| 风险度量的经济学理性与风险度量方法比较 |
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| 引用本文： | 彭寿康.风险度量的经济学理性与风险度量方法比较[J].经济学家,2009(7). |
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| 作者姓名： | 彭寿康 |
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| 作者单位： | 浙江工商大学金融学院; |
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| 基金项目： | 教育部人文社会科学规划课题(06JA790105) |
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| 摘 要： | 本文引入风险度量的经济学理性概念:一种风险度量方法为经济学理性的是指,这种方法对风险的度量结果与经济学中理性人对风险的排序结果相一致,采用这种方法度量风险的决策者,其决策结果也是经济学理性的。本文从风险状态下的决策理论出发,论证了在银行监管问题上,经济学理性的风险度量方法需要满足的条件。结合银行资本充足率监管的演进趋势,比较了几种重要的风险度量方法,并提出了一种经济学理性的、符合银行监管需要的风险度量方法。
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| 关 键 词： | 期望效用理论 对偶理论 一致性风险度量 期望损失 转换风险度量 |
The comparison between the economic rationality of risk measurement and the method |
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| Peng Shoukang.The comparison between the economic rationality of risk measurement and the method[J].Economist,2009(7). |
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| Authors: | Peng Shoukang |
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| Institution: | School of Finance;Zhejiang University of Business and Commerce;Hangzhou;Zhejiang;310018 |
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| Abstract: | This article introduces the economic rationality concept of risk measurement. One risk measurement method of economic rationality refers to that the results of risk measurement by such method are consistent with that of risk sorting by economic rational man. As for the decision maker adopting such risk measurement method, his decisions are of economic rationality. This article starts from the risk decision theory and proves the conditions for risk measurement method with economic rationality on the problem ... |
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| Keywords: | Expected utility theory Duality theory Coherent risk measurement Expected loss Transform risk measurement |
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