具有風險偏好的CVaR風險度量方法及對我國股市風險度量的實證分析

CVaR Model with Risk Preference and It's Application in China Stock Market

趙振全(Zhen-Quan Zhao) ； 張琳琳(Lin-Lin Zhang)

《管理科學與統計決策》 4卷4期 (2007/12) Pp. 16-21

https://doi.org/10.6704/JMSSD.2007.4.4.16

摘要

一致性風險價值(CVaR)是繼風險價值(VaR)之後產生的又一種風險度量方法，彌補了VaR方法在理論和應用中存在的缺陷。在分析了CVaR的若干優點之後，爲了體現風險度量工具的隸屬性原則，本文從投資者對風險偏好的角度對CVaR做出改進，在CVaR計算公式中引入風險基準參數τ，提出了RPCVaR模型。最後用RPCVaR模型對我國股票市場風險進行了實證分析，進行了不同風險偏好的投資風險度量。

關鍵字

VaR ； CVaR ； RPCVaR ； 風險度量 ； 風險基準

並列摘要

After the appearance of VaR, CVaR is another risk measure which supple ment the shortcoming of VaR. In order to present the adscription character of the risk measure, we provide a new method named RPCVaR which based on the risk preference-Risk Benchmark τ. It shows the real risk distance between risk preference and the market profit rate. At last, we apply the RPCVaR model into shanghai stock market and give out some conclusions.

並列關鍵字

VaR ； CVaR ； RPCVaR ； risk measure ； risk preference

參考文獻

Artzner, P.(1999).Coherent measure of risk.Math. Finance.9(3),203-228.

Rockafellar R.T.,Uryasev S.(2000).Optimization of conditional value-at-risk.Journal of Risk.2(3),21-41.

Mazzoleni, P.(2004).Risk measures and return performance: A critical approach.Euroean Journal of Operational Research.155,268-275.

Koji. I,Masaaki, K.(2005).On the significance of expected shortfall as a coherent risk measure.Journal of Banking and Finance.29,853-864.

Delbaen. F.(2002).Advances in Finance and Stochastics, Essays in Honor of Dieter Sondermann.New York:Springer-Verlag.