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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 郭震坤(Cheng-Kun Kuo) | |
| dc.contributor.author | Chih-Hsin Cheng | en |
| dc.contributor.author | 鄭芷欣 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:01:55Z | - |
| dc.date.copyright | 2011-02-09 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2011-01-16 | |
| dc.identifier.citation | 一、中文參考文獻
謝劍平，2008，期貨與選擇權：財務工程的入門捷徑，第三版，台北市：智勝文化事業有限公司。 二、英文參考文獻 1. Alexander, C. O., and C. T. Leigh, 1997, 'On The Covariance Matrices Used in Value-at-Risk Models,' Journal of Derivatives, Vol. 4, No. 3, pp. 50-62. 2. Barraquand, J. and D. Martineau, 1995, 'Numerical Valuation of High Dimensional Multivariate American Securities,' Journal of Financial and Quantitative Analysis, Vol. 30, No. 3, pp. 383-405. 3. Beder, T. S., 1995, 'VaR: Seductive but Dangerous,' Financial Analysts Journal, Vol. 51, No. 5, pp. 12-24. 4. Berkowitz, J., 2001, 'Testing Density Forecasts, with Applications to Risk Management,' Journal of Business and Economic Statistics, Vol. 19, No. 4, pp. 465-474. 5. Bollerslev, T., 1986, 'Generalized Autoregressive Conditional Heteroscedasticity,' Journal of Econometrics, Vol. 31, No. 3, pp. 307-327. 6. Bollerslev, T., R. Y. Chou, and K. F. Kroner, 1992, 'ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,' Journal of Econometrics, Vol. 52, No. 1, pp. 5-59. 7. Boyle, P. P., 1977, 'Options: A Monte Carlo Approach,' Journal of Financial Economics, Vol. 4, No. 3, pp. 323-338. 8. Broadie, M., and P. Glasserman, 1996, 'Estimating Security Price Derivatives Using Simulation,' Management Science, Vol. 42, No. 2, pp. 269-285. 9. Broadie, M., P. Glasserman and G. Jain, 1997, 'Enhanced Monte Carlo Estimates for American Option Prices,' Journal of Derivatives, Vol. 5, No. 1, pp. 25-44. 10. Carriere, J. F., 1996, 'Valuation of the Early-Exercise Price For Options Using Simulations and Nonparametric Regression,' Insurance: Mathematics and Economics, Vol. 19, No. 1, pp. 19-30. 11. Campell, S. D., 2005, 'A Review of Backtesting and Backtesting Procedures,' Working Paper, Federal Reserve Bank. 12. Danielsson, J., and C. G. De Vries, 1997, 'Value at Risk and Extreme Returns,' London School of Economics, Financial Markets Group Discussion Paper, No. 273. 13. Duffie, D., and J. Pan, 1997, 'An Overview of Value at Risk,' Journal of Derivatives, Vol. 4, No. 3, pp. 7-49. 14. Engel, J., and M. Gizycki, 1999, 'Conservatism, Accuracy and Efficiency: Comparing Value-at-risk Models,' Working Paper 2, Australia Prudential Regulatory Authority. 15. Engle, R. F., 1982, 'Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,' Econometrica, Vol. 50, No. 4, pp. 987-1007. 16. Engle, R. F. and S. Manganelli, 2004, 'CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,' Journal of Business and Economic Statistics, Vol. 22, No. 4, pp. 367-381. 17. Fallon, W., 1996, 'Calculating Value-at-Risk,' Working Paper, Columbia University, pp. 96-49. 18. Fleming, J., C. Kirby, and B. Ostdiek, 2001, 'The Economic Value of Volatility Timing,' Journal of Finance, Vol. 56, No. 1, pp. 329-352. 19. Group of Thirty, 1993, 'Derivatives: Practices and Principles,' Washington, D.C.. 20. Hendricks, D., 1996, 'Evaluation of Value-at-Risk Models Using Historical Data,' Economic Policy Review, Federal Reserved Bank of New York Economic Policy Review, 2, pp. 39-69. 21. Hull, J. C., 2008, Options, Futures, and Other Derivatives, 7th edition, New Jersey: Pearson Education, Inc. 22. Hull, J., and A. White, 1998, 'Value at Risk When Daily Changes in Market Variables Are Not Normally Distributed,' Journal of Derivatives, Vol. 5, No. 3, pp. 9-19. 23. Jackson, P., D. J. Maude, and W. Perraudin, 1997, 'Bank Capital And Value at Risk,' Journal of Derivatives, Vol. 4, No. 3, pp. 73-89. 24. Jorion, P., 2007, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edition, McGraw-Hill. 25. J. P. Morgan, 1996, 'RiskMetricsTM—Technical Document,' 4th edition, Morgan Guaranty Trust Company of New York. 26. Kupiec, P. H., 1995, 'Techniques for Verifying the Accuracy of Risk Measurement Models,' Journal of Derivates, Vol. 3, No. 2, pp. 73-84. 27. Longstaff, F. A., and E. S. Schwartz, 2001, 'Valuing American Options by Simulation: A Simple Least-Squares Approach,' The Review of Financial Studies, Vol. 14, No. 1, pp. 113-147. 28. Morgan, I. G., 1976, 'Stock Prices and Heteroscedasticity,' Journal of Business, Vol. 49, No. 4, pp. 496-508. 29. Pérignon, C., and D. R. Smith., 2008, 'A New Approach to Comparing VaR Estimation Methods,' Journal of Derivatives, Vol. 16, No. 2, pp. 54-66. 30. Pritsker, M., 1997, 'Evaluating Value at Risk Methodologies: Accuracy versus Computational Time,' Journal of Financial Services Research, Vol. 12, No. 3, pp. 201-243. 31. Pritsker, M., 2006, 'The Hidden Dangers of Historical Simulation,' Journal of Banking and Finance, Vol. 30, No. 2, pp. 561-582. 32. Raymar, S. B., and M. J. Zwecher, 1997, 'Monte Carlo Estimation of American Call Options On the Maximum of Several Stocks,' Journal of Derivatives, Vol. 5, No. 1, pp. 7-23. 33. Tilley, J. A., 1993, 'Valuing American Options in a Path Simulation Model,' Transactions of the Society of Actuaries, 45, pp. 83-104. 34. Venkataraman, S., 1997, 'Value at Risk For A Mixture of Normal Distribution: The Use of Quasi-Bayesian Estimation Techniques,' Economic Perspectives, Vol. 21, No. 2, pp. 2-13. 35. Zangari, P., 1995, 'Statistics of Market Moves In Risk MetricsTM – Technical Document,' New York: Morgan Guaranty Trust Company Global Reasearch. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23459 | - |
| dc.description.abstract | 本研究以Pérignon and Smith（2008）所提的多變量涵蓋機率檢定，作為回溯測試（Backtesting）的主要架構，以確認最佳的風險值估計方法。多變量涵蓋機率檢定是利用相同期間，不同的涵蓋機率或不同的信賴水準所得出之檢定量，以改進Kupiec（1995）單變量涵蓋機率檢定的不足。
本文採用臺灣加權股價指數、臺灣十年期公債指標殖利率之百元報價、美元外匯與臺指選擇權作為實證資料，運用變異數－共變異數法、歷史模擬法與蒙地卡羅模擬法來衡量資產組合的風險值，並以涵蓋機率檢定評估各風險值模型的準確性。變異數－共變異數法包括RiskMetrics法、GARCH法、GARCH－T法以及AR（1）-GARCH（1, 1）法。 本篇的實證研究所得到的主要結論是，多變量涵蓋機率檢定可以偵測到因為單變量涵蓋機率檢定無法全面考慮而導致的誤判，從而降低錯誤的風險值估計模型被接受的可能性。除此之外，實證結果也顯示變異數－共變異數法與歷史模擬法表現最佳，此結果與Pérignon and Smith的研究結論相符合。 | zh_TW |
| dc.description.abstract | This study adopts a new backtesting method of Pérignon and Smith (2008), which uses multivariate coverage test as the framework to evaluate the accuracy of VaR models. The multivariate coverage test is a multivariate generalization of Kupiec’s (1995) unconditional coverage test. Its basic idea is that instead of considering only a single coverage probability, the accuracy of a given VaR method should be assessed with different coverage probabilities within the same period.
Weekly data of Taiwan Weighted Stock Index, 10-Year Government Bond, Currency Exchage Rates in US Dollars, and Taiwan Weighted Stock Index Options are used in this study. The results indicate that multivariate test improves the ability of univariate test to reject misspecified VaR models. Empirically, historical simulation method and parametric methods worked better for portfolio trading revenues. The results are consistent with that of Pérignon and Smith. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:01:55Z (GMT). No. of bitstreams: 1 ntu-99-R97724002-1.pdf: 1770402 bytes, checksum: bae8701c1b970b4c4a23c4d147bd3802 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 謝辭 I
摘要 II Abstract III 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究架構 2 第二章 文獻回顧 4 第一節 風險值的定義與重要性 4 一、風險值的概念 4 二、風險值的定義 7 三、風險值的特性 15 第二節 風險值的估計方法 17 一、變異數－共變異數法（Variance－Covariance） 17 二、歷史模擬法（ Historical Simulation） 23 三、蒙地卡羅模擬法（Monte Carlo Simulation） 25 四、其他文獻回顧與常用方法比較 28 第三節、波動度的估計 31 一、均等權數移動帄均法（Equally Weighted Moving Average） 31 二、指數加權移動帄均法（Exponentially Weighted Moving Average）32 三、GARCH 33 四、AR（1）－GARCH（1, 1） 35 第四節 風險值的驗證 36 一、前向測詴 (Forward Test) 36 二、回溯測詴 (Back Testing) 36 第三章 理論模型與研究方法 41 第一節 理論背景 41 第二節 研究模型 42 第三節、研究方法的選擇 47 第四章 實證結果與分析 49 第一節 資料選取與敘述 50 一、資料選取 50 二、基本敘述統計 54 第二節 風險值模型估計 61 一、參數估計結果 61 二、風險值實證結果 66 第三節 回溯測詴結果 70 第五章 結論 75 參考文獻 77 中文參考文獻 77 英文參考文獻 77 附錄一 Cholesky Decomposition 81 附錄二 最大概似比率θi的推導 82 | |
| dc.language.iso | zh-TW | |
| dc.title | 比較風險值方法之新模式 | zh_TW |
| dc.title | Comparing VaR Estimation Methods via A New Approach | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | #VALUE! | |
| dc.subject.keyword | 風險值,回溯測試,單變量涵蓋檢定,多變量涵蓋檢定,GARCH, | zh_TW |
| dc.subject.keyword | Value-at-Risk (VaR),Backtesting,Univariate Unconditional Coverage Test,Multivariate Unconditional Coverage Test,GARCH, | en |
| dc.relation.page | 82 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2011-01-17 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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