复杂因素下金融风险度量与风险传染建模与风险管理

项目名称： 复杂因素下金融风险度量与风险传染建模与风险管理

项目编号： No.71271128

项目类型： 面上项目

立项/批准年度： 2013

项目学科： 管理科学

项目作者： 周勇

作者单位： 上海财经大学

项目金额： 55万元

中文摘要： 美国经济学家Markowitz在投资组合理论中，首次提出收益与风险的度量理论- - 期望与方差度量方法，开创了风险度量的量化时代。在近半个世纪的研究中，发展出了诸多的风险度量和管理技术，从而使风险管理学得以迅速发展，成为了专门学科分支，奠定了现代金融学的基础。然而，在复杂环境下现有的很多金融风险度量技术和方法并不适用，在复杂经济环境或极端事件下对金融风险进行度量仍是一个很大的挑战。本项目旨在在复杂环境下，在带有复杂风险因素、有风险传染和极端事件下进行风险度量建模。包括对经济环境进行分析、甄别风险因素、构建风险传染的宏观与微观机制，并结合宏观经济因素、风险传染因素和个体因素等综合考量下，建立统一的风险度量模型。这些是在复杂经济和市场环境下对风险度量的重要方法和技术，也是进行风险管理、控制的重要理论和方法基础。同时，建立有效的风险预测模型对风险的预警和规避金融危机发生，以至金融安全具有重要意义。

中文关键词： 风险度量；风险管理；风险传染；复杂风险因素；极端风险

英文摘要： American Economist H.M. Markowitz initially proposed the mean-variance model and established the Portfolio Theory in his pioneering work, which developed a quantitative method for risk measurements. Since then, many risk measurement and management techniques have been proposed in the last half century. Risk management has been applied in every branch of finance and become the backbone of modern finance theory. However, the existing techniques and methods are not suitable for measuring financial risks in many complicate situations. It is still a great challenge to measure financial risks in complicated environment or extreme events. Our project aims to develop methods for modeling risks in complex situations, including complex economic circumstances, infection risks and extreme events. Specifically, we will develop methods for analyzing economic situations, identifying risk factors, establishing maco and mico mechanisms for infectious risks and building unified risk measure models, taking into account macoeconomic factors, risk infection factors and individual factors. The proposed research will not only develop important methods and techniques but also enrich risk management and risk control theory and methodology. Therefore, the proposed research is of important social and academic significance it aims to build

英文关键词： Risk measurement；Risk management；Risk Contagion；Complicated factors；Extreme risk