Math 588: Advanced Quantitative Risk Management

1：衡量风险

L􏰂ρ􏰆L􏰇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。

¢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。

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 􏰂 ρ􏰆L􏰇 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

¢ 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 becomes outdated; related to stress testing.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?

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