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首页> 外文期刊>Ecological Modelling >The Mekong-applications of value at risk (VAR) and conditional value at risk (CVAR) simulation to the benefits, costs and consequences of water resources development in a large river basin
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The Mekong-applications of value at risk (VAR) and conditional value at risk (CVAR) simulation to the benefits, costs and consequences of water resources development in a large river basin

机译：湄公河地区-风险价值（VAR）和条件风险价值（CVAR）模拟在大型流域水资源开发的收益，成本和后果中的应用

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Conditional value at risk (CVaR) was developed as a coherent measure of expected loss given that actual loss exceeds some value at risk (VaR) threshold. To date the concept has been primarily used to support quantitative risk assessment for investment decisions and portfolio management, using stochastic financial models to minimise the risk of unacceptable monetary loss. Intriguingly, the models and concepts are potentially adaptable to water resources planning and operational problems. This paper explores the application of CVaR within the context of identifying the risk of macro-economic damage to the fishery resources of Tonle Sap given reduced volumes of flow on the mainstream Mekong during the flood season. Emphasis is placed on simulating the linkages between the seasonally available flows in the Mekong mainstream, Tonle Sap water levels, annual fish catch and its economic value. We present scenarios using real hydrological and fish catch data along with exploratory concepts of contingency fund costs in terms of national and international aid requirements. The objective is to estimate the potential economic loss at a prescribed level of probability and to illustrate how VaR and CVaR may be calculated in this context. We demonstrate the properties of these risk measures through their behaviour under continuous and discontinuous loss distributions. We show that CVaR has advantages over VaR even under a relatively simple modelling approach. In the case where a loss distribution has discontinuities, VaR is potentially a poor measure of risk as it can vary unacceptably with a small increase in probability level. CVaR is stable in these situations. Here we find that when the loss distribution is continuous the CVaR is only marginally higher than the VaR. However, for the more realistic model where the loss distribution is discontinuous, the CVaR is substantially greater. We demonstrate the potential use of these two risk measures on a simple set of models of the Tonle Sap fishery in Cambodia. The sustainability of this fishery is crucial to the country in order to avoid even further dependence on international donor aid. Estimating the financial risk to which the national government and potential aid donors might be exposed given any damage to the fishery is the essence of this, exploratory study of VaR and CVaR. (c) 2006 Elsevier B.V. All rights reserved.
机译：考虑到实际损失超过某个风险值（VaR）阈值，开发了条件风险值（CVaR）作为对预期损失的一致度量。迄今为止，该概念已主要用于支持定量风险评估，以进行投资决策和投资组合管理，使用随机财务模型将不可接受的金钱损失风险降至最低。有趣的是，这些模型和概念可能适用于水资源规划和运营问题。本文探讨了CVaR的应用，以查明在洪水季节湄公河干流流量减少的情况下，洞里萨湖渔业资源受到宏观经济破坏的风险。重点放在模拟湄公河干流的季节性可用流量，洞里萨湖水位，年度捕捞量及其经济价值之间的联系上。我们根据国家和国际援助需求，使用真实的水文和渔获数据以及应急基金成本的探索性概念，提出了设想方案。目的是在规定的概率水平上估计潜在的经济损失，并说明在这种情况下如何计算VaR和CVaR。我们通过在连续和不连续损失分布下的行为来证明这些风险度量的性质。我们表明，即使在相对简单的建模方法下，CVaR也比VaR具有优势。在损失分布具有不连续性的情况下，VaR可能是不良的风险度量，因为随着概率水平的小幅增加，VaR可能会发生不可接受的变化。在这些情况下，CVaR稳定。在这里，我们发现当损失分布连续时，CVaR仅略高于VaR。但是，对于损耗分布不连续的更实际的模型，CVaR明显更大。我们在柬埔寨的洞里萨湖渔业的一套简单模型上证明了这两种风险措施的潜在用途。这种渔业的可持续性对该国至关重要，以避免进一步依赖国际捐助者的援助。对VaR和CVaR的探索性研究的实质是，估计在渔业遭受任何损害的情况下，中央政府和潜在的援助者可能面临的财务风险。 （c）2006 Elsevier B.V.保留所有权利。

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