Uncertainty Theory's Applications In Financial Risk Management

In order to invest reasonably in the securities market, economists had developed many economic models, including stock pricing model, controling risk model, optimization portfolio model and so on. However, many of these models are sensitive to some parameters whose slight adjustments usually lead to significant changes in model results.In order to solve these sensitive issues, this article introduces uncertainty theories to randomize or fuzzy up the sensitive variables in the stock pricing model, multi-stage dividend pricing model, VAR model and portfolio optimization model. That is to say, the sensitive variables are no longer fixed values but random variables or fuzzy variables. This could solve the issues to make these models more reasonable and applicable.Finally, based on the modified models, three demonstration studies are presented in this paper. First, this article studys the overall risk situation of Chinese securities market and gives reasons analysis as well as policy recommendations. Second, after giving the new calculation method for VAR, this paper uses VAR to Measure the risk level of an actual portfolio.At last, based on the improved optimization model, a practical case is presented in the paper.