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Multi-period Risk Measurement And Its Model

Posted on:2018-10-14Degree:MasterType:Thesis
Country:ChinaCandidate:Q LiuFull Text:PDF
GTID:2370330515496142Subject:Probability theory and mathematical statistics
Abstract/Summary:PDF Full Text Request
Since the 1970s,with the economic globalization and financial integration,the financial crisis occurred frequently.In order to avoid risk effectively,the risk measurement of financial assets has become the primary concern.The VaR is the most popular risk measure,which refers to the maximum possible loss of the entire portfolio,in a given period of time due to market volatility,in a certain degree of confidence.However,it only represents a quantile of the loss distribution,not the lower tail of the entire loss distribution;It does not have the additivity,which undermines the principle of risk diver sification.Therefore it's highly criticized.In order to overcome these shortcomings,Artzener et al.Proposed an axiomatic system for consistency risk measurement,Since then,many scholars began to study the problems of risk measurement,using the consistency concept of risk measurement to research capital margin of the insurance industry,and internal relationship between coherent risk measure and various economic parameters,so as to achieve the purpose of avoiding risk.Different contingency risk measures are proposed,especially the ES(Expected Shortfall)is most prominent.But ES is only the conditional expectation of tail extreme loss more than VaR,cannot effectively describe the investors' attitude of risk aversion,also cannot effectively control the thick tail phenomenon of loss distribution.Second,both VaR and ES study the risk measurement from the perspective of a single-stage risk,but in reality,the portfolio often presents multi-period risk.For more in-depth research on risk measurement,this paper has done the following work:1?systematically introduces the background of the selected topic,the popular and influential risk measurement methods and their development trend;2?systematically expounds the basic theory of financial risk measurement,including the basic knowledge of financial risk and the axiomatic standards of risk measurement,such as risk measure and convex consistency definition of risk measurement and its representation theorem;3?Simply sums up the current two more popular single-stage risk measurement method:the VaR and ES,and the relationship between them are given;4?I consider the behavior and psychological factors of investors,divide the investment period and propose a new multi period risk measurement--multi-period exponentially weighted-expected shortfall.In addition,I prove its convexity and monotonicity and give the corresponding numerical simulation.It provides the theory basis for the multi period risk measure method in practical application and has the important practical significance for the long-term portfolio investment.Finally,at the end of this paper,the paper gives a summary of the research work and prospects for the future research on risk measurement.
Keywords/Search Tags:exponential weighting, single risk, multi risk, convexity
PDF Full Text Request
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