标题： 定量金融中的风险度量 显示英文标题

标题： Risk Measures in Quantitative Finance

摘要： 本文是为两个研讨会而撰写和提交的：一个是在英国的全国大学风险会议，另一个是风险管理行业的研讨会。因此，目标读者是学术界和行业专业人士的综合群体。目前正在进行的全球信贷紧缩凸显了风险衡量在金融领域对公司和监管机构的重要性。尽管风险衡量在风险管理中具有核心重要性，但很少有论文对其进行回顾或跟踪其从最初的起源到目前的风险衡量方法的发展过程。本文回顾了金融数学中最重要的一系列投资组合风险衡量方法，从伯努利（1738）到马科维茨的投资组合理论，再到目前首选的风险衡量方法如CVaR（条件风险价值）。我们提供了一个按时间顺序的风险衡量方法回顾，并调查了一些不太常见的风险衡量方法，例如特雷诺比率。 显示英文摘要

摘要： This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics and industry professionals. The current ongoing global credit crunch has highlighted the importance of risk measurement in Finance to companies and regulators alike. Despite risk measurement's central importance to risk management, few papers exist reviewing them or following their evolution from its foremost beginnings up to the present day risk measures. This paper reviews the most important portfolio risk measures in Financial Mathematics, from Bernoulli (1738) to Markowitz's Portfolio Theory, to the presently preferred risk measures such as CVaR (conditional Value at Risk). We provide a chronological review of the risk measures and survey less commonly known risk measures e.g. Treynor ratio.