风险度量的经济学理性与风险度量方法比较  

The comparison between the economic rationality of risk measurement and the method

作　　者：彭寿康[1] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310018

出　　处：《经济学家》2009年第7期90-99,共10页Economist

基　　金：教育部人文社会科学规划课题(06JA790105)

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。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 of banking supervision. This article also compares several important risk measurement methods in view of the evolution trend of supervision on banking capital adequacy ratio and puts forward a risk measurement method which is of economic rationality and meets the requirements of banking supervision.

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 

分 类 号：F830.1[经济管理—金融学]