...一致风险度量 [gap=596]hastic differential equations; g-expectations; g-capacity; choquet expectations; coherent risk measures ...
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...险值 风险值(Value (Value--at at--Risk, VaR) Risk, VaR) 一致性风险衡量指标 一致性风险衡量指标(coherent risk measures) (coherent risk measures) 演进之层面： 演进之层面： 将可以处理的 将可以处理的P/L P/L或报酬分配之范围予以扩大。
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... 关键词： 信用组合;一致性风险量度;拉普拉斯近似;预期短缺(ES) [gap=881]Key words:credit portfolio; coherent risk measures; laplace approximations; expected shortfall (ES) ..
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dynamic coherent risk measures 动态一致性风险度量
generalized coherent risk measures 广义一致风险测度
Coherent measures of risk 一致性风险测度 ; 风险测度
Then we also briefly discuss the trends of development of models based on the coherent risk measures axiom.
最后讨论了基于一致性公理的金融风险测度模型的发展前景。
In this axiom system, we made a study of the coherent measures of risk and convex measures of risk, which is extended from the coherent measures of risk, and proved its representation theorem.
在一致性公理体系内，研究了一致风险测度的有关性质并由一致风险测度弱化部分条件后推广出凸性风险测度，并证明了它的表示定理。
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