摘要
根据会计师事务所客户组合的风险特征,在给出客户组合风险的高阶期望损失风险测度方法的基础上,建立了客户组合风险管理决策的两阶段优化模型,求出了客户组合的风险边界值,并分析了风险边界值的决定因素.研究结果表明:会计师事务所可接受客户组合风险的大小及最终客户的多少,主要由可能发生的诉讼损失决定,即发生的诉讼损失越多,会计师事务所接受新客户和续聘客户的风险越谨慎,拒聘新客户或辞聘老客户的数量也越多.该研究结果对我国会计师事务所的风险管理决策实务和现有的审计风险理论研究都有一定的借鉴和参考价值.
According to specialities of a client portifolio risk in accounting firms, the article established a second-period optimizing model and gave their risk boundaries based on a quantitative method of high order expected shortfall. Then it analyzed and exemplified the decisive factors of risk management strategies. The result indicates that both the accepted risk level and the number of accepted clients depend on the level of litigation losses, i.e. the more the litigation loss is, the more cautious the accounting firms when they decide to accept new clients and continue with old clients and the more the resigned or rufused clients. The conclusion will be benificial to both risk management practice and the present audit risk theory of accounting firms.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2009年第9期23-31,共9页
Systems Engineering-Theory & Practice
关键词
高阶期望风险
客户组合风险
组合决策
风险边界
诉讼损失
high order expected shortfall
client portfolio risk
portfolio decision-making
risk boundary litigation loss
