Scenario-Based Risk Evaluation
研究了基于情景的风险度量的理论性质，提出了Max-ES和Max-VaR等新度量，并用金融数据示例说明，对金融风险管理和监管有用。
Abstract Risk measures such as expected shortfall (ES) and value-at-risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of risks, including tractability, scenario relevance and robustness, we consider theoretical properties of scenario-based risk evaluation. We establish axiomatic characterisations of scenario-based risk measures that are comonotonic-additive or coherent, and we obtain a novel ES-based representation result. We propose several novel scenario-based risk measures, including various versions of Max-ES and Max-VaR, and study their properties. The theory is illustrated with financial data examples.