本次金融代写的主要内容是计量风险管理相关
Math 588: Advanced Quantitative Risk Management
1：衡量风险
风险度量是一种数学工具，可以用一个数字（在最简单的情况下）量化财务状况的风险。
输入是（随机）损失L，输出是实数，解释为使L可接受的资本要求。
LρL成为调节器可以接受的。
¢最低资本要求用作抵御严重损失的缓冲;
¢评估交易员/交易台/单位/银行头寸的风险并限制承担的风险量的工具；
¢查找保险的公允保费。
衡量风险的方法
阅读[MFE第2.3.1节]
¢名义金额框架。这些天很少使用。
¢风险度量公理化方法。 V @ R，AV @ R，预期短缺等。本课程大部分内容。另请参阅有关风险衡量的讲义，但请注意，一切都取决于信号。
¢基于方案的风险衡量。变得过时；与压力测试有关。例如CME-SPAN。
作业：每种方法的利弊是什么？
1: Measuring Risk
A risk measure is a mathematical tool that quantifies by one number (in the simplest case) the riskiness of a financial position.
The input is the (random) loss L and the output is a real number, interpreted as the capital requirement to make L acceptable.
L ρL becomes acceptable to regulators.
- ¢ Minimum capital requirement used as a buffer against severe losses;
- ¢ A tool for assessing the riskiness of a trader/trading desk/unit/bank’s position, and limiting the amount of risk to be taken;
- ¢ Find the fair premium in insurance.
Approaches in measuring the risk
Read [Section 2.3.1, MFE]
¢ Notional Amount framework. rarely used these days.
¢ Risk measures axiomatic approach. V@R,AV@R, Expected Shortfall, etc. Most of this course. See also the lecture notes on risk measures, but caution, all is up to a sign.
¢ Scenario-based risk measurement. becomes outdated; related to stress testing. e.g. CME – SPAN.
HW: What are the pros and cons of each approach?