Review of the Development of Risk Measurement
Wang Yi · Gongcheng shuxue xuebao · 2012
This paper reviews the development process and cutting-edge issues of the methods of market risk measurement.On the basis of classificatory introduction of risk measure based on the moments of return distribution,stochastic dominance criteria,VaR,coherent risk measurement,convex risk measure and multi-stage dynamic risk measure,we point out the advantages and disadvantages of the exsited models and problems,and the possible resolving strategies,and look into the future research of risk measurement methods.