量化频谱风险度量的风险规避程度

arXiv - QuantFin - Risk Management Pub Date : 2024-08-28 DOI:arxiv-2408.15675

E. Ruben van Beesten

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摘要

我提出了一个关于频谱风险度量空间的函数，可以量化它们的 "风险规避程度"。这种量化形式化了一些风险度量比其他风险度量 "更能规避风险 "的观点。我利用两个公理构建了函数：CVaR 空间上的归一化和线性公理。我提出了该函数的两个公式，并讨论了几个性质和解释。

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Quantifying the degree of risk aversion of spectral risk measures

I propose a functional on the space of spectral risk measures that quantifies their ``degree of risk aversion''. This quantification formalizes the idea that some risk measures are ``more risk-averse'' than others. I construct the functional using two axioms: a normalization on the space of CVaRs and a linearity axiom. I present two formulas for the functional and discuss several properties and interpretations.

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arXiv - QuantFin - Risk Management

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