国外风险管理研究的理论-方法及其进展-汪忠

第27卷第2期Vol.27No.22005年2月ForeignEconomies&ManagementFeb.2005:F270　:A　:1001-4950(2005)02-0025-07、　,(,710049)　　　　:本文对国外有关风险研究的文献进行了介绍,并且阐述了风险的内涵及其研究状况;在此基础上提出了研究风险管理的理论框架,并对风险分析模型进行了概述和总结,最后提出了未来的研究方向。　　:风险管理;研究框架;模型;研究方向、　　　80,,、,,,。,,、。,。。[1]　　,,。,,,、。,,,。,、、。、、,。,,。,,。[2]IntellidexNarrySingh,,。:2004-11-25:国家自然科学基金资助项目(批准号:70171007和70472038):汪　忠(1979-),男,西安交通大学管理学院博士研究生;黄瑞华(1947-),女,西安交通大学管理学院教授,博士研究生导师。25、　　1.　　。,、、,。,,。　　19,[3],;。,1901。,。:,。,,、、,。,。,。。　　1921,F.H.。1964,,,;,。80,:“”。UlrichBeck(1986)“”,“、”。[4]　　1992,YatesStone,[5]。,:(1);(2);(3)。YatesStone,,。　　,。:(1)。(2)。(3),,。(4)。　　2.　　,,,,(riskmanagement)。。1931,,。1953,,。1963,《》,。,、,。70～80,,、、、、。1986,11;10,,,。26　　,,。,,。,,;,;。　　,,,。1。　　。,1　、。70,;,。。,,、、,。,、、,。。　　,:(1)(tech-nique-orientedriskmanagement);(2)(finance-orientedriskmanage-ment);(3)(humanity-orientedriskmanagement)。,;;(perception)、,(riskcommunication)。　　,:,、、,、,、。,,(post-positivism)。,,。,,。(positivism),。、、、、。27、　　,2Bs8444(BSI,1996)。,,,,,,。,,。　　,,,,,。。　　、。20,,,、。,。,2　。　　1.　　,、、。,,、(VaR)、,。　　,,,:21。[6],。　　30,60。,。:　　(1),。,,。　　(2)。Fisher,、、Logistic、Factor-Logistic、、K、、。,;,28、,、。,。、,,。　　(3),,、、,[7]。,,。,、。[8]　　(4)Credit-MetricsVaR,(CreditMigrationMatrix),。,Credit-Metrics,CreditRisk+,,。　　(5)———(ERM)。、,,,(AXIOM),。-。,,。　　2.　　。,(1)。1　()NPVIRR,。,,,[9],(PEPT),(influencediagram),,、、。,(SCERT)——、,(VERT),,(GERT)(graphicalevaluationandreviewtechnique),[10][11](greysystemtheory)(),[12],,,,(AHP)[13]AHP、,29　　3.　　()。(),()。(ESC)19954。1996,ESC。　　,(),,[14]Borda,(riskstie),(MITRE)。[15],、,。　　,。JacobBurnsJeffNoonan(hierarchicalholographicmodel,HHM)、(riskfiltering,rankingandmanage-mentframework,RFRMF)。[16]BarneyB.Roberts(integratedquantitativeriskmanagement,IQRM),(risk-baseddecisionsupport,RBDS)。[17]　　4.　　,,,:(1)、,,;(2)、,;(3)、;(4),,3　。3,[18]、、。,、。　　,:,IT,,,。,,、。,,。,,。,,,、30。[19]、,,[20]。:[1]TimothyWRuefli&JamesMCollins.Riskmeasuresinstrategicmanagementresearch:auldlangsyne[J].StrategicManagementJournal,1999,(20):167-194.[2]Hillson,David.Extendingtheriskprocesstomanageopportunities[J].InternationalJournalofProjectManagement,2002,20(3):235-245.[3]FischhoffB.Managingperceptions[J].IssuesInScienceAndTechnology,1985,(2):83-96.[4]乌尔里希贝克等.自由与资本主义[M].杭州:浙江人民出版社,2001:119-120.[5]Yates,JF&StoneER.Riskappraisal[A].InJ.F.Yates(Eds.).Risktakingbehavior[C].NewYork:JohnWiley&SonsLtd.,1992:387-408.[6]AltmanEI,CaoutteJB,NarayananP.Credit-riskmeasurementmanagement:theironicchallengeinthenextdecade[J].FinancialAnalysisJournal,1998,(9):7-11.[7]ThorsenPodding.Bankruptcyprediction:acomparisonwithdiscriminantanalysis[A].Neuralinthecapitalmarkets[C].EditedbyApostolos-PaulReferences,1992:311-323.[8]于立勇.商业银行信用风险评估预测模型研究[J].管理科学学报,2003,6(5):46-52.[9]RClarke&ALow.Riskanalysisinprojectplanning:asimplespreadsheetapplicationusingMonte-Carlotechniques[J].ProjectAppraisal,1993,8(3):141-146.[10]PetarJovanovicA.Applicationofsensitivityininvestmentprojectevaluationunderuncertaintyandrisk[J].InternationalJournalofProjectManagement,1999,17(4):217-222.[11]Kuchta,Dorotaa.Useoffuzzynumbersinprojectrisk(criticality)assessment[J].InternationalJournalofProjectManagement,2001,19(5):305-310.[12]DaleHattis,DavidEBurmaster.Assessmentofvariabilityanduncertaintydistributionsforpracticalriskanalysis[J].RiskAnalysis,1994,14(5):713-730.[13]ThatJHM,CarrV.Aproposalforconstructionprojectriskassessmentusingfuzzylogic[J].ConstructionManage-mentandEconomics,2000,18:491-500.[14]Klein,JonathanH,Cork,RobinB.Anapproachtotechnicalriskassessment[J].InternationalJournalofProjectManagement,1998,16(6):345-351.[15]PaulR,GarveyPR,LansdowneZF.Riskmatrix:anapproachforidentifying,assessing,andrankingprogramrisks[J].AirForceJournalofLogistics,1998,25:16-19.[16]BurnsJ,NoonanJ,KichakL,etal.NASAriskassessmentandmanagementroadmap[R].SystemsEngineeringCap-stoneConference,Hampton,VA,2001:183-188.[17]DepartmentofDefense,DefenseAcquisitionUniversity,DefenseSystemsManagementCollege.RiskmanagementguideforDODacquisition[M].DefenseSystemsManagementCollegePress,2ndEdition,1999:3-5.[18]台湾国际电子商务中心.国际企业及市场之实际风险管理[EB/OL].[19]GaoS.Strategicriskmanagementandhigh-techrisks[R].TheProceedingsofRiskManagementForumontheHigh-TechIndustryinTaiwanandtheUK,2001:111-125.[20]Okrent,David.Riskperceptionandriskmanagement:onknowledge,resourceallocationandequity[J].ReliabilityEngineeringandSystemSafety,1998,59(1):17-25.(责任编辑:谷化)31