金融创新下风险度量工具的性质、优化及风险管理的应用——基于GlueVaR的研究

The Nature, Optimization and Risk Management of Risk Measurement Tools under Financial Innovation——Research based on GlueVaR

风险的度量与识别是金融市场中风险管理的核心,常见风险测量工具仍然集中在VaR、TVaR等方法,但该类方法本身存在诸多局限性。GlueVaR的提出弥补了上述不足,被广泛应用于经济、金融和保险等领域。作为一种风险度量工具,相比于传统的VaR与TVaR测量方法,GlueVaR在全面捕捉风险信息的同时,可以根据不同风险态度进行扭曲函数参数的调整,具有更好的灵活性。本文利用GlueVaR线性组合权重,结合线性规划方法,考虑投资者对风险的偏好程度,给出了GlueVaR满足次可加性和尾部次可加性时参数的变化范围,明确了GlueVaR的适用范围,为GlueVaR广泛应用于金融市场奠定理论基础。实证结果表明,风险的度量与识别,进一步深化了对金融市场中各类风险的认知;同时,风险的细化,对于完善我国金融市场风险评估体系,促进金融行业的健康发展,具有重要的理论与现实意义。

The measurement and identification of risk is the core of risk management in financial markets.Common risk measurement tools still focus on methods such as VaR and TVaR,but there are many limitations in those methods.GlueVaR’s proposal makes up for the above shortcomings and is widely used in economics,finance and insurance.As a risk measurement tool,compared with the traditional VaR and TVaR measurement methods,GlueVaR can adjust the distortion function parameters according to different risk attitudes while fully capturing risk information,so it has better flexibility.This paper uses the GlueVaR linear combination weights,combined linear programming method,takes the investors’risk preferences into consideration,gives the range of parameters when GlueVaR satisfies the sub-additive and the tail sub-additive,clarifies the scope of application of GlueVaR and lays a theoretical foundation for GlueVaR to be widely used in financial markets.The empirical results show that the measurement and identification of risks further deepen the understanding of various risks in the financial market.At the same time,the refinement of risks is of great theoretical and practical significance for improving China’s financial market risk assessment system and promoting the healthy development of the financial industry.