دانلود مقاله ISI انگلیسی شماره 50640
ترجمه فارسی عنوان مقاله

اندازه گیری ریسک مالی با احتمال مبهم

عنوان انگلیسی
Financial risk measurement with imprecise probabilities
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
50640 2008 16 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Journal of Approximate Reasoning, Volume 49, Issue 1, September 2008, Pages 159–174

ترجمه کلمات کلیدی
اقدامات ریسک - ارزش در معرض ریسک - معیارهای ریسک منسجم و محدب - کمبود - گسترش طبیعی -
کلمات کلیدی انگلیسی
Risk measures; Value-at-Risk (VaR); Coherent and convex risk measures; Imprecise previsions; Shortfall; Natural extension; Envelope theorems; Dilation
پیش نمایش مقاله
پیش نمایش مقاله   اندازه گیری ریسک مالی با احتمال مبهم

چکیده انگلیسی

Although financial risk measurement is a largely investigated research area, its relationship with imprecise probabilities has been mostly overlooked. However, risk measures can be viewed as instances of upper (or lower) previsions, thus letting us apply the theory of imprecise previsions to them. After a presentation of some well known risk measures, including Value-at-Risk or VaR, coherent and convex risk measures, we show how their definitions can be generalized and discuss their consistency properties. Thus, for instance, VaR may or may not avoid sure loss, and conditions for this can be derived. This analysis also makes us consider a very large class of imprecise previsions, which we termed convex previsions, generalizing convex risk measures. Shortfall-based measures and Dutch risk measures are also investigated. Further, conditional risks can be measured by introducing conditional convex previsions. Finally, we analyze the role in risk measurement of some important notions in the theory of imprecise probabilities, like the natural extension or the envelope theorems.