复杂因素下金融风险度量与风险传染建模与风险管理

American Economist H.M. Markowitz initially proposed the mean-variance model and established the Portfolio Theory in his pioneering work, which developed a quantitative method for risk measurements. Since then, many risk measurement and management techniques have been proposed in the last half century. Risk management has been applied in every branch of finance and become the backbone of modern finance theory. However, the existing techniques and methods are not suitable for measuring financial risks in many complicate situations. It is still a great challenge to measure financial risks in complicated environment or extreme events. Our project aims to develop methods for modeling risks in complex situations, including complex economic circumstances, infection risks and extreme events. Specifically, we will develop methods for analyzing economic situations, identifying risk factors, establishing maco and mico mechanisms for infectious risks and building unified risk measure models, taking into account macoeconomic factors, risk infection factors and individual factors. The proposed research will not only develop important methods and techniques but also enrich risk management and risk control theory and methodology. Therefore, the proposed research is of important social and academic significance it aims to build efficient risk forecast models, which can be used to provide warning for financial risks in order to avoid financial crisis and ensure financial security.

美国经济学家Markowitz在投资组合理论中，首次提出收益与风险的度量理论- - 期望与方差度量方法，开创了风险度量的量化时代。在近半个世纪的研究中，发展出了诸多的风险度量和管理技术，从而使风险管理学得以迅速发展，成为了专门学科分支，奠定了现代金融学的基础。然而，在复杂环境下现有的很多金融风险度量技术和方法并不适用，在复杂经济环境或极端事件下对金融风险进行度量仍是一个很大的挑战。本项目旨在在复杂环境下，在带有复杂风险因素、有风险传染和极端事件下进行风险度量建模。包括对经济环境进行分析、甄别风险因素、构建风险传染的宏观与微观机制，并结合宏观经济因素、风险传染因素和个体因素等综合考量下，建立统一的风险度量模型。这些是在复杂经济和市场环境下对风险度量的重要方法和技术，也是进行风险管理、控制的重要理论和方法基础。同时，建立有效的风险预测模型对风险的预警和规避金融危机发生，以至金融安全具有重要意义。

自从经济学家Markowitz提出了均值方差模型后，金融风险度量和管理变成了现代金融理论中的重要议题。在复杂环境和因素下现有的很多金融风险度量技术和方法并不适用，在复杂经济环境或极端事件下对金融风险进行度量仍是一个很大的挑战。本项目在带有复杂风险因素情况下、有风险传染和极端事件下发展出了一些新的风险度量模型，这些模型可以对经济环境风险进行分析、甄别风险因素、构建风险传染的宏观与微观机制模型。主要创新包括：1）带有风险因素与极端的风险度量技术和理论，包括WCAQR，Expectile等新风险度量方法；2）带有复杂因素下的风险传染计量模型及度量技术；3）带有结构变化的风险度量技术及建模上取得突破；4）复杂因素下风险度量技术在金融市场中的应用。这些是在复杂经济和市场环境下针对风险度量的重要方法和技术，也是进行风险管理、风险控制的重要理论和方法基础。同时，建立有效的风险预测模型对风险的预警、金融危机的规避，以至金融安全具有重要意义。