期刊文献+

单一指标不能预防经济灾害

A Singke Number Can' t Hedge Against Economic Catastrophes
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摘要 数学和统计贯穿在世界金融市场每日的交易中。这就要求有一种新的方法来降低或防止风险,这种方法能提供重要的社会服务,但也能诱发有潜在巨额损失的特大赌博。文章讨论了一些可用作理解和防止突发灾难性金融风险的数学和统计方法。我们认为:对突发灾难性风险,均值不能意味任何事;单个的大型金融风险通常可以通过分散到不同的公司而加以更好的控制;风险的数字特征不能被归结到某一个单一指标中。我们还认为:在风险研究中,提高风险管理是大有潜力可挖的,因为风险研究中被当前作者所特别关注的极端评价理论,也许是个非常有用的工具。但改善不会自然生来,必须经历长期而艰辛的工作,在这个过程中,数学只是所有努力中的一部分。 Mathematics and statistics have transformed day-to-day trading in the world financial markets. This has led to new ways to reduce (or 'hedge') risks, whicn provide an important service to society, but also a temptation to very big gambles, with a potential for extreme losses. This paper discusses some of the ways statistics and mathematics can be used to understand and protect against very large, 'catastrophic' financial risks. We argue that means don't mean anything for catastrophic risk, that separate large financial risks often are better handled by separate companies, and that the mathematical aspects of risk can't be summarized into one number. We also believe that there is a large potential for improved risk management in financial institutions, where extreme value theory, a speciality of the present authors, may be a useful tool. Improvements, however, will not come for free, but require long and hard work, where mathematics is only one part of the total effort.
出处 《AMBIO-人类环境杂志》 1999年第6期552-557,576+509,共6页
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