| VaR、ES与一致性风险测度 |
| |
| 引用本文： | 张晓蓉,徐剑刚. VaR、ES与一致性风险测度[J]. 上海管理科学, 2006, 28(4): 78-80 |
| |
| 作者姓名： | 张晓蓉 徐剑刚 |
| |
| 作者单位： | 复旦大学管理学院;复旦大学管理学院财务金融系 |
| |
| 摘 要： | 基于分位数的VaR(风险价值)不具有一致性,可能误导投资组合优化和风险管理,ES(预期短缺)测度克服了这一缺点。谱测度和失真风险测度更具一般性,考虑了投资者风险厌恶对风险测度的影响,其中VaR和ES均为其特例。从实用性看,ES仍是业界普遍采用的方法。
|
| 关 键 词： | 一致性风险测度 风险价值 预期短缺 谱测度 失真风险测度 |
VaR, Expected Shortfall and Measurement of Consistency Risk |
| |
| Zhang Xiao-rong,Xu Jian-gang. VaR, Expected Shortfall and Measurement of Consistency Risk[J]. Shanghai Managent Science, 2006, 28(4): 78-80 |
| |
| Authors: | Zhang Xiao-rong Xu Jian-gang |
| |
| Affiliation: | Zhang Xiao-rong Xu Jian-gang |
| |
| Abstract: | Quantile-based VaR is not coherent and may be misleading in portfolio investment and risk management. When ES(expected shortfall)overcomes the pitfall,there are more general techniques such as spectral risk measure and distortion risk measure,in which VaR and ES are both special cases.Practitioners prefer ES due to its tradeoff in accuracy and speed of computing. |
| |
| Keywords: | coherent risk measure VaR expected shortfall spectral risk measure distortion risk measure |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
