基于极值谱风险测度的金融市场风险度量  

Measuring Risk of Financial Markets: Based on Extreme Spectral Risk Measures

作　　者：益智[1] 杨敏敏[1] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310018

出　　处：《商业经济与管理》2009年第8期71-77,共7页Journal of Business Economics

基　　金：浙江省高校人文社会科学浙江工商大学金融学重点研究基地资助;国家教育部人文社科基金项目(07JA790098);上海证券交易所第十九期联合课题资助

摘　　要：如何准确度量金融市场风险将是金融学研究的永恒话题。既考虑金融市场的实时波动,又关注投资者的风险态度,应是科学度量风险的方法。文章基于极值理论的POT模型,采用谱风险度量方法对上证综合指数、香港恒生指数和美国道琼斯指数进行了风险度量。实证结果表明,相对于忽视投资者风险态度的和值,考虑投资者风险厌恶态度的极值谱风险能够比较准确地度量金融市场的实际风险。How to accurately measure risks of financial markets will be an eternal topic. The scientific methods of risk measurement should not only consider the real-time volatility of the financial markets but also the investor＇s risk attitude. We apply the Peaks Over Threshold model to measuring the risks of Shanghai Composite Index, Hang Kong Hang Seng Index and U. S. Dow Jones Index by extreme spectral risk measures, and compare them with Value at Risk and Expected Shortfall measures of risk. The empirical results show that comparing with the value of Value at Risk and Expected Shortfall which ignore the investor＇s risk attitude, extreme spectral risk measures, which consider investor＇s risk aversion attitude, are more precise to measure the actual risk of financial markets.

关 键 词：极值理论 谱风险 在险价值 预期不足 

分 类 号：F830.9[经济管理—金融学]