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极端金融风险度量模型述评——基于一致性原理的VaR改进方法 被引量：1

Quantitative Models Remedying VaR to Measure Extreme Financial Risk
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摘要 针对VaR方法存在的不足以及其不满足风险度量的一致性原则,评述了当前国际上新近出现的系列对VaR进行改进的方法.尤其针对具有厚尾、动态性以及多变量相依特性的各种极端金融风险,需要综合考虑风险分布的各种实际状况而采用合适的度量模型,因此具体讨论了CVaR,ES,Copula,UBSR以及SRM等模型度量不同分布条件下的各种极端金融风险的思路,并对各模型的具体应用和函数功能进行了详细评述,指出了各种度量模型和方法的适用特点,以及未来的可能研究方向. Based on coherent and the situation of fat tail distribution, multi-variables co-dependence and dynamic distribution among extreme financial risks, CVaR, ES, Copula, UBSR and SRM are proposed to use separately measuring continuous, discontinuous, co-dependence and dynamic distribution conditions of different type financial risk such as operational risks, which give a clear future research direction on measuring all kinds of extreme financial risks in the world.
作者 杨青 薛宇宁 蒋科
机构地区 复旦大学经济学院金融研究院
出处 《复旦学报（自然科学版）》 CAS CSCD 北大核心 2009年第6期783-792,800,共11页 Journal of Fudan University：Natural Science
基金 国家自然科学基金资助项目(70702028) "上海市浦江人才计划"资助项目
关键词 极端金融风险 操作风险 风险度量一致性 VAR CVAR ES COPULA UBSR extreme financial risk operational risk coherent risk measure VaR CVaR ES Copula UBSR
分类号 O211 [理学—概率论与数理统计] F831.59 [经济管理—金融学]
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参考文献28

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二级参考文献68

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共引文献109

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复旦学报（自然科学版）
2009年 第6期

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