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摘要翻译：
一个（股票）资产组合的下行风险通常大大高于其组成部分的下行风险。尤其是在危机时期，当资产往往具有高度相关性时，理解这种差异在管理投资组合的系统性风险时可能是至关重要的。本文将存在跳跃的Merton期权公式推广到多资产情形。它显示了跨资产的常见跳跃如何提供了一个直观和强大的工具来描述与数据一致的系统风险。该方法为证券投资组合系统风险的系统评估和风险管理提供了一种新的思路。
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英文标题：
《Marking Systemic Portfolio Risk with Application to the Correlation Skew
of Equity Baskets》
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作者：
Alex Langnau, Daniel Cangemi
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最新提交年份：
2011
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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：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlation, the understanding of this difference can be crucial in managing systemic risk of a portfolio. In this paper we generalize Merton's option formula in the presence jumps to the multi-asset case. It is shown how common jumps across assets provide an intuitive and powerful tool to describe systemic risk that is consistent with data. The methodology provides a new way to mark and risk-manage systemic risk of portfolios in a systematic way.
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PDF链接：
https://arxiv.org/pdf/1012.4674
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