金融风险度量的建模理论与方法的一些进展及其应用

doi:10.12005/orms.2018.0027

摘要/Abstract

摘要： 本文综述了金融风险度量的建模的理论和方法最近的发展。介绍了常用的矩度量和现代风险度量技术,包括在险价值VaR、预期不足ES和期望分位数Expectile等现代风险度量技术和方法,以及复杂风险因素下的非/半参数风险度量方法。违约概率和违约相关性是信用风险度量中的两个基本概念,本文还介绍了信用违约风险中违约概率和违约相关性的常用度量方法。最后,通过一些应用案例介绍如何在金融风险度量中应用现代风险度量技术度量和识别风险。

关键词: 风险度量, 风险率函数, 核光滑估计, 风险价值(VaR), 预期不足(ES), 期望分位数(Expectile)

Abstract: This paper reviews the development of management methods and related theories in financial risk management. We present the classical moment measurement as well as modern risk measurements, including value at risk(VaR), expected shortfall(ES)and expectile, and some nonparametric and semi-parametric risk measurements with risk factors also introduced. We also review the measurements of default probability and default correlation which are two important quantities in credit risk management. Finally, some applications explain how to use the modern risk measurements to manage risk and identify risk contributions.

Key words: risk management, hazard rate function, kernel smooth, value at risk(VaR), expectation shortfall(ES), expectile

中图分类号:

F830.9

苏辛, 谢尚宇, 周勇. 金融风险度量的建模理论与方法的一些进展及其应用[J]. 运筹与管理, 2018, 27(1): 185-199.

SU Xin, XIE Shang-yu, ZHOU Yong. Some Statistical Models and Inferences in Measurement of Financial Risk and Their Applications[J]. Operations Research and Management Science, 2018, 27(1): 185-199.

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