The Analyse Of Financial Risk Measures

The financial risk measurement is the focus of all of the society. This paper discussed the measures of the market risk or the non-market risk under the general theory frame. We have established the risk measurement axiom system by defining the notions like acceptable future random net worth, unacceptable position. We state that the risk measure which is translate invariant, sub-additive, positive homogeneous, and monotone, is the coherent risk measure. In this axiom system, we made a study of the coherent measures of risk and convex measures of risk, which is extended from the coherent measures of risk, and proved its representation theorem. We have proved that the properties of convex risk measures can be characterized by that of the acceptable set. Further more, as a case study, we considered convex measures of risk defined by the notion of bounded shortfall risk. The axioms in our paper is not to define a special risk measure, but to describe the properties of a class of the risk measure. The choice of the risk measure is related to the economy condition.On the other hand, we investigated the value-at-risk (VaR) method, which is so popular in the field of financial risk management at the present time. We found that VaR is not a suitable risk measurement under the coherent frame. We pointed out the shortcomings of the VaR by case examples. In order to find a remedy of the VaR, we discussed several methods, and found Expected Shortfall method is a better one.