统计研究 ›› 2005, Vol. 22 ›› Issue (2): 67-6.
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王爱民; 何信
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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.
王爱民, 何信. 金融风险统计度量标准研究[J]. 统计研究, 2005, 22(2): 67-6.
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