Improvements of risk measure and its application to the risk management

摘要

When we consider risk as a type of financial asset, and accordingly transform the measurement of risk into the pricing of asset (i.e. risk), a series of assets pricing methods in financial economics can be applied. Furthermore, Equilibrium Pricing Principle has proved the rationality and feasibility of this consideration, and points out that traditional risk measurement method, VaR (Value at Risk) is also under this framework. This research additionally discusses how to reflect people's risk aversion, a kind of subjective emotion through the risk measurement, and in the meanwhile makes risk measure consistent with the conditions of risk measurement in order to complete the development of risk measurement method. Referring former literature on stock market risk, we set up model of fluctuations in terms of quantile regression, practice this developed method, and preliminarily compare it with existing researches.