金融产品市场风险度量指标设计：回顾与展望.pdfVIP

研究院报告 10/09 金融产品市场风险度量指标设计：回顾与展望 吴建刚 中欧陆家嘴国际金融研究院 1 金融产品市场风险度量指标设计：回顾与展望 吴建刚 中欧陆家嘴国际金融研究院研究员 2010年10月 【内容摘要】金融风险按风险来源的种类主要分为信用风险、市场风险、流动性风险、清算风险、 操作风险等，按主体分为金融产品风险和金融主体风险，它们的数量化度量方法随着金融市场的 发展变得越发重要，其中金融产品市场风险的度量的讨论历史最为悠久、也更重要，因为它是其 它风险度量的基础。论文主要针对金融产品市场风险的度量，分析了传统度量方法的发展历程和 优缺点，说明了下尾期望用于风险度量的推广意义，展望了将概率、上尾期望及下尾期望结合起 来作为风险度量手段的方法的可行性及未来风险度量指标设计的发展趋势。 【关键词】金融风险 度量指标 回顾与展望 在险价值 尾部期望 Abstract: Financial risk by types of risk Sources can be divided into credit risk, market risk, liquidity risk, settlement risk, operational risk, by types of subjects can be divided into risk of financial products and risk of financial institutes and by other standards there will be many other categories of financial risks. With the development of financial markets, the measurement of financial risks is becoming more and more important. Among all these kinds of risks, the measurement of the market risk of financial products has the longest history of discussion and more important, since it is the basis of the measurement of other category of risks. This paper, firstly, reviews the history of main risk measurement methods and analyzes their advantages and disadvantages, and then indicates that the use of the lower tail expectation as a measurement of market risk is worth to promote and to combine the lower tail expectation, the upper tail expectation and probability as means of risk measurement is feasible. At last, the paper gives the future trends of risk measurement. Keyword: Financial risk; Review and Prospect; Value at risk; Expectation of tails 作者E-Mail: imahero@ 2