报告题目： Measuring risk structures of assets: p-index and c-index

报 告 人： 张国平

时    间： 2023年6月21日14:30-16:30

地    点： 西安交通大学雁塔校区财经主楼806会议室

 

报告人简介：

张国平教授为美国宾夕法尼亚大学(University of Pennsylvania)博士，已发表十余篇论文于著名的国际学术期刊，有5本财务金融学与微观经济学专著(3本中文，2本英文)，曾任中国台湾清华大学计量财务金融学系系主任(创系系主任)、经济系系主任、台湾清华大学总务长。目前担任西安交大特聘教授;北京大学、上海大学、日本筑波大学(Tsukuba University)、美国Rutgers，The State University of New Jersey等校客座教授，教授PhD，EMBA及MBA公司理财、金融工程高级微观经济学等课程。

His new textbook: Corporate Finance: A Systematic Approach, Springer, New York, 2023, clarifies the errors and misinterpretations in the literature and constructs the p-index and the c-index to measure risk structures of assets.

 

摘要：

Risk can be defined as the likelihood that you can deliver your promise. This paper has used the European put option and the European call option to construct the p-index and c-index to measure the risk levels (likelihoods) of owning or short-selling an asset when the asset provides at least��rate of return. The p-index measures the insurance fees for each insured dollar so that the asset can deliver at least delta rate of return. The c-index measures the insurance fees for each dollar of the insurance deductible if the asset delivers at least delta rate of return. It shows that higher p-index means higher c-index. In the binomial case with up move and down move, (1) assets having lower down move have higher p-index, i.e., higher risk for owning the assets; and (2) assets having higher up move have higher c-index, i.e., higher risk for shortselling the assets. The trinomial example however shows that the rankings of risk levels of assets’ providing different rates of returns could reverse.

 

 

 

经济与金融学院

2023年6月15日