根据不同主体在金融市场中扮演不同经济角色、承担不同风险的事实,提出了基于不同经济角色的风险划分--权益风险与债权风险.在权益人的视角下,应用期权定价理论,定义了不同于以往单变量映射的风险测度--类一致性风险测度来度量权益风险,通过风险的可转移性和不灭性,实现了(φ)(X+C)=(φ)(X)-C与(φ)(X+C)=(φ)(X)的对立统一,这是对Artzner定义的一致性风险测度的补充和扩展.
Based on the fact of that different actors in financial markets are acting differently and have different roles, Financial Risk can be classified into Equity Risk and Risk of Creditor's Rights. Then the Quasi-Coherent Risk Measure based on option pricing theory from the view of equity investors is defined to measure Equity Risk. Under this definition, Translation Invariance and Shift Invariance are united by the Quasi-Coherent Risk Measure properties of Translation and Incorruptibility. The Quasi-Coherent Risk Measure which is an insurance style is an extension of the Coherence Risk Measure in Artzner et al (1999) paper which is a bail style.