| 风险度理论及其实证研究 |
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| 引用本文： | 李红权,马超群. 风险度理论及其实证研究[J]. 管理工程学报, 2005, 19(3): 158-161 |
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| 作者姓名： | 李红权 马超群 |
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| 作者单位： | 湖南大学工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家自然科学基金项目(70471030) |
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| 摘 要： | 在对已有风险管理方法分析与回顾的基础上,基于金融市场显著的非线性特征,本文提出了风险度向量方法这一完整的理论分析框架以对非线性风险进行有效监控。实证研究表明该方法能够科学地反映金融市场的波动性风险状况与非线性本质。
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| 关 键 词： | 风险管理 风险度向量 非线性特征 |
| 文章编号： | 1004-6062(2005)03-0158-04 |
| 修稿时间： | 2004-07-05 |
The Theoretical and Empirical Studies of Risk-Vector Approach |
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| LI Hong-quan,MA Chao-qun. The Theoretical and Empirical Studies of Risk-Vector Approach[J]. Journal of Industrial Engineering and Engineering Management, 2005, 19(3): 158-161 |
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| Authors: | LI Hong-quan MA Chao-qun |
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| Abstract: | This article firstly presents an analysis and survey regarding the traditional risk measures.Then,based on the significant nonlinear behaviour in financial market,the integrated theoretical framework known as Risk-Vector method is put forward to guide financial risk management.The empirical study show that the new approach is better able to capture the nature of risk and volatility in stock series. |
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| Keywords: | risk management risk-vector measurement nonlinearity |
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