【摘要】 风险测量的一种新方法——扭曲(distortion)风险度量,证明了扭曲函数满足一致性的充要条件;并比较该方法与VaR、Tail-VaR方法的优劣,得出该方法优于VaR和Tail-VaR的结论.更多还原

【Abstract】 This paper introduces a new method about risk measure: distortion risk measure,and proved that a concave distortion function is a necessary and sufficient condition for coherence,and Comparing this method with VaR and Tail-VaR,At last,We get conclusion that this method is better than VaR and Tail-VaR in measure risk.更多还原