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基于目标的风险度量方法 被引量：6

Target-based risk measuring method
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摘要 VaR和CVaR在国内外风险管理实践中得到了普遍应用,但监管者以概率置信水平作为其监管目标的方法对于实际投资者的风险度量而言并不是很直观,投资者更加关心的是资产目标价值能否实现的风险.将资产的目标价值以直观的方式加入到风险的定义中,提出了广义一致风险测度公理假设,并证明了广义一致风险测度也具有很好的性质.此外,看跌期权作为测度风险的有效方法,具有直观的经济含义,可以证明它满足广义一致风险测度公理假设.最后建立了看跌期权费风险测度和E-VaR/E-CVaR之间的数量关系. From an investor＇s view, risk is closely related to his investment target. In this paper investment target into the risk definition, and propose a new axiomatic framework for the class of we take the generalized coherent risk measures. It proves that the class of generalized risk measure is consistent with the individual＇ s risk preference. The put option premium is an intuitive risk measure, measure. Connections between the put option premium and other risk are also built in this paper. and also is a generalized coherent risk measures such as E-VaR and E-CVaR
作者 周春阳 吴冲锋
机构地区 上海交通大学金融工程研究中心
出处 《管理科学学报》 CSSCI 北大核心 2009年第6期83-89,共7页 Journal of Management Sciences in China
基金 国家自然科学基金资助项目(70331001)
关键词 看跌期权费 目标 一致风险测度 广义一致风险测度 put option premium target-based risk measure coherent risk measure generalized coherent risk measures
分类号 F830.9 [经济管理—金融学]
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参考文献22

  • 1余素红,张世英,宋军.基于GARCH模型和SV模型的VaR比较[J].管理科学学报,2004,7(5):61-66. 被引量：76
  • 2Jorion P. Value at Risk[M]. New York: McGraw-Hill, 2001.
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二级参考文献10

  • 1Morgen J P. Risk Metrics-Technical Document[ M]. 3rd ed. New York: Morgen Trust Company Global Research, 1995.
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  • 10Rockafeller T, Uryasev S. Optimization of conditional value-at-risk[J]. Journal of Risk, 2000, 2(3): 21-24.

共引文献75

同被引文献127

引证文献6

二级引证文献78

管理科学学报
2009年 第6期

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