The Quantitative Relationships Between VaR, ES and Beta Coefficient,Duration

机译：VaR，ES和Beta系数，持续时间之间的定量关系

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摘要

we prove that there are quantitative relations between the modern risk measure methods and traditional ones.Firstly,there are linear relations between value at risk (VaR) and Beta Coefficients,Duration both in continuous time and discrete time.Secondly,there is quantitative relation between expect shortfall (ES) and Beta Coefficient,and ES in continuous time,and a linear relationship between them in discrete time.The simple relations between them are helpful for using the combination of modern risk measure methods and traditional ones to manage China's economic and financial risks.

机译：我们证明了现代风险度量方法与传统风险度量方法之间存在定量关系。首先，风险值（VaR）与Beta系数之间存在线性关系，持续时间和离散时间都具有持续时间。其次，两者之间存在定量关系。期望缺口（ES）和贝塔系数（Beta Coefficient），以及连续时间内的ES，以及它们在离散时间内的线性关系。它们之间的简单关系有助于将现代风险度量方法与传统方法相结合来管理中国的经济和金融风险。

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来源
《2012 IEEE 5th International conference on management engineering amp; technology of statistics》|2012年|46-49|共4页
会议地点 Qingdao(CN)
作者
Zhou Decai; He Yiqing; Yang Yi;
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作者单位

School of Economics Management,Nanchang University,Nanchang,China,330031;

School of Economics Management,Nanchang University,Nanchang,China,330031;

School of Economics Management,Nanchang University,Nanchang,China,330031;

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会议组织
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
VaR; ES; Beta Coefficient; Duration;

机译：VaR; ES;贝塔系数持续时间;

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The Quantitative Relationships Between VaR, ES and Beta Coefficient,Duration

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