Coherent measures of risk
Coherent measures of risk
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DOI：
10.1111/1467-9965.00068
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发表时间：
1999-07-01
影响因子：
1.6
通讯作者：
Heath, D
中科院分区：
文献类型：
--
作者：
Artzner, P;Delbaen, F;Heath, D
本文在没有完全市场假设的情况下，研究了市场风险和非市场风险，并讨论了这些风险的度量方法。我们提出并证明了一组四个可取的性质的风险措施，并呼吁措施，满足这些性质的“连贯的。“我们检查了SPAN、SEC/NASD规则和基于分位数的方法所提供的风险衡量标准和所要求的相关行动。我们证明了基于神经网络的方法提供一致的措施的普遍性。我们提供了有关SEC方法的建议。我们还提出了一种方法来修复基于分位数的方法的次可加性的失败。
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent." We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile-based methods. We demonstrate the universality of scenario-based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile-based methods.