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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/70436完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 葉小蓁 | |
| dc.contributor.author | Chia-Hung Yeh | en |
| dc.contributor.author | 葉家宏 | zh_TW |
| dc.date.accessioned | 2021-06-17T04:28:09Z | - |
| dc.date.available | 2021-08-15 | |
| dc.date.copyright | 2018-08-15 | |
| dc.date.issued | 2018 | |
| dc.date.submitted | 2018-08-13 | |
| dc.identifier.citation | 1. A.Pagan (1996) The Econometrics of Financial Market, Journal of Empirical Finance.
2. D.Duffie and J.Pan (1997) An Overview of Value at Risk, The Journal of Derivatives. 3. I. Khindanova, S. Rachev and E. Schwartz (2001) Stable Modeling of Value at Risk, Mathematical and Computer Modeling. 4. J.H McCulloch (1986) Simple Consistent Estimators of Stable Distribution Parameters', Communications in Statistics, Simulation and Computation. 5. J.P Nolan (1996) Parameterizations and Modes of Stable Distributions, Statistics & Probability Letters. 6. J.P Nolan (1998) Multivariate Stable Densities as Functions of One Dimensional Projections, Journal of Multivariate Analysis. 7. RCont (2006) Volatility Clustering in Financial Markets :Empirical Facts and Agent–Based Models, Long Memory in Economics. 8. R.F. Engle (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica. 9. S.Rachev and S.Mittnik (2000) Stable Paretian Modeling, Series in Financial Economics and Quantitative Analysis. 10. T.Bollerslev (1986) Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics. 11. T.S. Beder (1995) VAR: Seductive but Dangerous, CFA Institute Financial Analysts Journal. 12. W.H DuMouchel (1971) On the Asymptotic Normality of Maximum Likelihood Estimates when Sampling from a Stable Distribution, The Analysis of Statistics. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/70436 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T04:28:09Z (GMT). No. of bitstreams: 1 ntu-107-R05723062-1.pdf: 2772651 bytes, checksum: 1f379f261966b05844a10251d7e994f9 (MD5) Previous issue date: 2018 | en |
| dc.description.tableofcontents | 中文摘要 ........................................................................................................................... I
ABSTRACT ................................................................................................................... II LIST OF FIGURES ...................................................................................................... IV LIST OF TABLES .......................................................................................................... V 1. INTRODUCTION .................................................................................................. 1 2. LITERATURE REVIEW ...................................................................................... 3 2.1 DEFINITION AND IMPORTANCE OF VALUE AT RISK (VAR) .................................. 3 2.2 TRADITIONAL COMPUTATION OF VAR ................................................................. 4 2.3 STABLE MODELING OF VAR ................................................................................ 10 2.4 COMPARISON OF TRADITIONAL AND STABLE MODELING .................................. 15 2.5 RESEARCH QUESTIONS ........................................................................................ 17 3. DATA, METHODOLOGY, AND EXPERIMENTAL FRAMEWORK ......... 17 3.1 DATA DESCRIPTION ............................................................................................. 17 3.2 METHODOLOGIES AND DISCUSSION .................................................................... 19 3.3 EXPERIMENTAL FRAMEWORK ............................................................................. 24 4. EMPIRICAL RESULTS AND FINDINGS ....................................................... 31 4.1 ARE HEAVY-TAILS IDENTIFIABLE IN TAIWAN’S FINANCIAL MARKET?............ 31 4.2 COMPARISON OF STABLE MODELING AND TRADITIONAL MODELING .............. 35 4.3 VAR CALCULATION UNDER Α-STABLE DISTRIBUTION ...................................... 41 5. CONCLUSION ..................................................................................................... 55 REFERENCE ............................................................................................................... 56 | |
| dc.language.iso | en | |
| dc.subject | α-穩定分配 | zh_TW |
| dc.subject | 風險值 | zh_TW |
| dc.subject | 厚尾 | zh_TW |
| dc.subject | 機率分布配適 | zh_TW |
| dc.subject | Heavy-Tail | en |
| dc.subject | Stable Paretian Modeling | en |
| dc.subject | VaR | en |
| dc.subject | α-Stable Distribution | en |
| dc.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 | zh_TW |
| dc.title | Computing Value at Risk Under α-Stable Distributions -Empirical Evidence from Taiwan’s Financial Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 106-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 石百達,許耀文 | |
| dc.subject.keyword | 風險值,厚尾,α-穩定分配,機率分布配適, | zh_TW |
| dc.subject.keyword | VaR,Heavy-Tail,Stable Paretian Modeling,α-Stable Distribution, | en |
| dc.relation.page | 56 | |
| dc.identifier.doi | 10.6342/NTU201803250 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2018-08-14 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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