摘要
由于所依据的统计方法自身的局限性,风险度量主流方法VaR亦存在明显缺陷,而新近出现的CDaR风险度量模型能较好地解决VaR存在的诸多问题。本文主要介绍损失函数DD(x)和平均损失函数AD(x)的基本概念,讨论以它们为基础的DaR和CDaR风险度量模型及其应用,为金融风险管理提供新的方法和视角。
Because of the limitation of the statistical method which VaR bases on, there exist some defects in the major method VaR of measuring risk. The model of risk measurement （CDaR） which has been designed recently can relatively overcome most of the defects well. This paper mainly introduces the basic concepts of the Drawdown function and the Average Drawdown function as well as discusses the models of DaR and CDaR based on DD（x） and AD（x） and the applications of CDaR.
出处
《岳阳职业技术学院学报》
2005年第4期88-90,共3页
Journal of Yueyang Vocational and Technical College
