摘要翻译：
本文的研究目的是探索在非线性动态金融系统中，经济物理学分析如何补充计量经济学模型，应用于中央银行和金融机构的风险管理。我们考虑了现代风险管理模型，并展示了适当的技术来计算各种现有的金融风险。由于非线性动态金融系统中的非线性，本文对波动率统计建模模型（如自回归条件异方差(GARCH)模型）可能存在的局限性进行了评述。本文提出，在财务经济学的资本成本计算中，必须充分考虑金融经济系统中可能产生的各种非线性因素。我们提出了新的非线性动态波动理论和新的非线性动态混沌(NDC)波动模型，用于金融波动的统计建模，目的是确定风险价值。
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英文标题：
《On the Risk Management with Application of Econophysics Analysis in
  Central Banks and Financial Institutions》
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作者：
Dimitri O. Ledenyov and Viktor O. Ledenyov
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear dynamical financial system. We consider the modern risk management models and show the appropriate techniques to calculate the various existing risks in the finances. We make a few comments on the possible limitations in the models of statistical modeling of volatility such as the Autoregressive Conditional Heteroskedasticity (GARCH) model, because of the nonlinearities appearance in the nonlinear dynamical financial systems. We propose that the various types of nonlinearities, which can originate in the financial and economical systems, have to be taken to the detailed consideration during the Cost of Capital calculation in the finances and economics. We propose the new theory of nonlinear dynamic volatilities and the new nonlinear dynamic chaos (NDC) volatility model for the statistical modeling of financial volatility with the aim to determine the Value at Risk.
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PDF链接：
https://arxiv.org/pdf/1211.4108