风险管理中的风险分配问题

Risk allocation in risk management

为了进一步明晰风险管理实践中选择风险分配函数的问题,通过引入风险度量定义,分析了无组合效应风险与可互换风险这两种具有特殊性质的个体风险特征,并在此基础上讨论了风险分配应该满足的原则,继而证明并比较了标准差风险度量下,协方差风险分配函数与相对风险分配函数性质上的差异,并得到如下结论:1)风险预算也是一种特殊形式的风险分配函数;2)在标准差风险度量下,协方差风险分配函数是可行的风险分配函数;3)在标准差风险度量下,相对风险分配函数不是可行的风险分配函数;4)在一定条件下,风险分配函数之间具有等价性.

To thoroughly understand the problems of risk allocating function selection, the concept of risk measure is introduced and the characters of redundant risk and interchangeable risk are discussed in detail. The financial meanings of the risk allocation principles are fully explained. The different properties between covariance risk allocation function and relative risk allocation function are also discussed, and the commonly used risk budgeting model is proved to be a special form of risk allocation function. There are some conclusions in this paper： 1 ） risk budget is a risk allocation function with special form; 2） using a standard deviation risk measure, covariance risk allocation function is feasible; 3） using a s.tandard deviation function, relative risk allocation function is umffeasible; 4） with some condition, different risk allocation functions are interchangeable.