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Title: | 穩定分配模型的風險值計算 -以台灣指數與外匯市場之資料為佐證 Computing Value at Risk Under α-Stable Distributions -Empirical Evidence from Taiwan’s Financial Market |
Authors: | Chia-Hung Yeh 葉家宏 |
Advisor: | 葉小蓁 |
Keyword: | 風險值,厚尾,α-穩定分配,機率分布配適, VaR,Heavy-Tail,Stable Paretian Modeling,α-Stable Distribution, |
Publication Year : | 2018 |
Degree: | 碩士 |
Abstract: | 本文參考I. Khindanova, S. Rachev and E. Schwartz (2001)所提出的論點:認為金融市場的資料序列普遍存在厚尾的現象。因此,在傳統的高斯分配的假設之下,極端事件發生的機率容易被低估,亦造成風險值 (Value-at-Risk, VaR)的估算過於樂觀。本文驗證台灣的金融市場亦普遍存在厚尾的現象,並參考I. Khindanova, S. Rachev and E. Schwartz (2001)中所述的α-穩定分配模型配適台灣金融市場的實際資料,期望能解決錯估尾端機率而造成的資產價值損失。 The value-at-risk measurement (VaR) is an important indicator when a financial institution wishes to evaluate its exposure to market risks. Referring to I. Khindanova, S. Rachev and E. Schwartz (2001), the traditional Gaussian estimation of VaR generally overlooks the heavy-tailed properties exhibited financial data series, thereby incurring unexpected losses under extreme circumstances. This paper follows I. Khindanova, S. Rachev and E. Schwartz (2001) to show that heavy-tailed properties exist for Taiwan’s financial market as well and aims to prove that this issue can be effectively solved by fitting the financial data to an α-stable distribution. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/70436 |
DOI: | 10.6342/NTU201803250 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 財務金融學系 |
Files in This Item:
File | Size | Format | |
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ntu-107-1.pdf Restricted Access | 2.71 MB | Adobe PDF |
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