Dependance concepts and multivariate probability models in financial risk measurement

金融风险计量中的依赖性概念和多元概率模型

• 批准号: 356039-2008
• 负责人: Furman, Edward
• 金额: $ 0.87万
• 依托单位: York University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2013
• 资助国家: 加拿大
• 起止时间: 2013-01-01 至 2014-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=528008
• 关键词: Dependance; concepts; multivariate; probability; models

Risk management is of prime importance in financial institutions engaged in financial uncertainties, and risk measurement is its natural precursor. In light of this, at least three substantial subjects have to be addressed: the multivariate probabilistic model possessing a convenient dependence structure - to describe risks' behavior; the choice of appropriate risk functionals - to translate the implications of the model to risk parlance; and the (analytical) solutions for the latter in the framework of the former - to, actually, measure risk.

风险管理对于从事金融不确定性活动的金融机构来说至关重要，而风险度量是风险管理的天然先导。有鉴于此，至少有三个实质性的主题必须解决：多元概率模型拥有一个方便的依赖结构-描述风险的行为;选择适当的风险泛函-翻译的影响模型的风险用语;和（分析）的解决方案，后者的框架，前者-实际上，衡量风险。