摘要
基于分位数的VaR(风险价值)不具有一致性,可能误导投资组合优化和风险管理,ES(预期短缺)测度克服了这一缺点。谱测度和失真风险测度更具一般性,考虑了投资者风险厌恶对风险测度的影响,其中VaR和ES均为其特例。从实用性看,ES仍是业界普遍采用的方法。
Quantile-based VaR is not coherent and may be misleading in portfolio investment and risk management. When ES （expected shortfall） overcomes the pitfall, there are more general techniques such as spectral risk measure and distortion risk measure, in which VaR and ES are both special cases. Practitioners prefer ES due to its tradeoff in accuracy and speed of computing.
出处
《上海管理科学》
2006年第4期78-80,共3页
Shanghai Management Science
关键词
一致性风险测度
风险价值
预期短缺
谱测度
失真风险测度
coherent risk measure
VaR
expected shortfall
spectral risk measure, distortion risk measure
作者简介
张晓蓉，复旦大学管理学院讲师，博士；
徐剑刚，复旦大学管理学院财务金融系副教授。
