摘要
要想保持金融市场的健康平稳运行,进而保证国民经济的持续稳定增长,则必须依靠全面和有效的金融风险管理工作。而金融风险管理取得成效的前提条件则是对市场风险状况的准确测度(Measure-ment)。金融市场风险(Market Risk)是指由于金融市场因素(如利率、汇率、股价以及商品价格等)的波动而导致金融资产价值发生变化的风险。本文主要针对金融市场风险测度理论的相关假说、测度方法和主流模型进行综述,并对其所面临的严峻挑战展开评述,进一步提出了金融市场中不断涌现的各类典型事实(Stylized Facts)对市场风险测度研究的重大启示。
We must depend on the comprehensive and efficient financial market management in order to keep financial market going on healthily so that the national economy can increase continuously and steadily. However, the precise measurement of market risk is the precondition of financial risk manage- ment. Risk management refers to the risk of financial assets value change because of market factors, such as rates, exchange rates, stock prices, commodity prices and so on. This paper makes a comprehensive review of relative assumptions of financial market risk management theory, methods of measurement and main-stream models. Then, the paper discusses the rigorous challenges in reality. Finally, by describing all kinds of stylized facts in financial market, it further points out their significant revelations on the study of market risk management.
出处
《中国地质大学学报（社会科学版）》
CSSCI
北大核心
2010年第4期112-118,共7页
Journal of China University of Geosciences(Social Sciences Edition)
基金
国家自然科学基金(70501025
70771097
70771095)
教育部新世纪优秀人才支持计划(NCET-08-0826)
教育部长江学者和创新团队发展计划项目(IRT0860)
中央高校基本科研业务费专项资金资助项目(SWJTU09ZT32
SWJTU09CX088)
