A New Ezploring: Definition and Measurement of Financial Risk--Based on Wavelet Analysis
There are two important concept in traditional field of financial risk defining and measuring. That is the degree of loss or volatility of return and the occurred probability of them. However we ignore one fact. Usually we think that two assets have same risk if their variance of return were same. On the other hand, does this mean that an asset has more risk whose frequency of return volatility is higher? We should research this problem practically. Traditional measuring method of financial risk focus on the timely changing characteristics of variance or the calculating of volatility amplitude. This method can’t estimate the frequency of volatility. This paper tries to analyze the timely changing characteristics of frequency using wavelet analysis and give a new concept of financial risk.
Financial risk Wavelet analysis Timely changing characteristics Measurement
HAN Haibo
School of Statistics, Lanzhou Commercial College, P.R.China 730020
国际会议
2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)
青岛
英文
1-4
2009-07-25（万方平台首次上网日期，不代表论文的发表时间）