金融风险综合评估方法最新研究进展  

Latest Development of Approaches to Integrated Risk Measurement

作　　者：何旭彪[1] 

机构地区：[1]华中科技大学管理学院讲师

出　　处：《国际金融研究》2008年第6期63-68,共6页Studies of International Finance

摘　　要：风险管理是金融机构的基本任务之一,如何有效地评估多种金融风险是风险管理者尤为关注的问题。当前金融风险综合评估方法主要采用由上至下法或由下至上法的理论框架。本文从金融风险综合评估方法所需解决的基本问题入手,详细阐述了金融风险计量方法中的主流模型及其研究现状,结合Copula理论介绍了风险综合评估方法的最新进展,并根据综合评估方法中存在的问题讨论了综合评估方法的前景及展望。Risk management is a basic task for financial institutions. Especially, it is very important for risk managers to effectively measure the integrated risk of capitals. The approach to the integrated risk measurement is very complex because of the dynamic nonlinear dependent structure between the financial risks. The Copula method is a good solution. The top-down and the bottom-up approach have emerged recently as more sophisticated methods for measuring integrated risks. According to the basic problem for measuring integrated risks, this paper introduces the main methods of the financial risk measurement and the recent development in the method research of integrated risk measurement combining with Copula method. Finally, the drawbacks and the prospects for the approach of integrated risk measurement are discussed.

关 键 词：综合风险评估 COPULA 市场风险 信用风险 操作风险 

分 类 号：F830.9[经济管理—金融学]