从管理风险的角度看金融风险度量  

An Analysis of Financial Risk Measurement in Managing Risk

作　　者：姚京[1] 李仲飞[2] 

机构地区：[1]复旦大学金融研究院,上海200433 [2]中山大学岭南(大学)学院,广东广州510275

出　　处：《数理统计与管理》2010年第4期736-742,共7页Journal of Applied Statistics and Management

基　　金：上海市浦江人才计划;国家自然科学基金项目(70518001);国家杰出青年科学基金项目(70825002)

摘　　要：本文得出了连续时间下均值-VaR模型的最优投资策略。在这个最优解的基础上,我们比较说明了概率和分位数作为风险度量方法在管理风险中发挥的作用。我们的分析结果表明:从管理风险的角度出发控制损失发生的概率要比控制损失的水平更为有意义;并且选择的VaR置信度水平越高,监管的效果会越好。We obtain the optimal dynamic trading strategy of the mean-VaR model in a continuous-time financial market.Based on the obtained solutions,we investigate the role of the probability and quantile risk measure for managing risk.Our results show that the investor can benefit more from controlling the loss probability than controlling the loss magnitude from the perspective of managing risk.We also find that the higher the confidence level,the better the VaR impact on risk regulation.

关 键 词：风险度量 风险管理 VAR 破产概率 

分 类 号：F8[经济管理] O212[理学—概率论与数理统计]