统计研究 ›› 2005, Vol. 22 ›› Issue (2): 67-6.

• 论文 • 上一篇    下一篇

金融风险统计度量标准研究

王爱民; 何信   

  1. 天津大学
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2005-02-15 发布日期:2005-02-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2005-02-15 Published:2005-02-15

Abstract: The paper shows the standard problems of risk measurement in the fields of finance. We give a general standard of risk measurement based on the characteristic and essential, axiom and theorem system of risk. Based on this standard, from variance, semi-variance, and β coefficient to VaR, such risk measurements were analyzed and developed, and some false ideas, methods were specified. Lastly, we present a risk measurement by combining the risk preference, contingent loss. We proved from the point of mathematics and analyzed from the point of econometrics that the measurement is a perfect and promising method. It has the important significance for risk management.