考虑风险关联情形的风险评估方法研究

运筹与管理 ›› 2011, Vol. 20 ›› Issue (6): 188-195.

考虑风险关联情形的风险评估方法研究

张磊, 樊治平, 乐琦

东北大学工商管理学院, 辽宁沈阳 110004

收稿日期:2010-08-09 出版日期:2011-12-25
作者简介:张磊(1982-),男,辽宁昌图人,博士研究生,研究方向为风险管理与决策分析;樊治平(1961-),男,江苏镇江人,教授,博士生导师,研究方向为管理决策分析。
基金资助:
国家自然科学基金资助项目(70721001,90924016);辽宁省人文社会科学重点研究基地资助项目(2009JD31);辽宁省百千万人才工程基金资助项目(2008921081)

A Method for Estimating Risks Considering the Interrelationships Among Risks

ZHANG Lei, FAN Zhi-ping, YUE Qi

School of Business Administration, Northeastern University, Shenyang 110004, China

Received:2010-08-09 Online:2011-12-25

摘要/Abstract

摘要： 针对多个风险之间存在关联的风险评估问题,给出了一种风险评估方法。在本文中,首先依据专家小组给出关于风险关联的评价信息,通过构建综合关联矩阵识别风险之间的影响关系,进而确定风险的层次结构;然后依据确定的可划分或不可划分的风险层次结构以及专家小组给出的风险发生的概率和风险损失,运用概率论相关知识来计算各风险值。最后,通过一个算例说明了本文提出方法的可行性和有效性。

关键词: 运筹学, 风险评估, 风险关联, 概率, 风险值

Abstract: In this paper, with respect to the risk estimation problem considering the interrelationships among risks, a method for estimating risks is proposed. Firstly, according to the evaluation information provided by a panel of experts, the interrelationships among risks are identified by constructing an integration interaction matrix, and a hierarchical structure of risks is determined. Then, according to the divided or undivided hierarchical structure of risks and information on risk probabilities and risk losses provided by the experts, each risk value is calculated using the related knowledge of probability theory. Finally, an example is given to illustrate the feasibility and availability of the proposed method.

Key words: operations research, risk estimation, risk interaction, probability, risk value

中图分类号:

F270
C934

张磊, 樊治平, 乐琦. 考虑风险关联情形的风险评估方法研究[J]. 运筹与管理, 2011, 20(6): 188-195.

ZHANG Lei, FAN Zhi-ping, YUE Qi. A Method for Estimating Risks Considering the Interrelationships Among Risks[J]. Operations Research and Management Science, 2011, 20(6): 188-195.

参考文献

[1] Doumpos M, Zopounidis C. Assessing financial risks using a multicriteria sorting procedure: the case of country risk assessment[J]. Omega, 2001, 29(1): 97-109.
[2] Williams T M. Risk management infrastructures[J]. International Journal of Project Management, 1993, 11(1): 5-10.
[3] Selwyn P. On preprocessing data for financial credit risk evaluation[J]. Expert Systems with Applications, 2006, 30(3): 489-497.
[4] Zhou X F, Jiang W H, Shi Y. Credit risk evaluation by using nearest subspace method[J]. Procedia Computer Science, 2010, 1(1): 2443-2449.
[5] Yijian S, Rufu H, Dailin C, Hongnan L. Fuzzy set-based risk evaluation model for real estate projects[J]. Tsinghua Science & Technology, 2008, 13(1): 158-164.
[6] Zayed T, Amer M, Pan J Y. Assessing risk and uncertainty inherent in Chinese highway projects using AHP[J]. International Journal of Project Management, 2008, 26(4): 408-419.
[7] Wang Y M, Liu J, Elhag T M S. An integrated AHP-DEA methodology for bridge risk assessment[J]. Computers & Industrial Engineering, 2008, 54(3): 513-525.
[8] 耿雪霏,刘凯,王德占.供应链风险的模糊综合评价[J].物流技术,2007,26(8):164-167.
[9] Wei J C, Li Z J, Shi L Q, et al. Comprehensive evaluation of water-inrush risk from coal floors[J]. Mining Science and Technology(China), 2010, 20(1): 121-125.
[10] Barry W Boehm. Software risk management: principles and practices[J]. IEEE software, 1991, 8(1): 32-41.
[11] Bouchaib Bahli, Suzanne Rivard. Validating measures of information technology outsourcing risk factors[J]. Omega, 2005 33(2): 175-187.
[12] Gavey P R, Lansdowne Z F. Risk matrix: an approach for identifying, assessing, and ranking program risks[J]. Air force Journal of Logistics, 1998, 22(1): 16-23.
[13] Astles K L, Holloway M G, Steffe A, et al. An ecological method for qualitative risk assessment and its use in the management of fisheries in new south wales, australia[J]. Fisheries Research, 2006, 82(1-3): 290-303.
[14] Adam S. Markowski M. Sam Mannan. Fuzzy risk matrix[J]. Journal of Hazardous Materials, 2008, 159(1): 152-157.
[15] Khashman A. Neural networks for credit risk evaluation: investigation of different neural models and learning schemes[J]. Expert Systems with Applications, in press, 2010, 37(9): 6233-6239.
[16] Angelini E, Tollo G, Roli A. A neural network approach for credit risk evaluation[J]. The Quarterly Review of Economics and Finance, 2008, 48(4): 733-755.
[17] Etti G B, Thomas W S. The relations among asset risk, product risk, and capital in the life insurance industry[J]. Journal of Banking & Finance, 2002, 26(6): 1181-1197.
[18] Liao X W, Tao W, Yuan L. A bayesian network model under group decision making for evaluating IT outsourcing risk[C]. 2008 International Conference on Risk Management & Engineering Management, 2008.
[19] Büyüközkan G, Ruan D. Choquet integral based aggregation approach to software development risk assessment[J]. Information Sciences, 2010, 180(3): 441-451.
[20] David L. Irreducible matrices with reducible principal submatrices[J]. Linear Algebra and its Applications, 1999, 290(1-3): 257-266.