用风险可信值度量模糊风险

2008 3rd International Conference on Innovative Computing Information and Control Pub Date : 2008-06-18 DOI:10.1109/ICICIC.2008.351

Jin Peng

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引用次数: 12

摘要

风险价值(VaR)方法是金融市场风险管理中广泛使用的工具。本文提出了一种新的模糊风险分析方法。首先，在信用理论的基础上提出了信用风险价值的新概念。然后，我们检验了所提出的风险可信值的一些性质。最后，给出了一种模糊仿真算法，说明了如何计算风险下的可信值。所提出的可信VaR适用于模糊风险分析中的许多实际问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Measuring Fuzzy Risk by Credibilistic Value at Risk

The value at risk (VaR) methodology is a widely used tool in financial market risk management. In this paper, we present a new method for fuzzy risk analysis. First, we present the new concept of the credibilistic value at risk based on credibility theory. Then, we examine some properties of the proposed credibilistic value at risk. Finally, a kind of fuzzy simulation algorithm is given to show how to calculate the credibilistic value at risk. The proposed credibilistic VaR is suitable for use in many real problems of fuzzy risk analysis.

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2008 3rd International Conference on Innovative Computing Information and Control

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