大风险下风险溢价的一个新近似

IF 5.7 Q1 BUSINESS, FINANCE

Journal of Risk Finance Pub Date : 2021-10-06 DOI:10.1108/jrf-04-2020-0073

Richard Watt, Philip Gunby

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引用次数: 1

摘要

目的风险溢价的Arrow–Pratt近似值仅适用于小风险。在本文中，我们考虑了一种基于风险中性概率的第二近似，它不需要比Arrow–Pratt近似更大的信息，它适用于小风险和大风险。设计/方法论/方法这篇论文本质上是理论性的，尽管它也提供了说明性的数值模拟。发现在风险较大时，这里提出的新近似值在近似风险溢价的真实价值方面似乎明显优于Arrow–Pratt。即使风险相对较小，它也可能更好。独创性/价值据我们所知，当涉及的风险很大时，没有其他已知的风险溢价近似值。

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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A new approximation for the risk premium with large risks

PurposeThe Arrow–Pratt approximation to the risk premium is only valid for small risks. In this paper we consider a second approximation, based on risk-neutral probabilities and which requires no greater information than the Arrow–Pratt approximation, that works well for both small and large risks.Design/methodology/approachThe paper is theoretical in nature, although it also provides illustrative numerical simulations.FindingsThe new approximation proposed here appears to be significantly superior to Arrow–Pratt for approximating the true value of the risk premium when the risk is large. It may also approximate better even for relatively small risks.Originality/valueAs far as we are aware, there are no other known approximations for the risk premium when the risk involved is large.

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来源期刊

Journal of Risk Finance BUSINESS, FINANCE-

CiteScore

6.20

自引率

6.70%

发文量

期刊介绍： The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk