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金融风险统计度量标准研究

2005-02-15分类号:F224

【作者】王爱民  何信
【部门】天津大学管理学院
【摘要】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.
【关键词】风险  风险度量  度量标准
【基金】
【所属期刊栏目】统计研究
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