而且VaR不能测度超过VaR的损失、不适用于非椭球分布函数族、VaR有许多局部极值导致VaR排序不稳定等缺陷,决定着VaR并不是一种合适的风险测度指标。 基于上述风险测度的局限性,Artzner等(1999)提出了一致性风险测度(Coherent Risk Measure)概念。他们认为一种良好定义的风险测度应该满足单调性、正齐次性、平移不变性和次...
网络一致性风险测度 网络释义 1. 一致性风险测度 基于上述风险测度的局限性,Artzner等(1999年)提出了一致性风险测度(CoherentRiskMeasure)概念。他们认为一种良好 … www.baike.com|基于2个网页
•Coherent conditional measures of risk are defined by the Choquet integral with respect to Hausdorff outer measure.•A new definition of stochastic independence for random variables is given.•Independence of the indicator functions of two events does not imply independence of the indicator ...
(intime)?howeverabsolutelygeneral Part1:DefiningaRiskMeasure Thequalitativeconceptof“risk”and“riskpremium”Everybodyhasaninnatefeelingforfinancialrisk...moreorlessthis...Howtodefineriskinaquantitativefashion?...ConceptofRisk ?RiskMeasure fundamentalshared principles test requirements(axioms)onthe ...
1) coherent risk measure 一致性风险度量例句>> 2) coherent measure of risk 一致性风险度量 1. The CVaR model,which was based on coherent measure of risk,lacks of dynamic properties for multi-period risk measures,especially dynamic consistency. 基于一致性风险度量公理建立的CVaR方法缺乏多时期风险...
Inthepaper“CoherentmeasuresofRisk”(,July1999)asetofaxiomswasproposedasthekeypropertiestobesatisfiedbyany“coherentmeasureofrisk”.ThediversificationprinciplegoeshereValueatRisk(VaR):howitworksTocomputeVaR,weneedtospecifyAtimehorizon:Aconfidencelevel:forinstancea5%.ThedefinitionofVaRisthen:“TheVaRofaportfolio...
sets. We argue that these axioms should hold for any risk measure that is to be used to effectively regulate or manage risks. We call risk measures that satisfy the four axioms coherent. (4) In Section 3, we present a (simplified) description of three existing methods for ...
必应词典为您提供Coherent-Measure-of-Risk的释义,网络释义: 一致性风险度量;一致性风险度量模型;风险的连贯度量;
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摘要: We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probability spaces and we show how to define such measures on the space of all random...关键词:capital requirement coherent risk measure capacity theory convex games insurance...