决策风险管理建模及应用研究
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摘要
本文首先分析了传统决策理论的不足和缺陷,以不同以往的思维进路提出了是决策即有风险,风险是决策的本质特征的观点。基于此,本文对决策的结构进行了剖析,提出了决策单元的概念。然后,从风险理论的角度对决策风险的本质进行了探讨,同时,分析了决策的构成以及决策形成的机制,形成了从决策单元风险切入考察决策风险研究进路。最后,以损失作为衡量决策风险的主要考量,建立了决策风险管理的基本架构,构建了决策风险度量模型Delta-EVT模型,并以资本管理决策为例进行了应用研究,试图对现代决策理论决策风险难以度量的问题进行尝试性的探索。
本文的创新主要包括了以下几个方面:
一是开辟了一种新的关于决策研究的思维进路。就决策和价值的关系而言,如图1-5所示。与以往的从决策技术、决策绩效度量到决策价值不同,该思路通过对决策风险进行度量、控制,减少风险损失来提高决策价值。
二是对决策理论进行了尝试性的拓展。通过决策理论与风险理论的结合,把风险作为决策的一个不可分割的要素去考察。对决策的结构进行了剖析,提出了决策单元的概念,分析了决策本质特征——层级复合性,并在已有理论的基础上对风险的本质作了重新的刻划,把损失作为风险的最本质特征,使之成为度量风险的主要指标。基于此,构建了决策风险管理的基本架构。
三是基于一系列客观的与绩效相关联的决策度量定义与假设,建立了决策风险度量框架。有利于决策者们对决策风险进行识别、分类,采取适当的措施,基于此,通过度量决策风险与构建决策风险管理模型来支持全方位管理。
四是将Delta法与EVT结合,提出了一种新的决策风险管理,增加决策价值的方法,即决策风险Delta-EVT模型。利用灵敏度,价值函数和其差分方程可以用于向收益传播因子方差。利用假设情境,综合来自门槛值之上的实际历史损失、外部损失以及其他似乎真实的事件的信息,以得到超额损失分布,从而建模度量非预期损失,使决策者们能更好地控制决策活动中收益的波动性和风险。
五是在决策风险Delta-EVT模型的应用研究中,找到了应用Delta-EVT方法度量决策风险,可以从因果模型入手使解法简化的思路。
This paper, firstly, in light of the analysis on the flaws and shortcomings of the traditional decision-making theory, puts forword that risk always follows decision-making and is the nature of the decision-making, by a different way of thinking. Based on the above, the paper analyzes the structure of decision-making and brings forth decision-making module concept. Then, it carries on the exploration in regard to the nature of decision-making risk angling risk theory, the composition and formation mechanisms of decision-making, which produces the new study way to inspect decision-making risk from decision-making unit risk. Finally, the paper builds the framework of decision-making risk management with loss as main measure of the risk of decision-making and constructs risk measurement model Delta-EVT, as an example of applied research on capital management decision-making. It attempts to find a way, bridging decision theory to risk theory, to short difficult to measure risk of decision-making.
The main innovation in this paper:
First, the paper opens up a new way of thinking to study risk of decision-making. It, on the relationship between decision-making and values, as shown in Figure 1-5, different from the past from technology and performance measurement of decision-making to decision-making value, improves decision-making value through measurement and control of the risk of decision-making, reduction of risk.
Second, there is a trial expansion of decision-making theory. With the integration between decision theory and the theory of risk, we look risk as an integral element of the decision-making to investigate, in view of analysis of the structure of decision-making, and put the concept of decision-making unit (DMU). We still analyze the nature characteristic of decision-making----hierarchy compound, recharacterize the nature of risk on the basis of the previously theory, make loss as the most essential characteristic of risk to become the main indicator of risk measurement. This, we establish basic framework for management risk of decision-making.
Third, based on a series of objective the definitions and the assumptions associated with decision-making performance, we establish the framework for measurement of decision-making risk. It can help decision-makers to identify, classify and take appropriate measures to the risk of decision-making. It also supports overall management by measurement of risk of decision-making and construction of its model.
Fourth, we put a new method to increase the value of the decision-making with the management of the risk of decision-making. That is Delta-EVT model. By sensitivity, value function and differential equations, we can transmit factors variance to earnings. We also can get excess losses distribution by hypothetical scenario, synthesizing the actual historical losses and external loss above the threshold and other external events information, which make it model and measurement to unexpected-losses. As a result, decision-makers can control volatility of earnings and risks in decision-making activities batter.
Fifth, in the application of Delta-EVT model, we find the new thiking way to simplify the Solution through using the causal model to measure decision-making risk.
本文的创新主要包括了以下几个方面:
一是开辟了一种新的关于决策研究的思维进路。就决策和价值的关系而言,如图1-5所示。与以往的从决策技术、决策绩效度量到决策价值不同,该思路通过对决策风险进行度量、控制,减少风险损失来提高决策价值。
二是对决策理论进行了尝试性的拓展。通过决策理论与风险理论的结合,把风险作为决策的一个不可分割的要素去考察。对决策的结构进行了剖析,提出了决策单元的概念,分析了决策本质特征——层级复合性,并在已有理论的基础上对风险的本质作了重新的刻划,把损失作为风险的最本质特征,使之成为度量风险的主要指标。基于此,构建了决策风险管理的基本架构。
三是基于一系列客观的与绩效相关联的决策度量定义与假设,建立了决策风险度量框架。有利于决策者们对决策风险进行识别、分类,采取适当的措施,基于此,通过度量决策风险与构建决策风险管理模型来支持全方位管理。
四是将Delta法与EVT结合,提出了一种新的决策风险管理,增加决策价值的方法,即决策风险Delta-EVT模型。利用灵敏度,价值函数和其差分方程可以用于向收益传播因子方差。利用假设情境,综合来自门槛值之上的实际历史损失、外部损失以及其他似乎真实的事件的信息,以得到超额损失分布,从而建模度量非预期损失,使决策者们能更好地控制决策活动中收益的波动性和风险。
五是在决策风险Delta-EVT模型的应用研究中,找到了应用Delta-EVT方法度量决策风险,可以从因果模型入手使解法简化的思路。
This paper, firstly, in light of the analysis on the flaws and shortcomings of the traditional decision-making theory, puts forword that risk always follows decision-making and is the nature of the decision-making, by a different way of thinking. Based on the above, the paper analyzes the structure of decision-making and brings forth decision-making module concept. Then, it carries on the exploration in regard to the nature of decision-making risk angling risk theory, the composition and formation mechanisms of decision-making, which produces the new study way to inspect decision-making risk from decision-making unit risk. Finally, the paper builds the framework of decision-making risk management with loss as main measure of the risk of decision-making and constructs risk measurement model Delta-EVT, as an example of applied research on capital management decision-making. It attempts to find a way, bridging decision theory to risk theory, to short difficult to measure risk of decision-making.
The main innovation in this paper:
First, the paper opens up a new way of thinking to study risk of decision-making. It, on the relationship between decision-making and values, as shown in Figure 1-5, different from the past from technology and performance measurement of decision-making to decision-making value, improves decision-making value through measurement and control of the risk of decision-making, reduction of risk.
Second, there is a trial expansion of decision-making theory. With the integration between decision theory and the theory of risk, we look risk as an integral element of the decision-making to investigate, in view of analysis of the structure of decision-making, and put the concept of decision-making unit (DMU). We still analyze the nature characteristic of decision-making----hierarchy compound, recharacterize the nature of risk on the basis of the previously theory, make loss as the most essential characteristic of risk to become the main indicator of risk measurement. This, we establish basic framework for management risk of decision-making.
Third, based on a series of objective the definitions and the assumptions associated with decision-making performance, we establish the framework for measurement of decision-making risk. It can help decision-makers to identify, classify and take appropriate measures to the risk of decision-making. It also supports overall management by measurement of risk of decision-making and construction of its model.
Fourth, we put a new method to increase the value of the decision-making with the management of the risk of decision-making. That is Delta-EVT model. By sensitivity, value function and differential equations, we can transmit factors variance to earnings. We also can get excess losses distribution by hypothetical scenario, synthesizing the actual historical losses and external loss above the threshold and other external events information, which make it model and measurement to unexpected-losses. As a result, decision-makers can control volatility of earnings and risks in decision-making activities batter.
Fifth, in the application of Delta-EVT model, we find the new thiking way to simplify the Solution through using the causal model to measure decision-making risk.
引文
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