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混合状态变量和过程变量的风险评估模型

, PP. 309-312

Keywords: 风险评估模型,截面数据,时间序列数据,风险度量

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Abstract:

针对常用风险评估方法仅使用单期截面数据构造模型,对风险动态演化趋势信息反映能力不足的问题,提出一种同时考虑单期截面数据和时间序列数据的企业风险评估模型.对于可用单期截面数据表示的状态变量,采用S型函数度量该类指标的风险;对于需要用时间序列数据反映的过程变量,综合考虑该类指标的时间序列均值、方差或偏度等特征,将包含企业风险演化趋势信息的时间序列数据映射为一个截面值,从而使风险评估模型具有处理动态信息的能力.应用实例表明了该方法的可行性和有效性.。

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