Simulating Coherent Risk Measures

本项目将制定风险计量方面的计算机模拟程序。 这些程序将适用于模拟一致性风险计量，这是一种高级风险计量，比标准差和风险价值等广泛使用的旧计量更具优势。 该程序将是精确的，计算效率高，适应手头的问题，和强大的。 这项研究将增强现有的程序，使其更具适应性和鲁棒性，以模拟某一类连贯的风险措施。 它还将产生新的，更精确的程序来模拟一个特定的一致性风险度量，称为条件尾部预期，这是一些与股票市场相关的保险政策的风险管理标准。 通过对金融资产组合管理的实例进行计算效率和统计有效性的检验，希望对银行、投资公司、保险公司等的风险管理的改善有所贡献。 良好的计算机模拟程序的可用性将使风险管理人员更有吸引力地采用最先进的风险措施。 与标准差和风险价值不同，一致的风险衡量方法可以明确量化最大潜在损失的程度。 这项研究有可能改变风险管理实践，降低银行倒闭、保险公司破产和金融市场灾难性中断的可能性。

This project will develop procedures for computer simulation in risk measurement. The procedures will apply to simulating coherent risk measures, which are an advanced class of risk measures that have advantages over older measures that are widely in use, such as standard deviation and value-at-risk. The procedures will be precise, computationally efficient, adaptive to the problem at hand, and robust. The research will enhance existing procedures for simulating a certain class of coherent risk measures, by making them more adaptive and robust. It will also produce new, more precise procedures for simulating one particular coherent risk measure known as conditional tail expectation, which is a risk management standard for some insurance policies that are linked to the stock market. Tests of the computational efficiency and statistical validity of the procedures will be conducted on examples of financial portfolio management.This work is expected to contribute to improvements in risk management by banks, investment firms, and insurers. The availability of good computer simulation procedures will make it more attractive for risk managers to adopt state-of-the-art risk measures. Coherent risk measures, unlike standard deviation and value-at-risk, can provide a clear quantification of the magnitude of the largest potential losses. The research has the potential to change risk management practice in a way that reduces the likelihood of bank failures, insolvency of insurers, and catastrophic disruption of financial markets.