岳阳职业技术学院学报
嶽暘職業技術學院學報
악양직업기술학원학보
Yueyang Vocational Technical College
2005年
4期
88~90
,共null页
风险度量 VaR DaR CDaR
風險度量 VaR DaR CDaR
풍험도량 VaR DaR CDaR
risk measurement; VaR; DaR; CDaR.
由于所依据的统计方法自身的局限性,风险度量主流方法VaR亦存在明显缺陷,而新近出现的CDaR风险度量模型能较好地解决VaR存在的诸多问题.本文主要介绍损失函数DD(x)和平均损失函数AD(x)的基本概念,讨论以它们为基础的DaR和CDaR风险度量模型及其应用,为金融风险管理提供新的方法和视角.
由于所依據的統計方法自身的跼限性,風險度量主流方法VaR亦存在明顯缺陷,而新近齣現的CDaR風險度量模型能較好地解決VaR存在的諸多問題.本文主要介紹損失函數DD(x)和平均損失函數AD(x)的基本概唸,討論以它們為基礎的DaR和CDaR風險度量模型及其應用,為金融風險管理提供新的方法和視角.
유우소의거적통계방법자신적국한성,풍험도량주류방법VaR역존재명현결함,이신근출현적CDaR풍험도량모형능교호지해결VaR존재적제다문제.본문주요개소손실함수DD(x)화평균손실함수AD(x)적기본개념,토론이타문위기출적DaR화CDaR풍험도량모형급기응용,위금융풍험관리제공신적방법화시각.
Because of the limitation of the statistical method which VaR bases on, there exist some defects in the major method VaR of measuring risk. The model of risk measurement （CDaR） which has been designed recently can relatively overcome most of the defects well. This paper mainly introduces the basic concepts of the Drawdown function and the Average Drawdown function as well as discusses the models of DaR and CDaR based on DD（x） and AD（x） and the applications of CDaR.
