A New Risk Measure MMVaR:Properties and Empirical Research  

作　　者：TAN Keqi CHEN Yu CHEN Dan 

机构地区：[1]Department of Statistics and Finance,School of Management,University of Science and Technology of China,Hefei 230026,China

出　　处：《Journal of Systems Science & Complexity》2023年第5期2026-2045,共20页系统科学与复杂性学报（英文版）

基　　金：supported by the National Social Science Fund of China under Grant No.22BTJ027。

摘　　要：The paper presents the properties of an alternative method,which measures market risk over time-horizon exceeding one day:Mark to market value at risk(MMVaR).Relying on the minimal returns during the time interval,this method not only considers the non-normality of data and information about sample size,but also meets the requirement of increasing the minimal capital ratio in BaselⅢ,basically.The authors theoretically prove the translation invariance,monotonicity and subadditivity of MMVaR as a risk measure under some conditions,and study its finite sample properties through Monte Carlo simulations.The empirical analysis shows that MMVaR can measure multi-period risk accurately.

关 键 词：MMVaR multi-period risk risk measure subadditive 

分 类 号：F224[经济管理—国民经济] F831.2