从一致性公理看金融风险度量技术新发展

"一致性公理"用四个性质给出了好的度量模型标准。然而作为风险价值度量的VaR模型却很可能不满足"一致性公理",因此存在度量风险的缺陷。CVaR模型的提出,弥补了VaR模型不满足次可加性以及尾部风险度量不充分的两大缺陷。于是在传统的VaR方法基础上,融合进市场风险和流动性风险,形成一些新的金融衍生工具的风险管理框架。

Development of Financial Risk Measurement: From a View of Coherent Axiom

What kind of risk model can be called as a good one? Coherent Axiom tells the answer by 4 key characteristics.A traditional VaR model possibly dissatifies the Coherent Axiom and has certain fault in measuring financial risk.CVaR model improves VaR model by Sub-additive and tail risk.But Coherent Axiom is also invalid sometimes.From 1990s,especially the bankrupt of LTCM in 1998,many supervision organizations and instifutional investors has paid attention to the importance of liquidity risk.On the basis of traditional VaR method,the risk management framework of financial derivatives combined with market risks and liquidity risks has formed.