Measurement Methods Of Risk Positions With Knight Uncertainty

Since the financial crisis in 2008,with various financial derivatives and structured products emerging in an endless stream,the management of market risk has been paid more and more attention by countries.The most important part of risk management is the measurement of risk positions,or the quantification of risk positions.However,traditional risk measurement tools assume by default that the probability distribution of the results of risk positions is known,but this is often not the case in reality.In most cases,we cannot obtain perfect probability information,and the position can be described with methods in Knight uncertainty.This thesis attempts to expand the domain of definition of risk measures to those risk positions with Knight uncertainty,which not only have "known unknown",but also have "unknown unknown".Under the framework of multiple prior probability,we propose a new risk measure function and use the form of a theorem to show that the consistency condition of this new measure is the same as the spectral risk measure when the probability distribution family meets certain conditions.With the help of decision theory.we propose a method for measuring the Knight uncertainty of events,and then extends this method to the measurement of risk positions.Through some propositions and examples,we explain the rationality of this new measure and its relationship with capacity.The graphical method proposed in this thesis enables the value realization process of risk positions with Knight uncertainty to be presented on a two-dimensional graph through stricter conditions,resulting in the birth of another Knight uncertainty measure based on this graph.This method is more accurate but also more difficult to achieve application conditions.In addition,we provide two examples of the impact on the investment portfolio if the risk position carries Knight uncertainty.At the end of the thesis.suspects were made about other possible measurement forms and prospects for the future in the field of risk management were presented.