shortfall risk

VaR, Expected Shortfall and Measurement of Consistency Risk

VaR、ES与一致性风险测度

On the basis of complete study, the thesis argues that the stable distribution fits the ShangHai Stock Index better. And also, the VaR and the expected shortfall can be used as the risk measurement.

本文通过对上证指数进行全面系统研究，指出利用稳定分布能够更好地拟合我国股票市场的收益率，并且在稳定分布情况下，利用VaR和预期损失两个指标来度量风险。

further more, as a case study, we considered convex measures of risk defined by the notion of bounded shortfall risk.

结果证明凸性风险测度和与其相伴随的可接受集之间可相互表出的关系，进一步，作为例证研究，本文考察了以有界亏空风险的形式定义的凸性风险测度。