【摘要】 分析实际运用中的风险价值概念的缺陷并在此基础上提出一致性风险价值的概念 ,证明一致性风险价值作为风险度量的必要性质 ,详细阐述对称的双曲分布的一切必要计算 ,并根据实际情况用这种分布来模拟证券市场收益率分布 ,在此基础上计算一致性风险价值。更多还原

【Abstract】 On the basis of analyzing the defects of Value at Risk in practical application, the paper presents the concept of Cohesive Value at Risk and proves its essential characteristics as risk measurement. This paper also expounds all necessary calculations of hyperbolic distribution, and uses this distribution to describe the return rate distribution, at last, analyses the calculation of Cohesive Value at Risk.更多还原