{"title":"根据风险情况调整的绩效指标(PARS)","authors":"Christoph Peters, R. Seydel","doi":"10.2139/ssrn.3277693","DOIUrl":null,"url":null,"abstract":"We introduce the new class of Performance measures Adjusted for the Risk Situation (PARS), which incorporate individual risk characteristics in the financial performance measure. The (risk) situation of an individual or company is represented by all of its future cash flows including (financial) consumption preferences; due to the effected risk transformation, PARS have zero volatility under the investment strategy replicating these future cash flows. \nWe give several examples of cash flow structures for individuals and companies, showing how their PARS could be defined. In the context of a debt manager, we demonstrate how the PARS can be applied to the dynamic control of bond portfolios via sensitivities.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":" ","pages":""},"PeriodicalIF":0.3000,"publicationDate":"2018-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Performance Measures Adjusted for the Risk Situation (PARS)\",\"authors\":\"Christoph Peters, R. Seydel\",\"doi\":\"10.2139/ssrn.3277693\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We introduce the new class of Performance measures Adjusted for the Risk Situation (PARS), which incorporate individual risk characteristics in the financial performance measure. The (risk) situation of an individual or company is represented by all of its future cash flows including (financial) consumption preferences; due to the effected risk transformation, PARS have zero volatility under the investment strategy replicating these future cash flows. \\nWe give several examples of cash flow structures for individuals and companies, showing how their PARS could be defined. In the context of a debt manager, we demonstrate how the PARS can be applied to the dynamic control of bond portfolios via sensitivities.\",\"PeriodicalId\":46697,\"journal\":{\"name\":\"Journal of Risk\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2018-11-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Risk\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3277693\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Risk","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/ssrn.3277693","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Performance Measures Adjusted for the Risk Situation (PARS)
We introduce the new class of Performance measures Adjusted for the Risk Situation (PARS), which incorporate individual risk characteristics in the financial performance measure. The (risk) situation of an individual or company is represented by all of its future cash flows including (financial) consumption preferences; due to the effected risk transformation, PARS have zero volatility under the investment strategy replicating these future cash flows.
We give several examples of cash flow structures for individuals and companies, showing how their PARS could be defined. In the context of a debt manager, we demonstrate how the PARS can be applied to the dynamic control of bond portfolios via sensitivities.
期刊介绍：
This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.
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