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1、现代金融风险理论,上海财经大学 朱文革,目录,风险的定义 风险的分类 金融风险理论概述 金融风险的非经济学模型 金融经济学介绍 金融风险的经济学模型 风险管理理论概述 风险管理实务概述,现代金融风险理论第一讲,风险的定义,Historical background,The term risk may be traced back to classical Greek rizikon (Greek , riza), meaning root, later used in Latin for cliff. The term is used in Homers Rhapsody M of Odyss
2、ey “Sirens, Scylla, Charybdee and the bulls of Helios (Sun)“ Odysseus tried to save himself from Charybdee at the cliffs of Scylla, where his ship was destroyed by heavy seas generated by Zeus as a punishment for his crew killing before the bulls of Helios (the god of the sun), by grapping the roots
3、 of a wild fig tree.,Historical background,For sociologists, the term risk is a neologism which appeared with the transition from traditional to modern society. “In the Middle Ages the term riscium was used in highly specific contexts, above all sea trade and its ensuing legal problems of loss and d
4、amage.“ In the vernacular languages of the 16th century the words rischio and riezgo were used, both terms derived from the Arabic word “, “rizk“, meaning to seek prosperity. This was introduced to continental Europe, through interaction with Middle Eastern and North African Arab traders. In the Eng
5、lish language the term risk appeared only in the 17th century, and “seems to be imported from continental Europe.“ When the terminology of risk took ground, it replaced the older notion that thought “in terms of good and bad fortune.“ Niklas Luhmann (1996) seeks to explain this transition: “Perhaps,
6、 this was simply a loss of plausibility of the old rhetorics of Fortuna as an allegorical figure of religious content and of prudentia as a (noble) virtue in the emerging commercial society.“,风险的教科书定义,常见的定义为： uncertainty concerning loss。 发生财务损失的不确定性，为个人日常生活或企业生命中之常态。 是对主观上不确定性的客观衡量。 某一事件，在一特定期间后，实际结
7、果与原所预期者，产生偏差的情况。,风险的Webster定义,Exposure to the chance of injury or loss A hazard or dangerous chance Insurance: The hazard or chance of loss The degree of probability of such loss The amount that the insurance company may lose A person or thing with reference to the hazard involved to the insurer The
8、 type of loss against which a policy is drawn,风险三要素,风险标的 系指暴露在危险情况下之有形的或无形标的 危险事故(Peril) 源于自然界 - 天灾(Acts of God) 源于人为因素 - 人祸(Humans acts) 源于物之本质 - 物性(Nature of material) 危险事故发生的经济结果,危险因素,实质的危险因素(Physical hazard) 心理的危险因素(Morale hazard) 道德的危险因素(Moral hazard) 法律危险因素（Legal hazard）,风险三要素与风险因素之间的关系,图 1-1
9、危险因素、危险事故与損失之关系图,风险的物理和心理原因,测不准原理 非线性动力系统 博弈论,风险的现代汉语词典定义,可能发生的危险 危险的定义:有遭到损害或失败的可能,风险的普通定义,One set of definitions presents risks simply as future issues which can be avoided or mitigated, rather than present problems that must be immediately addressed. E.g. “Risk is the unwanted subset of a set of
10、uncertain outcomes.“ 居安思危，思則有备，有备则无患。春秋魏绛左传,风险的数学期望定义,More formally (and quantitatively), risk is proportional to both the results expected from an event and to the probability of this event. E.g. “Risk is a combination of the likelihood of an occurrence of a hazardous event or exposure(s) and the s
11、everity of injury or ill health that can be caused by the event or exposure(s)“. Mathematically, risk often simply defined as,风险数学期望定义的问题,It is argued that defining risk as the product of impact and probability presumes (probably incorrectly) that the decision makers are risk neutral. Only for a ris
12、k neutral person is the “certain monetary equivalent“ exactly equal to the probability of the loss times the amount of the loss. For example, a risk neutral person would consider 20% chance of winning $1 million exactly equal to $200,000 (or a 20% chance of losing $1 million to be exactly equal to l
13、osing $200,000). However, most decision makers are not actually risk neutral and would not consider these equivalent choices.,风险的概率定义,It is proposed instead that risk is a kind of “vector quantity“ that does not collapse the probability and magnitude of a risk by presuming anything about the risk to
14、lerance of the decision maker. Risks are simply described as an set or function of possible loss amounts each associated with specific probabilities. How this array is collapsed into a single value cannot be done until the risk tolerance of the decision maker is quantified.,风险的统计决策定义,In statistics,
15、risk is often mapped to the probability of some event which is seen as undesirable. Usually, the probability of that event and some assessment of its expected harm must be combined into a believable scenario (an outcome), which combines the set of risk, regret and reward probabilities into an expect
16、ed value for that outcome.,风险的统计决策定义,Thus, in statistical decision theory, the risk function of an estimator (x) for a parameter , calculated from some observables x, is defined as the expectation value of the loss function L,统计决策三要素,样本空间与样本分布族 行动空间 损失函数 选择决策函数的准则 容许性准则 最小化最大准则 贝叶斯准则 最优同变性准则,风险的经济学定
17、义,Expected utility function EU(X) where X is a random variable. Concave utility U and risk aversion Stochastic Dominance First Order Stochastic Dominance (FOSD) X FOSD YEu(X)Eu(Y) for all increasing u Second Order Stochastic Dominance (SOSD) X SOSD Y Eu(X)Eu(Y) for all increasing and concave u But stochastic dominance can not compare all different risks.,
