英文标题：
《On the Measurement of Economic Tail Risk》
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作者：
Steven Kou and Xianhua Peng
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最新提交年份：
2015
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英文摘要：
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of elicitability (i.e. there exists an objective function such that minimizing the expected objective function yields the risk measure) are the mean functional and the median shortfall, which is the median of tail loss distribution. Elicitability is important for backtesting. We also extend the result to address model uncertainty by incorporating multiple scenarios. As an application, we argue that median shortfall is a better alternative than expected shortfall for setting capital requirements in Basel Accords.
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中文摘要：
本文试图为经济尾部风险的度量提供决策理论基础，这不仅与效用理论密切相关，而且与统计模型的不确定性有关。主要结果是，对于Choquet预期效用和可引出性的统计特性（即存在一个目标函数，使得最小化预期目标函数产生风险度量），满足一组经济公理的唯一风险度量是平均函数和中值不足，即尾部损失分布的中值。可引出性对于回溯测试很重要。我们还通过合并多个场景来扩展结果，以解决模型的不确定性。作为一个应用，我们认为，在巴塞尔协议中设定资本要求时，中位数短缺是比预期短缺更好的选择。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Statistics 统计学
二级分类：Other Statistics 其他统计数字
分类描述：Work in statistics that does not fit into the other stat classifications
从事不适合其他统计分类的统计工作
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