A Way to Evaluate the Ability of Financial Risk Management Based on Generalized Stochastic Dominance
Chengxian Xu · Journal of Shanxi Finance and Economics University · 2009
Risk features of the assets managed by one financial institution can reflect the ability of financial risk management of the institution.This paper presents a method to evaluate the ability of risk management based on generalized stochastic dominance,which uses upper conditional expectation and high degree expected shortfall to make an overall judgment about the level of the risk management ability by whether generalized stochastic dominance between two assets managed by different institution.An empirical study is made to verify the method,the results is in accord with the real situation.