DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

In the first part of the paper, we characterize distribution-invariant risk measures with convex acceptance and rejection sets on the level of distributions. It is shown that these risk measures are closely related to utility-based shortfall risk.
In the second part of the paper, we provide an axiomatic characterization for distribution-invariant dynamic risk measures of terminal payments. We prove a representation theorem and investigate the relation to static risk measures. A key insight of the paper is that dynamic consistency and the notion of "measure convex sets of probability measures" are intimately related. This result implies that under weak conditions dynamically consistent dynamic risk measures can be represented by static utility-based shortfall risk.     

CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE-TIME COHERENT RISK

We define the capital allocation and the risk contribution for discrete-time coherent risk measures and provide several equivalent representations of these objects. The formulations and the proofs are based on two instruments introduced in the paper: a probabilistic notion of the extreme system and a geometric notion of the generator . These notions are also of interest on their own and are important for other applications of coherent risk measures. All the concepts and results are illustrated by JP Morgan's Risk Metrics model.     

RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

In this paper we propose a generalization of the concepts of convex and coherent risk measures to a multiperiod setting, in which payoffs are spread over different dates. To this end, a careful examination of the axiom of translation invariance and the related concept of capital requirement in the one-period model is performed. These two issues are then suitably extended to the multiperiod case, in a way that makes their operative financial meaning clear. A characterization in terms of expected values is derived for this class of risk measures and some examples are presented.     

MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

Uncertainty on the choice of an option pricing model can lead to "model risk" in the valuation of portfolios of options. After discussing some properties which a quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk management of derivative instruments, we introduce a quantitative framework for measuring model uncertainty in the context of derivative pricing. Two methods are proposed: the first method is based on a coherent risk measure compatible with market prices of derivatives, while the second method is based on a convex risk measure. Our measures of model risk lead to a premium for model uncertainty which is comparable to other risk measures and compatible with observations of market prices of a set of benchmark derivatives. Finally, we discuss some implications for the management of "model risk."     

Supply Chain Risk Management Approaches Under Different Conditions of Risk

A recent Deloitte study of 600 Supply Chain and C‐Level executives revealed that 45% felt that their supply chain risk management programs were only somewhat effective or not effective at all, while a mere 33% used risk management approaches to proactively and strategically manage supply chain risk based on conditions in their operating environment. Using a two‐method approach, the research summarized in this paper investigates the effectiveness of different supply chain risk management approaches by examining how performance varies when these approaches are applied under different risk conditions. The results counter prevailing knowledge regarding the appropriate use of such widely acknowledged risk management approaches as postponement and speculation, and highlight the dangers of functionally isolated decision making. The results lend credence to increasing calls for interdisciplinary research to address broad‐based supply and demand chain problems, and support the need to utilize performance metrics such as net profit to accurately assess supply chain decisions.     

物流行业成本风险管理探讨

物流行业的成本风险主要有可控成本风险(也称特种风险)与不可控成本风险(也称系统风险)。其特点是市场性、流动性和相关性。物流企业要把握政策和社会环境的影响,加强对企业内部的成本风险的监管,利用行业的规范标准,实施相应的管理措施,以应对物流企业的各种成本风险。     

我国开放式基金风险管理研究

开放式基金作为一种金融工具,其健康发展离不开对风险的有效管理和控制。本文详细分析了我国开放式基金所面临的各种风险,并提出了防范和管理开放式基金风险的建议和措施。与现有文献相比,本文提出了系统的开放式基金风险管理措施,并构建了开放式基金风险管理模型,形成了我国开放式基金风险管理系统,完善了开放式基金风险管理理论。     

SHAREHOLDER RISK MEASURES

The aim of this paper is to put forward a new family of risk measures that could guide investment decisions of private companies. But at the difference of the classical approach of Artzner, Delbaen, Eber, and Heath and the subsequent extensions of this model, our risk measures are built to reflect the risk perception of shareholders rather than regulators. Instead of an axiomatic approach, we derive risk measures from the optimal policies of a shareholder value‐maximizing company. We study these optimal policies and the related risk measures that we call shareholder risk measures. We emphasize the fact that due to the specific corporate environment, in particular the limited shareholders' liability and the possibility to pay out dividends from cash reserves, these risk measures are not convex. Also, they depend on the specific economic situation of the firm, in particular its current cash level, and thus they are not translation invariant. This paper bridges the gap between two important branches of mathematical finance: risk measures and optimal dividends.     

AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

Capital allocation techniques are of central importance in portfolio management and risk-based performance measurement. In this paper we propose an axiom system for capital allocation and analyze its satisfiability and completeness: it is shown that for a given risk measure ρ there exists a capital allocation  Λ_ρ  that satisfies the main axioms if and only if ρ is subadditive and positively homogeneous. Furthermore, it is proved that the axiom system uniquely specifies  Λ_ρ  . We apply the axiomatization to the most popular risk measures in the finance industry in order to derive explicit capital allocation formulae for these measures.     

我国金融控股公司风险管理体系的构建

金融控股公司的风险管理体系建设是一项综合性、系统性工程,它应该包括风险管理文化、风险管理流程、风险部门设置模式、风险信息系统以及风险报告制度等内容。由于风险管理体系的不完善,我国的金融控股公司正逐渐显现其内在风险。因此,只有完善金融控股公司风险管理体系中的各个关键环节,才能使其发挥风险防范和控制作用。     

Risk management with weighted VaR

This article studies the optimal portfolio selection of expected utility‐maximizing investors who must also manage their market‐risk exposures. The risk is measured by a so‐called weighted value‐at‐risk (WVaR) risk measure, which is a generalization of both value‐at‐risk (VaR) and expected shortfall (ES). The feasibility, well‐posedness, and existence of the optimal solution are examined. We obtain the optimal solution (when it exists) and show how risk measures change asset allocation patterns. In particular, we characterize three classes of risk measures: the first class will lead to models that do not admit an optimal solution, the second class can give rise to endogenous portfolio insurance, and the third class, which includes VaR and ES, two popular regulatory risk measures, will allow economic agents to engage in “regulatory capital arbitrage,” incurring larger losses when losses occur.     

MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION

This paper deals with multidimensional dynamic risk measures induced by conditional g‐expectations. A notion of multidimensional g‐expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem, and viability on a rectangle of solutions to multidimensional backward stochastic differential equations, some necessary and sufficient conditions are given for the constancy, monotonicity, positivity, and translatability properties of multidimensional conditional g‐expectations and multidimensional dynamic risk measures; we prove that a multidimensional dynamic g‐risk measure is nonincreasingly convex if and only if the generator g satisfies a quasi‐monotone increasingly convex condition. A general dual representation is given for the multidimensional dynamic convex g‐risk measure in which the penalty term is expressed more precisely. It is shown that model uncertainty leads to the convexity of risk measures. As to applications, we show how this multidimensional approach can be applied to measure the insolvency risk of a firm with interacting subsidiaries; optimal risk sharing for ‐tolerant g‐risk measures, and risk contribution for coherent g‐risk measures are investigated. Insurance g‐risk measure and other ways to induce g‐risk measures are also studied at the end of the paper.     

斑点叉尾鮰病毒病的传入风险评估报告

本文为评估斑点叉尾鮰病毒病(CCVD)跨境传播风险提出科学可行的防控措施,基于病原学和流行病学特征,对CCVD进入我国的可能因素进行了风险分析。分析认为,CCVD的传人威胁主要来自疫区的活养殖斑点叉尾鮰等活敏感鱼类,还有用于食用的活敏感鱼类,以及冰冻、冰鲜的敏感鱼类。因此,根据进口对象制定不同的风险管理方案并采取相应的检疫措施,对有效控制CCVD传入我国具有重要意义。     

The State of Risk Assessment Practices in Information Security: An Exploratory Investigation

Risk in Information Systems Security can be defined as a function of a given threat source's exercising a particular vulnerability and the resulting impact of that adverse event on the organization. Risk management is the process of identifying and assessing risk and taking steps to reduce it to an acceptable level given the costs involved in doing so. The major activity within risk management is the risk assessment process. The objective of this research is to assess the current state of practice in conducting risk assessments for information security policy management. Results from an exploratory survey of U.S. headquartered firms indicate that increased frequency of conducting risk assessments, the use of quantitative measures of likelihood of loss, and more complete asset inventories correspond with higher levels of user satisfaction and perceived usefulness, although many companies choose not to engage in this level of practice or to only go part way. Additionally, respondents reported substantial difficulty in identifying threats and estimating loss, indicating that much can be done to improve the current state of practice.     

商业银行利率风险初探

目前,无论是中央银行还是商业银行,对金融风险管理都主要集中于信贷风险的管理,对利率风险的管理问题,尤其是利率变动对国内商业银行经营的影响问题很少论及。随着我国利率市场化的推进,商业银行面临的利率风险将日益明显,如何有效地衡量和管理商业银行的利率风险是我国商业银行为迎接加入WTO的挑战,求得生存和发展而亟待解决的一项重要研究课题和一个不可回避的现实问题。     

Preference robust distortion risk measure and its application

Distortion risk measure (DRM) plays a crucial role in management science and finance particularly actuarial science. Various DRMs have been introduced but little is discussed on which DRM at hand should be chosen to address a decision maker's (DM's) risk preference. This paper aims to fill out the gap. Specifically, we consider a situation where the true distortion function is unknown either because it is difficult to identify/elicit and/or because the DM's risk preference is ambiguous. We introduce a preference robust distortion risk measure (PRDRM), which is based on the worst-case distortion function from an ambiguity set of distortion functions to mitigate the impact arising from the ambiguity. The ambiguity set is constructed under well-known general principles such as concavity and inverse S-shapedness of distortion functions (overweighting on events from impossible to possible or possible to certainty and underweighting on those from possible to more possible) as well as new user-specific information such as sensitivity to tail losses, confidence intervals to some lotteries, and preferences to certain lotteries over others. To calculate the proposed PRDRM, we use the convex and/or concave envelope of a set of points to characterize the curvature of the distortion function and derive a tractable reformulation of the PRDRM when the underlying random loss is discretely distributed. Moreover, we show that the worst-case distortion function is a nondecreasing piecewise linear function and can be determined by solving a linear programming problem. Finally, we apply the proposed PRDRM to a risk capital allocation problem and carry out some numerical tests to examine the efficiency of the PRDRM model.     

ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

In this paper, we study the aggregate risk of inhomogeneous risks with dependence uncertainty, evaluated by a generic risk measure. We say that a pair of risk measures is asymptotically equivalent if the ratio of the worst‐case values of the two risk measures is almost one for the sum of a large number of risks with unknown dependence structure. The study of asymptotic equivalence is particularly important for a pair of a noncoherent risk measure and a coherent risk measure, as the worst‐case value of a noncoherent risk measure under dependence uncertainty is typically difficult to obtain. The main contribution of this paper is to establish general asymptotic equivalence results for the classes of distortion risk measures and convex risk measures under different mild conditions. The results implicitly suggest that it is only reasonable to implement a coherent risk measure for the aggregation of a large number of risks with uncertainty in the dependence structure, a relevant situation for risk management practice.     

VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural risk-transfer and time-consistency properties for a firm seeking to spread its risk across a group of subsidiaries.     

筹资风险探析

筹资风险又称财务风险,是企业因借入资金而产生的丧失偿债能力的可能性和企业利润的可变性。防范企业筹资风险应采取提高风险意识和企业的盈利能力、选择适当的筹资策略、合理安排筹资渠道和规划企业的资本结构、加强资产流动性的管理等措施,使筹资风险降到最低,实现企业最优的财务管理价值。     

Fuzzy evaluation of risk management profiles disclosed in corporate annual reports

The most common measures of risk have traditionally been based on quantitative financial and accounting information. However, new information on risk management disclosed in companies' annual reports is generally qualitative or linguistic. As such, exploitation by decision makers becomes difficult. In this study, a fuzzy analysis approach is applied to risk information disclosed by 217 firms listed on the Toronto Stock Exchange. The results provide some evidence that these fuzzy measures are reasonable proxies for traditional financial and accounting measures. They also show that fuzzy measures can predict a significant amount of systematic risk. Copyright © 2008 ASAC. Published by John Wiley & Sons, Ltd.