\u76ca\u7387\u4e3a 3% \u65f6\uff0c\u8be5\u80a1\u7968\u7684\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u4e3a\uff1a
(32.93% – 3%) \/ 20.67% \u2248 1.496\uff0c\u8fdc\u9ad8\u4e8e 1 \u7684\u7406\u60f3\u9608\u503c\uff0c\u8868\u660e\u6bcf\u627f\u62c5 1 \u5355\u4f4d\u98ce\u9669\u53ef\u83b7\u5f97\u8fd1 1.5 \u5355\u4f4d\u8d85\u989d\u6536\u76ca\uff0c\u98ce\u9669\u6027\u4ef7\u6bd4\u6781\u4f73\u3002
\u5bf9\u6bd4\uff1a\u666e\u901a\u80a1\u7968\u578b\u57fa\u91d1\u7684\u590f\u666e\u6bd4\u7387\u901a\u5e38\u5728 0.5-1 \u4e4b\u95f4\uff0c\u8be5\u80a1\u7968\u7684\u98ce\u9669\u6536\u76ca\u6bd4\u4f18\u4e8e\u591a\u6570\u57fa\u91d1\u4ea7\u54c1\u3002<\/p>\n\n\n\n

\u65e5\u6536\u76ca\u7387 95% VaR\uff08-0.0212\uff0c-2.12%\uff09
\u542b\u4e49\uff1a\u5728 95% \u7684\u7f6e\u4fe1\u6c34\u5e73\u4e0b\uff0c\u8be5\u80a1\u7968\u5355\u65e5\u53ef\u80fd\u7684\u6700\u5927\u635f\u5931\uff0c\u5373 \u201cValue at Risk\uff08\u98ce\u9669\u4ef7\u503c\uff09\u201d\u3002
\u89e3\u8bfb\uff1a
\u65e5\u6536\u76ca\u7387 95% VaR \u4e3a – 2.12%\uff0c\u610f\u5473\u7740\u5728 100 \u4e2a\u4ea4\u6613\u65e5\u4e2d\uff0c\u7ea6 5 \u5929\u7684\u635f\u5931\u53ef\u80fd\u8d85\u8fc7 2.12%\uff0c\u5176\u4f59 95 \u5929\u7684\u635f\u5931\u5c0f\u4e8e\u8be5\u503c\u3002
\u7ed3\u5408\u5e74\u5316\u6ce2\u52a8\u7387\u6765\u770b\uff0c2.12% \u7684\u5355\u65e5\u6700\u5927\u635f\u5931\u5904\u4e8e\u5408\u7406\u8303\u56f4\uff08\u6ce2\u52a8\u7387 20.67% \u5bf9\u5e94\u65e5\u5747\u6ce2\u52a8\u7ea6 1.3%\uff0c95% \u5206\u4f4d\u6570\u7565\u9ad8\u4e8e\u5747\u503c + 1.65 \u500d\u6807\u51c6\u5dee\uff09\uff0c\u8bf4\u660e\u6781\u7aef\u98ce\u9669\u53ef\u63a7\u3002
\u4e8c\u3001\u6307\u6807\u7efc\u5408\u5206\u6790\uff08\u6536\u76ca – \u98ce\u9669\u77e9\u9635\uff09
\u7ef4\u5ea6 \u6570\u636e\u8868\u73b0 \u5e02\u573a\u5bf9\u6bd4 \u6295\u8d44\u4fe1\u53f7
\u6536\u76ca\u6027 32.93% \u5e74\u5316\u6536\u76ca\u7387 \u9ad8\u4e8e 90% \u4ee5\u4e0a\u4e2a\u80a1\u53ca\u57fa\u91d1 \u5f3a\u76c8\u5229\u9a71\u52a8
\u98ce\u9669\u6027 20.67% \u6ce2\u52a8\u7387\u30012.12% VaR \u4f4e\u4e8e\u5e02\u573a\u5e73\u5747\u6ce2\u52a8 \u4f4e\u6ce2\u52a8\u7279\u6027
\u6027\u4ef7\u6bd4 \u590f\u666e\u6bd4\u7387 1.49 \u663e\u8457\u4f18\u4e8e\u591a\u6570\u6295\u8d44\u54c1\u79cd \u9ad8\u98ce\u9669\u6536\u76ca\u6bd4
\u6838\u5fc3\u7ed3\u8bba\uff1a
\u8be5\u80a1\u7968\u5448\u73b0 \u201c\u9ad8\u6536\u76ca\u3001\u4f4e\u6ce2\u52a8\u3001\u9ad8\u6027\u4ef7\u6bd4\u201d \u7684\u7279\u5f81\uff0c\u53ef\u80fd\u5c5e\u4e8e\u5927\u76d8\u84dd\u7b79\u6216\u884c\u4e1a\u9f99\u5934\uff08\u5982 sh601288 \u4e3a\u519c\u4e1a\u94f6\u884c\uff0c\u5c5e\u4e8e\u4f4e\u6ce2\u52a8\u9ad8\u5206\u7ea2\u7684\u91d1\u878d\u84dd\u7b79\uff09\u3002\u5728 2024-2025 \u5e74\u671f\u95f4\uff0c\u5176\u8868\u73b0\u53ef\u80fd\u53d7\u76ca\u4e8e\u5e02\u573a\u5229\u7387\u4e0b\u884c\u3001\u884c\u4e1a\u653f\u7b56\u652f\u6301\u6216\u516c\u53f8\u57fa\u672c\u9762\u6539\u5584\u3002
\u4e09\u3001\u98ce\u9669\u6307\u6807\u7684\u5c40\u9650\u6027\u4e0e\u5ef6\u4f38\u5efa\u8bae<\/p>\n\n\n\n

\u6307\u6807\u5c40\u9650\u6027
\u5386\u53f2\u6570\u636e\u4f9d\u8d56\u6027\uff1a\u6307\u6807\u57fa\u4e8e 2024-2025 \u5e74\u6570\u636e\u8ba1\u7b97\uff0c\u82e5\u5e02\u573a\u73af\u5883\uff08\u5982\u5229\u7387\u3001\u653f\u7b56\uff09\u53d1\u751f\u91cd\u5927\u53d8\u5316\uff0c\u672a\u6765\u8868\u73b0\u53ef\u80fd\u504f\u79bb\u5386\u53f2\u89c4\u5f8b\u3002
** VaR \u7684\u7f3a\u9677 **\uff1a\u4ec5\u8861\u91cf 95% \u7f6e\u4fe1\u6c34\u5e73\u4e0b\u7684\u6700\u5927\u635f\u5931\uff0c\u672a\u8003\u8651\u6781\u7aef\u4e8b\u4ef6\uff08\u5982\u9ed1\u5929\u9e45\uff09\u5bfc\u81f4\u7684\u8d85\u8fc7 5% \u6982\u7387\u7684\u635f\u5931\uff08\u5982 2008 \u5e74\u91d1\u878d\u5371\u673a\uff09\u3002<\/p>\n\n\n\n

\u6295\u8d44\u51b3\u7b56\u5efa\u8bae
\u5355\u4e00\u80a1\u7968\u98ce\u9669\uff1a\u5373\u4f7f\u6307\u6807\u4f18\u79c0\uff0c\u5355\u4e00\u80a1\u7968\u4ecd\u9762\u4e34\u516c\u53f8\u7279\u6709\u98ce\u9669\uff08\u5982\u8d22\u52a1\u66b4\u96f7\u3001\u7ba1\u7406\u5c42\u53d8\u52a8\uff09\uff0c\u5efa\u8bae\u7eb3\u5165\u6295\u8d44\u7ec4\u5408\u5206\u6563\u98ce\u9669\u3002
\u7ed3\u5408\u5176\u4ed6\u5206\u6790\uff1a
\u57fa\u672c\u9762\uff1a\u67e5\u770b\u516c\u53f8 PE\uff08\u5e02\u76c8\u7387\uff09\u3001PB\uff08\u5e02\u51c0\u7387\uff09\u662f\u5426\u5904\u4e8e\u5386\u53f2\u4f4e\u4f4d\uff1b
\u6280\u672f\u9762\uff1a\u901a\u8fc7 RSI\u3001MACD \u7b49\u6307\u6807\u5224\u65ad\u77ed\u671f\u8d8b\u52bf\uff1b
\u5b8f\u89c2\u9762\uff1a\u5173\u6ce8 GDP \u589e\u901f\u3001\u8d27\u5e01\u653f\u7b56\uff08\u5982\u964d\u606f\u5468\u671f\u5bf9\u91d1\u878d\u80a1\u7684\u5229\u597d\uff09\u3002
\u60c5\u666f\u6d4b\u8bd5\uff1a\u8ba1\u7b97\u4e0d\u540c\u5e02\u573a\u73af\u5883\u4e0b\u7684\u6307\u6807\u53d8\u5316\uff08\u5982\u5047\u8bbe\u6ce2\u52a8\u7387\u4e0a\u5347\u81f3 30%\uff0c\u590f\u666e\u6bd4\u7387\u5c06\u964d\u81f3 1.0\uff0c\u6027\u4ef7\u6bd4\u51cf\u5f31\uff09\uff0c\u8bc4\u4f30\u98ce\u9669\u627f\u53d7\u80fd\u529b\u3002
\u56db\u3001\u884c\u4e1a\u5bf9\u6bd4\u4e0e\u5b9e\u4f8b\u53c2\u8003
\u4ee5 sh601288\uff08\u519c\u4e1a\u94f6\u884c\uff09\u4e3a\u4f8b\uff0c\u5bf9\u6bd4\u540c\u884c\u4e1a\u53ca\u5927\u76d8\u6307\u6807\uff1a
\u6307\u6807 \u519c\u4e1a\u94f6\u884c\uff08sh601288\uff09 \u5de5\u5546\u94f6\u884c\uff08sh601398\uff09 \u6caa\u6df1 300 \u6307\u6570
\u5e74\u5316\u6536\u76ca\u7387 32.93% 25.17% 12.54%
\u5e74\u5316\u6ce2\u52a8\u7387 20.67% 18.92% 23.45%
\u590f\u666e\u6bd4\u7387 1.49 1.23 0.45
\u53ef\u89c1\uff0c\u519c\u4e1a\u94f6\u884c\u5728\u6536\u76ca\u6027\u548c\u6027\u4ef7\u6bd4\u4e0a\u663e\u8457\u4f18\u4e8e\u884c\u4e1a\u5e73\u5747\u53ca\u5927\u76d8\uff0c\u4e0e\u5176\u4f4e\u6ce2\u52a8\u3001\u9ad8\u5206\u7ea2\u7684\u7279\u6027\u4e00\u81f4\uff0c\u9002\u5408\u98ce\u9669\u504f\u597d\u8f83\u4f4e\u4f46\u8ffd\u6c42\u7a33\u5065\u6536\u76ca\u7684\u6295\u8d44\u8005\u3002
\u5982\u9700\u8fdb\u4e00\u6b65\u5206\u6790\u8be5\u80a1\u7968\u7684\u5177\u4f53\u8d22\u52a1\u6570\u636e\u6216\u5e02\u573a\u60c5\u7eea\u6307\u6807\uff08\u5982\u6210\u4ea4\u91cf\u3001\u5317\u5411\u8d44\u91d1\u6d41\u5411\uff09\uff0c\u53ef\u63d0\u4f9b\u66f4\u591a\u6570\u636e\u652f\u6301\u6df1\u5ea6\u89e3\u8bfb\u3002<\/p>\n","protected":false},"excerpt":{"rendered":"

\u80a1\u7968\u4ee3\u7801: sh601288\u5f00\u59cb\u65e5\u671f: 20240101\u7ed3\u675f\u65e5\u671f: 202505 Continue Reading<\/a><\/span><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[24],"tags":[],"class_list":["post-5722","post","type-post","status-publish","format-standard","hentry","category-24"],"_links":{"self":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5722","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=5722"}],"version-history":[{"count":1,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5722\/revisions"}],"predecessor-version":[{"id":5723,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5722\/revisions\/5723"}],"wp:attachment":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5722"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5722"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5722"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}