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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳宏(Hung Chen) | |
| dc.contributor.author | Yi-Ta Huang | en |
| dc.contributor.author | 黃以達 | zh_TW |
| dc.date.accessioned | 2021-06-13T00:18:48Z | - |
| dc.date.available | 2008-07-27 | |
| dc.date.copyright | 2007-07-27 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-25 | |
| dc.identifier.citation | 1. Tsay, R . S. (2005). Analysis of Financial Time Series, 2nd edition. Wiley, New York.
2. Fama, E. (1965). The Behavior of stock Market Prices. Journal of Business 38: 34-105 3. Manganelli, S. and Engle, R. F. (2001). Value at Risk Models in Finance. Working paper No.75. European Central Bank. 4. Beder, T. S. (1995). VAR: Seductive but Dangerous. Financial Analysts Journal 51: 12-24. 5. Engle, R. F. (1982). Autoregressive Conditional Hetroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50: 987-1008. 6. Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31: 307-327. 7. RiskMetrics (1996). Technical Document, Morgan Guaranty Trust Company of New York. 8. Pollicott, M. and Yuri, M. (1998). Dynamical Systems and Ergodic Theory. Cambridge University Press. 9. Jenkison, A. F. (1995). The frequency distribution of the annual maximum (or minimum) of meteorological elements. Quarterly Journal of Royal Meteorological Soceity 81: 151-171 10. Gendenko, B. V. (1943). Sur la distribution limite du terme maximum of d'une serie Aleatorie. Annals of Methematics 44: 423-453. 11. Hill, B. M. (1975). A simple general approach to inference about the tail of a distribution. Annals of Statistics 3: 1163-1173 12. Pickands, J. (1975). Statistical inference using extreme order statistics. Annals of Statistics 3: 119-131. 13. Leadbetter, M. R., Lindgren, G., and Rootzen, H. (1983). Extremes and Related Properties of Random Sequences and Processes. Springer-Verlag, New York. 14. Boudoukh, J., Richardson, M., and Whitelaw, R. (1998). The Best of Both Worlds. RISK 11: 64-67 15. Bank for International Settlements (1994). Public Disclosure of Market and Credit Risks by Financial Intermediaries. Euro-currency Standing Committee of the Central Banks of the Group of Ten Countries [Fisher report]. 16. J.P. Morgan/Reuters (1996). RiskMetrics Technical Document, Part II: Statistics of Financial Market Returns, 4-th edition. New York: Morgan. 17. Chung, K. L. (2001). A Course in Probability Theory, 3rd edition. Academic Press, New York. 18. Daniel, B. N. (1990). Stationarity and Persistence in the GARCH(1,1) Model. Econometric Theory 6: 318-334. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/28710 | - |
| dc.description.abstract | 風險值為一個普遍應用在財務金融領域上的統計方法，主要用以量化並評估財務市場風險的大小。此篇論文中，我們主要的目的是想尋求由Boudokh,Richardson and Whitelaw於一九九八年所提出一種評估風險值的無母數方法 ─ 複合法的方法特性。在某些正規條件下，本文證明了利用複合法所得到的估計式並非是一致估計式。因此，本文提供一種修正的方法，稱之為校正複合法，其為複合法及歷史模擬法之加權平均。藉由權重之選取，得以提高複合法在估計風險值之精準度。除此之外，我們亦使用實證資料及具波動叢聚性質下之計量模型之模擬資料，來闡述及比較複合法與校正複合法之優劣性。 | zh_TW |
| dc.description.abstract | VaR(Value at Risk) is a method of assessing risk that uses standard statistical techniques routinely used in other technical fields. In this thesis, we focus on finding the characteristics of hybrid approach proposed in Boudokh,
Richardson and Whitelaw (1998) which is a nonparametric approach for estimating VaR. Under some regular conditions, we prove that the resulting estimator is not consistent. We then propose a modified approach, which is called the modified hybrid approach, to increase its precision. We also demonstrate the pros and cons of the hybrid approach and modified hybrid approach by using some evaluation criteria under various different models and some empirical datas. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T00:18:48Z (GMT). No. of bitstreams: 1 ntu-96-R92221011-1.pdf: 700070 bytes, checksum: c3ddaa82c3455125f1d05edc277418b5 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 1 Introduction ......................................1
2 VaR Methodologies .................................4 2.1 Risk Metrics ....................................4 2.2 Historical Simulation ...........................5 2.3 Extreme Value Theory Approach ...................6 3 Hybrid Approach and Its Properties ................9 3.1 The Estimate Based on Hybrid Approach ...........9 3.2 Inconsistency of Hybrid Estimator ..............10 3.2.1 Natural Bound of Hybrid Estimator ............10 3.2.2 Maximal of (r1,r2,...,rK1) and Inconsistency..11 3.3 A Modi.ed Hybrid Estimator .....................11 4 Two Evaluation Criteria ..........................13 5 Performance Analysis under Three Different Models.15 5.1 Stochastic Volatility Models ...................15 5.2 Integrated GARCH(1,1) Models ...................17 5.3 Stochastic Volatility Models with Structural Breaks..18 5.4 Summary ........................................19 6 Empirical Results ................................20 7 Conclusion .......................................25 8 Appendix .........................................26 8.1 Appendix A .....................................26 8.2 Appendix B .....................................27 8.3 Appendix C .....................................30 8.4 Appendix D: Tables .............................32 8.4.1 Simulation Results ...........................32 8.4.2 Empirical Results ............................44 Bibliography | |
| dc.language.iso | en | |
| dc.subject | 歷史模擬法 | zh_TW |
| dc.subject | 風險值 | zh_TW |
| dc.subject | 複合法 | zh_TW |
| dc.subject | 校正複合法 | zh_TW |
| dc.subject | Value at Risk | en |
| dc.subject | historical simulation | en |
| dc.subject | modified hybrid approach | en |
| dc.subject | hybrid approach | en |
| dc.title | 以複合法計算風險值之分析與評估 | zh_TW |
| dc.title | Evaluation of Operating Characteristics of Hybrid Approach of Calculating Value at Risk | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 何淮中(Hwai-Chung Ho) | |
| dc.contributor.oralexamcommittee | 江金倉(Chin-Tsang Chiang),林金龍(Jin-Lung Lin) | |
| dc.subject.keyword | 風險值,複合法,校正複合法,歷史模擬法, | zh_TW |
| dc.subject.keyword | Value at Risk,hybrid approach,modified hybrid approach,historical simulation, | en |
| dc.relation.page | 52 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-27 | |
| dc.contributor.author-college | 理學院 | zh_TW |
| dc.contributor.author-dept | 數學研究所 | zh_TW |
| 顯示於系所單位： | 數學系 | |
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