时变风险度量模型

发布时间：2018-01-10 00:28

本文关键词：时变风险度量模型　出处：《系统工程理论与实践》2012年03期 　论文类型：期刊论文

【摘要】：自从Markowitz在1952年发表"Portfolio Selection"以来,金融学家已设计了不少的风险度量方法,如方差法、下半方差法、平均偏差法、最大偏差法、VaR,等等.然而,这些方法有一个共同点,那就是,只考虑证券的价格运动,而没有将交易量因素考虑到风险度量中去.在通常情况下,这些风险度量方法以及建立在这些风险度量上的金融理论模型是能帮助投资者有效地防范和分散风险,但对类似于1997年的东南亚金融危机和2007年由美国次贷危机引发的金融海啸等一些突发事件所引起的金融危机却不能进行有效地防范,基于此,本文提出了一个新的风险度量指标——时变风险,以求既能反映通常情况下的风险状况,又能对突发事件的影响有所反映,以达到有效防范各种情况下的风险.时变风险是一个时间的函数,它是随时间变化的量,不是一个常量,这与人们对风险的感性认识是一致的,因此它对实践具有重大的指导意义.
[Abstract]:Since Markowitz published Portfolio Selection in 1952, many risk measures, such as variance, have been designed by financiers. The lower half variance method, the average deviation method, the maximum deviation method VaR, etc., however, these methods have one thing in common, that is, only consider the price movement of securities. The transaction volume factor is not taken into account in the risk measurement. These risk measurement methods and the financial theory model based on these risk measures can help investors to prevent and disperse risks effectively. However, the financial crisis caused by some unexpected events such as the Southeast Asian financial crisis in 1997 and the financial tsunami caused by the subprime mortgage crisis in the United States on 2007 can not be effectively prevented. In this paper, a new risk metric, time-varying risk, is proposed to reflect both the general risk situation and the impact of unexpected events. The time-varying risk is a function of time, it is a change with time, not a constant, which is consistent with people's perceptual understanding of risk. Therefore, it has great guiding significance to practice.
【作者单位】：华南师范大学经济管理学院;
【分类号】：F830.91;F224
【正文快照】： 1引言近三十年来，由于受经济全球化与金融自由化、金融创新等因素的影响，全球金融市场迅猛发展，金融市场呈现出前所未有的波动性，工商企业、金融机构面临着日趋严重的金融风险[l].金融风险不仅严重影响了工商企业和金融机构的正常运营和生存，，而且还对一国乃至全球金融及

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