Xiaott
2023-10-26 19:55The property of increasingness is the most important condition that ensures the coherence, which suggests that the key to coherence is that a risk measure must give higher losses at least the same weight as lower losses 這句話怎么理解呢？
所屬：FRM Part II > Market Risk Measurement and Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
黃石助教
2023-10-30 09:55
該回答已被題主采納
同學(xué)你好。這句話是譜風(fēng)險(xiǎn)度量相關(guān)文獻(xiàn)中經(jīng)過(guò)推導(dǎo)得到的結(jié)論。推導(dǎo)不需要掌握，但是這句話的核心還是很好理解的：廣義來(lái)看，風(fēng)險(xiǎn)度量都是對(duì)損失分布中的損失分位數(shù)賦予權(quán)重、取加權(quán)平均。一個(gè)“好”的風(fēng)險(xiǎn)度量理應(yīng)賦予更大的損失以更高的權(quán)重，以此來(lái)彰顯對(duì)于這些極端風(fēng)險(xiǎn)的重視。
0
0
0
0
