| 非瓦尔拉斯市场下的风险价值 |
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| 引用本文： | 胡小平,何建敏.非瓦尔拉斯市场下的风险价值[J].系统工程学报,2005,20(5):454-458. |
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| 作者姓名： | 胡小平 何建敏 |
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| 作者单位： | 东南大学经济管理学院,江苏南京210094 |
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| 基金项目： | 国家自然科学基金资助项目（70371035）. |
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| 摘 要： | 研究了非瓦尔拉斯市场下的风险测度；详细介绍了相关的背景、概念；提出了非瓦尔拉斯市场下风险价值模型；讨论了非瓦尔拉斯风险价值计算方法；最后，通过算例比较了该模型和传统风险价值的异同．结论表明，非瓦尔拉斯市场下的风险价值是一种非线性风险测度，由头寸数量、市场条件、变现时间和投资者的交易策略共同决定．
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| 关 键 词： | 非瓦尔拉斯 风险测度 风险价值 非线性 |
| 文章编号： | 1000-5781（2005）05-0454-05 |
| 收稿时间： | 2004-03-25 |
| 修稿时间： | 2004-03-252005-06-22 |
Value at risk in non-Walrasian market |
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| HU Xiao-ping, HE Jian-min.Value at risk in non-Walrasian market[J].Journal of Systems Engineering,2005,20(5):454-458. |
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| Authors: | HU Xiao-ping HE Jian-min |
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| Institution: | School of Economics and Management, Southeast University, Nanjing 210096, China |
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| Abstract: | The risk measurement of non-Walrasian market is studied in this paper.In the first place,the background and the conception concerned are introduced in detail.Then,a model of the value at risk(VaR) of a non-Walrasian market is presented.In the next place, the computing method of this VaR is researched.At last,an experiment example compares the difference between VaR of this paper and the traditional VaR.The result of this study states,the VaR of an non-Walrasian market is a nonlinear risk measurement,which is governed by the position size,the market condition, the liquidation time and the(investor's) transaction strategy jointly. |
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| Keywords: | non-Walrasian risk measurement value at risk(VaR) nonlinear |
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