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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29643完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 郭震坤 | |
| dc.contributor.author | Cheng-Chien Li | en |
| dc.contributor.author | 李政謙 | zh_TW |
| dc.date.accessioned | 2021-06-13T01:13:15Z | - |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-18 | |
| dc.identifier.citation | Bangia, A., F. X. Diebold, T. Schuermann, and J. Stroughair, 1999, “Liquidity on the Outside,” Risk, 12, pp.68-73.
Berkowitz, J. and J. O’Brien, 2002, “How Accurate Are Value-at-Risk Models at Commercial Banks”, Journal of Finance, 57, pp.1093-1111. Heikkinen, V. and A. Kanto, 2002, “Value-at-Risk Estimation Using Non-Integer Degrees of Freedom of Student’s Distribution” , Journal of Risk, 4, pp.77-84. Hendricks, D., 1996, ”Evaluation of Value at Risk Models Using Historical Data,” FRBNY Econom. Policy Rev, pp.39-70. Jorion, P., 1997, Value at Risk: The New Benchmark for Controlling Market Risk, Chicago, IL: Irwin. Katerina, S., 2001, “Risk-Adjusted Performance Files,” New England Economic Review, 30, November/December. Koji, I., M. Kijima, and A. Kitano, 2005, “VaR Is Subject to Significant Positive Bias,” Statistics & Probability Letters, 72, pp.299-311. Markowitz, H., 1952, “Portfolio Selection,” Journal of Finance, pp. 77-91. Marrison, C. I., T. D. Schuermann, and J. Stroughair, 2000, ”Changing Regulatory Capital to Include Liquidity and Management Intervention,” The Journal of Risk Finance. Marrison, C. I., 2002, Fundamentals of Risk Measurement, International Editions, pp.155-163. Matten, C., 1996, Managing Bank Capital, England: John Wiley & Sons. Pant, V. and W. Chang, 2001, “An Empirical Comparison of Methods for Incorporating Fat Tails into Value-at-Risk Models,” Journal of Risk, 3, pp.99-119 Platen, E. and G. Stahl, 2003, “A Structure of General and Specific Market Risk,” Working Paper, University of Technology, Sydney. Raman V., F. J. Fabozzi, and F. J. Jones, 2004, “Determinants of Tracking Error for Equity Portfolios”, The Journal of Investing, Summer, pp37-47. Wilson, D., 1995, “Marriage of Ideals,” Risk Magazine, pp.66-82. Wilson, T., 1992, “Raroc Remodeled”, Risk Magazine, pp.112-119. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29643 | - |
| dc.description.abstract | 1996年巴賽爾資本協定建議金融機構使用風險值來當作資本適足度的決定指標，風險值能否計算正確，成為企業控制內部資本而避免破產的重要關鍵。然而，風險值估算難免會有誤差，我們感興趣的是風險值誤差受何種因素影響，影響的程度如何，計算風險值要注意到哪些限制問題。 | zh_TW |
| dc.description.abstract | In 1996, Basel implementation suggests financial institution to use Value at risk (VaR) to determine regulatory capital requirements or internal capital allocations. The correction of VaR calculated has become the key point to decide whether the bank will get bankrupt or not. However, VaR is hard to avoid the errors of estimation, so we want to know what factors cause VaR to be biased, what level they affect VaR, and what limitations VaR has. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T01:13:15Z (GMT). No. of bitstreams: 1 ntu-96-R92724087-1.pdf: 430595 bytes, checksum: f3bd0b925588b4c3acb19d4196d901e7 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 中文摘要 Ⅱ英文摘要 Ⅲ
圖表目錄 Ⅵ 研究架構 Ⅶ 第一章 緒論 1 1.1(研究動機與目的) 1 1.2(研究方法) 3 第二章 風險值意義與計算方法 4 2.1(風險的種類) 4 2.2(風險值簡述) 8 2.3(風險值模型) 9 2.4(風險值計算方法) 10 2.5(風險測量準則) 22 第三章 追蹤風險值與風險值的限制 26 3.1 (追蹤誤差與追蹤風險值) 26 3.2 (影響追蹤誤差之因素) 28 3.3 (剖視追蹤誤差) 44 3.4 (追蹤誤差之邊際貢獻) 46 3.5 (預估追蹤風險) 47 3.6 (風險值限制問題與修正方法) 49 第四章 (風險值誤差之實證分析) 61 4.1 (風險值誤差簡述) 61 4.2 (實驗描述) 63 4.3 (實驗結果) 64 4.4 (實驗圖表) 65第五章 結論與建議 70 參考文獻 71 | |
| dc.language.iso | zh-TW | |
| dc.subject | 風險值、樣本數、自由度、顯著水準、厚尾 | zh_TW |
| dc.subject | fat tail | en |
| dc.subject | sample | en |
| dc.subject | VaR | en |
| dc.subject | significant level | en |
| dc.subject | degree of freedom | en |
| dc.title | 風險值計算誤差之研究 | zh_TW |
| dc.title | A study on VaR computation bias | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李顯峰,雷立芬 | |
| dc.subject.keyword | 風險值、樣本數、自由度、顯著水準、厚尾, | zh_TW |
| dc.subject.keyword | VaR, sample, degree of freedom, significant level, fat tail, | en |
| dc.relation.page | 72 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-20 | |
| 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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