CAJ | 학술논문

在金融风险管理中，对风险的度量及评估是决策者最为关心的问题。由于尾在险价值度量(TVaR)是一种改进的在险价值度量，又满足风险度量的一致性公理，因此TVaR在风险管理得到广泛的使用。本文对TVaR度量建立了贝叶斯统计模型，充分利用风险的样本信息与先验信息，给出了TVaR的贝叶斯估计，并证明了TVaR估计的强相合性。最后通过数值模拟的方法，计算了不同样本容量下贝叶斯估计的效率。结论表明，即使在样本容量较小的情况下，本文得到的估计仍然能满足实际使用的需要。
재금융풍험관리중，대풍험적도량급평고시결책자최위관심적문제。유우미재험개치도량(TVaR)시일충개진적재험개치도량，우만족풍험도량적일치성공리，인차TVaR재풍험관리득도엄범적사용。본문대TVaR도량건립료패협사통계모형，충분이용풍험적양본신식여선험신식，급출료TVaR적패협사고계，병증명료TVaR고계적강상합성。최후통과수치모의적방법，계산료불동양본용량하패협사고계적효솔。결론표명，즉사재양본용량교소적정황하，본문득도적고계잉연능만족실제사용적수요。
In financial risk management, the measurement and assessment of risk are most concerned problems for decision makers. Since TVaR measure is not only an improved VaR measure, but also meets the consistency axiom of risk measurement, TVaR has been widely used in risk management. In this paper, Bayesian statistical models are given by applying both the sample information and the prior information of risks. The Bayesian estimation is employed in this model, and the strong consistency of Bayesian estimation of TVaR is proved. Finally, the simulation methods are given to investigate the estimation efficiency for different sample sizes. The results indicate that the estimator is still able to meet the needs of actual applications even in the small sizes.