根据风险情况调整的绩效指标(PARS)

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2018-11-02 DOI:10.2139/ssrn.3277693

Christoph Peters, R. Seydel

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引用次数: 0

摘要

我们引入了针对风险情况调整的新型绩效指标(PARS)，它将个人风险特征纳入财务绩效指标。个人或公司的(风险)状况由其所有未来现金流量表示，包括(财务)消费偏好;由于受影响的风险转换，在复制这些未来现金流的投资策略下，par的波动性为零。我们给出了几个个人和公司现金流结构的例子，展示了如何定义他们的par。在债务经理的背景下，我们演示了PARS如何通过敏感性应用于债券投资组合的动态控制。

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Performance Measures Adjusted for the Risk Situation (PARS)

We introduce the new class of Performance measures Adjusted for the Risk Situation (PARS), which incorporate individual risk characteristics in the financial performance measure. The (risk) situation of an individual or company is represented by all of its future cash flows including (financial) consumption preferences; due to the effected risk transformation, PARS have zero volatility under the investment strategy replicating these future cash flows. We give several examples of cash flow structures for individuals and companies, showing how their PARS could be defined. In the context of a debt manager, we demonstrate how the PARS can be applied to the dynamic control of bond portfolios via sensitivities.

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.