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Research On The Discrete Process Dynamic Risk Measures Of Financial Assets

Posted on:2008-09-06Degree:DoctorType:Dissertation
Country:ChinaCandidate:J SunFull Text:PDF
GTID:1119360245497413Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
With the strengthening trend of economy globalization and finance conglomeration, the risk structure within the financial derivative tools was more complicated. All these changes caused some potential disasters throughout the world, which have been paid special attentions to among every country, and made the financial risk to be one of the key risks for modern enterprises and financial institutes. The financial risk management has also become the core of both finance engineering and modern finance theory.Because of its complexity, uncertainty and great harmfulness, risk measure which was the key problem of financial risk management, has become into the important problem in the financial risk management fields. The destination of risk measure was to make deep research in the historical time series of financial data, to measure the risk of financial series in the future quantitatively, and to finish the job of forecasting, supervising, controlling and escaping towards financial risk. At present, the methods of risk measure applied in the finance fields were mainly concentrated on the Value-at-Risk and its derivatives under static risk measures framework, while the axiom of risk measure was represented by coherent measure of risk under static risk measures framework. Both of them couldn't realize the research of risk measure axiom under dynamic settings, modeling and application. Utile now, there were not any axiom and model of dynamic risk measures available, which created the departure from theory and practice. To solve all of the problems above, we concluded the development of models and axioms of risk measure. We showed that to establish the dynamic risk measures framework is the only way to solve the shortage of dynamic risk measures models, which can't be neglected by the theoretical scholars. According to the characters and properties of static risk measures framework, we established dynamic risk measures framework on general probability space, and proposed dynamic risk measures model—DVaR under dynamic risk measures framework. The empirical research has also been completed.Firstly, some definitions of risk and basic axioms of financial risk measures have been introduced. The advantage and disadvantage of VaR and CVaR have been demonstrated, including spectral measure of risk. The expression of risk is the base of risk measure axioms and models in this paper. The definition of risk based on the Prospect Theory, was quite different from the definition based on Utility Theory. The definition showed the research in this paper was based on the loss, while not on the fluctuation and uncertainty. The definition followed the ideas of behavior finance, and also followed the psychology of investors. The risk definition and model based on the psychology of investors will not only accelerate the development of risk measure theory, but also the development of behavior finance theory.Secondly, we optimized the risk measures axioms under the static framework. The risk measure axioms under the static framework were represented by coherent measure of risk and convex risk measure, based on which we proposed the acceptability static risk measures framework. The acceptability static risk measures framework was the summary of research under static framework. It provided the standard to verify the static risk measures models. Because of the problem existing on the finite probability space, we extended the research into the general probability space, which made the static risk measure axioms perfect.Thirdly, we established the dynamic risk measures framework. Dynamic risk measures framework concentrated on the properties of dynamic risk measures, which realized the multi-period risk measures rather than static risk measures framework. Among all the dynamic risk measures properties, the relationship between them guaranteed the independence and sufficiency for the dynamic risk measures framework. The proof of dynamic risk measures properties of present risk measure models provided the necessary prepare for the new risk measure model.Fourthly, we proposed the dynamic risk measures model DVaR. The dynamic risk measures model was the final goal in this paper. Under the dynamic risk measures framework, we established the dynamic risk measures model DVaR based on discrete-time process, which solved the problem of multi-period risk measures. The coherence between DVaR and risk measure properties has been proved, which guaranteed the efficiency of dynamic risk measures model under dynamic risk measures framework. We provided the programs of dynamic risk measures model DVaR. All of the above have realized the whole process from assumption, establishment to settlement.At last, the empirical research of dynamic risk measures model has been carried out. The empirical research is the necessary step to assure the acceptability of dynamic risk measures model DVaR. Two of the representative stock indices in our country have been chosen as the empirical objects. After calculation of VaR, CVaR and DVaR by some software, the result was analyzed detailedly, which supported the acceptability of DVaR.In this paper, the axioms and models of risk measure have been combined closely. We tried to make some exploratory research in the fields of multi-period risk measures. We were intended to solve the problem of shortage of dynamic risk measures framework and model. The achievement in the paper was supposed to contribute to the research of theory and practice of dynamic risk measures, which would also promote the research of dynamic risk measures.
Keywords/Search Tags:Financial assets, Risk measures, VaR, Dynamic risk measures, Conditional Value-at-Risk
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