Research On Risk Measurement And Risk Management

Rapid economic growth and deep integration have led to the development and innovation of financial markets,and promoted the iteration and renewal of financial products.Influenced by the global economic linkage,the volatility of financial markets has become more and more intense,and the risk identification,risk measurement and risk management of financial products have become more complex and difficult,which puts forward higher goals and requirements for financial risk measurement.Firstly,this paper introduces the basic concepts of financial risk and financial risk measurement.Then the evolution of the axioms of financial risk measurement is sorted out,including the axioms of consistent risk measurement,coordination,convex risk measurement and dynamic convex risk measurement.According to the financial risk measurement axiom,the corresponding financial risk measurement models are classified and introduced,including Mean-Variance model,Value at Risk model,consistent risk measurement model(Conditional Value at Risk model/Expected Shortfall model,Distortion Risk Measurement model,Spectral Risk Measurement model,Entropy Risk Measurement model),convex risk measurement model(Weighted Expected Shortfall model),dynamic convex risk measurement model(Dynamic Weighted Expected Shortfall model).Finally,the financial risk measurement model is summarized and prospected.