论金融风险度量方法的一致性要求

On the Consistency of Financial Risk Measurement Methods

金融实务界正在使用和理论界最近提出的各种金融风险度量方法(包括标准差、VaR、Tail-VaR、ES和基于各种转换函数的风险度量方法)应该满足一致性要求;而满足一致性要求的风险度量方法并非是最优的风险度量方法。

Various financial measurement methods (including standard deviation, VaR, Tail-Var, ES and risk measurement method based on various conversion factors), which were put forward by the theoretical field and are being applied by the practical field, should address the need of consistency. However, the risk measurement methods that address the need of consistency are not the best risk measurement method.