英文标题：
《SlideVaR: a risk measure with variable risk attitudes》
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作者：
Wentao Hu
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最新提交年份：
2019
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英文摘要：
  To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors\' risk attitudes under uncertainty conditions should be an important reference for risk measures. Secondly, risk attitudes are not absolute. For different market performance, investors have different risk attitudes. We proposed a new risk measure named SlideVaR which sufficiently reflects the different subjective attitudes of investors and the impact of market changes on investors\' attitudes. We proposed the concept of risk-tail region and risk-tail sub-additivity and proved that SlideVaR satisfies several important mathematical properties. Moreover, SlideVaR has a simple and intuitive form of expression for practical application. Several simulate and empirical computations show that SlideVaR has obvious advantages in markets where the state changes frequently.
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中文摘要：
为了在盈利能力和谨慎性之间找到一个平衡点，金融从业者需要选择适当的风险度量。两个关键点是：第一，投资者在不确定性条件下的风险态度应该是衡量风险的重要参考。其次，风险态度不是绝对的。对于不同的市场表现，投资者有不同的风险态度。我们提出了一种新的风险度量方法SlideVaR，它充分反映了投资者的不同主观态度以及市场变化对投资者态度的影响。我们提出了风险尾域和风险尾次可加性的概念，并证明了SlideVaR满足几个重要的数学性质。此外，SlideVaR具有简单直观的表达形式，便于实际应用。一些模拟和实证计算表明，SlideVaR在状态变化频繁的市场中具有明显的优势。
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分类信息：

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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