金融风险测度的CVaR方法

Financial Risk Measurement: CVaR

风险的准确度量是进行有效风险管理的先决条件,在理论与实务均具有重要意义.目前被广为接受的在险价值风险计量方法具有难以克服的缺陷.以条件在险价值为研究对象,介绍了条件在险价值的基本概念,并在与在险价值进行比较的基础上,给出基于条件在险价值的计量模型以及其在投资组合管理中的应用.

The precise measurement to risks is principal for the effective risk management, both major in theory and practice. Value-at-Risk, a widely accepted risk measure, has some deadly deficiencies. The authors introduce a new risk measure, Conditional-Value-at-Risk, which comes into being based on the VaR measure. They introduce CVaR＇s definition and the risk-measuring model on it and also its applications in portfolio management, comparatively with VaR measure.