The Study Of Some Problems Concerning Objective Risk Measurement And Risk Appetite

In the past 50 years, the global financial market has been growing fast with the global economy, financial instruments, innovation and technological progress. The relationship between financial markets all over the world become increasingly close. The number of transaction products and transaction size increase rapidly. And,with the rapid development of financial markets, market risks and their harm appeared day by day. There were many financial crisis happening during the 20th century,90 years. So, the risk management, especially the risk measurement became important. Now, Risk management theory is one of the core theories of modern finance.In order to establish a definition of reasonable, widely used and has practical value of the risk measurement tools. We reviewed the history of development,analysis advantages and disadvantages of the major risk measurements. Financial crises, in particular the U.S. subprime mortgage crisis in 2007 exposed the defect of of subjective risk measurement. So,we construct an objective risk metrics under decision-theoretic framework. Then, we research its application with game theory for help.In Chapter 3, we use the duality between gamble's risk and agent's risk attitude to characterize an objective risk measurement axiomatically. The risk measurement is mono-tonic with respect to stochastic dominance, subadditive, positive homogeneous and con-tinuous. Also,it has simple mathematical expressions and easy calculation. And,it's the critical indicators use for determining investment strategies. At last,as a concept similar to the vouchers, it can serve as the criteria of market incentives rationality.In Chapter 4, We build hedge fund and supply chain information game to study the fake strategy between the market. Finally, we see the importance of objective risk measure-ment.