| 金融风险的建模与管理方法研究 |
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| 引用本文： | 郑立辉,冯珊,樊治平,王征. 金融风险的建模与管理方法研究[J]. 华中科技大学学报(自然科学版), 1998, 0(6) |
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| 作者姓名： | 郑立辉 冯珊 樊治平 王征 |
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| 作者单位： | 华中理工大学系统工程研究所，东北大学 |
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| 摘 要： | 基于金融经济学中的资本资产定价理论，针对不同类型的金融风险给出了相应的数学模型．对各种金融风险模型的研究发现，金融风险的作用都包含风险因素和影响对象两个方面．通过寻找共同的风险因素，并把影响对象统一为资产（或负债）的价值的方法，提出了金融风险建模与管理的统一框架．
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| 关 键 词： | 金融工程；风险管理；系统分析与建模 |
On the Modeling and Management of Financial Risks |
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| Zheng Lihui Dr., Inst. of System Eng.,HUST,Wuhan ,China.Feng Shan Fan Zhiping Wang Zheng. On the Modeling and Management of Financial Risks[J]. JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE, 1998, 0(6) |
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| Authors: | Zheng Lihui Dr. Inst. of System Eng. HUST Wuhan China.Feng Shan Fan Zhiping Wang Zheng |
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| Affiliation: | Zheng Lihui Dr., Inst. of System Eng.,HUST,Wuhan 430074,China.Feng Shan Fan Zhiping Wang Zheng |
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| Abstract: | According to the capital asset pricing theory of financial economics, mathematical models are provided for each class of financial risks. A study on such models reveals that all financial risks work through two aspects: the risk factors and the affected objectives. By finding the common risk factors and unifying the affected objectives into the value of assets and liabilities, a general framework is established for the modeling and management of financial risks. |
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| Keywords: | financial engineering risk management system analysis and modeling |
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