臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：一致化風險值與壓力測試值之估計--混合一般化極值分配模型分析
書刊名：風險管理學報
作者：王甡／吳壽山 引用關係
作者(外文)：Wang, Shen／Wu, Soushan
出版日期：2001
卷期：3:1
頁次：頁23-48
主題關鍵詞：風險值；壓力測試值；分配厚尾；極值分配；報酬水準；Value-at-risk；Stress testing loss；Fat tails；Extreme value distributions；Return level
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:4
  • 點閱點閱:51
　　　　　風險值與壓力測試值均為衡量資產價格變動風險之重要工具，利用本文所推展之混合一般化極值分配模型，此兩衡量值可在同一組資料下獲得一致化的估計結果；此外，由於此一模型對於掌握報酬率尾端的型態的涵蓋性廣泛，因此對於風險值與壓力測試值的估計結果亦較單變量一般化極值分配模型更為精準。為評估本模型實際運用上的績效，本文利用臺灣股市之資料進行實證分析，並討論其結果及管理上之意涵。
　　　　　Both Value-at-Risk and stress testing loss are important measures for the market risk. This paper develops a mixture of Generalized Extreme Value distributions and applies it to estimate these two measures coherently. Since this model can capture tails natures of the return distribution in details, the estimated risk measures are more precise than those of the Generalized Extreme Value distribution are. To assess the performance of this approach, this paper uses the Taiwan stocks market data in empirical study. The results and their implications in management are also discussed.
期刊論文
1.Hamilton, J. D.(1991)。A quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions。Journal of Business and Economic Statistics，9，27-39。  new window
2.Longin, Francois M.(2000)。From Value at Risk to Stress Testing: The Extreme Value Approach。Journal of Banking & Finance，24(7)，1097-1130。  new window
3.Fisher, R.、Tippett, L.(1928)。Limiting forms of the frequency distribution of the largest or smallest number of a sample。Proceedings of the Cambridge Philosophical Society，24，180-190。  new window
4.Ho, L.、Burridge, P.、Cadle, J.、Theobold, M.(2000)。Value-at-Risk: Applying the Extreme Value Approach to Asia Markets in the Recent Financial Turmoil。Pacific-Basin Finance Journal，8，249-275。  new window
5.Hosking, J.(1985)。Maximum-likelihood Estimation of the Parameters of the Generalized Extreme-value Distribution。Journal of the Royal Statistical Society, Series C，34，301-310。  new window
6.Wang, S.、Wu, S.、Chung, H.(2001)。A New Approach of Stress Testing for Stock Portfolios and its Application to the Taiwan Stock Market。Asian Pacific Journal of Economics and Business，4(2)，52-73。  new window
7.王甡、吳壽山(20000900)。金融機構資產組合壓力測試之文獻回顧、執行方法與管理意涵。臺灣金融財務季刊，1(1)，41-57。new window  延伸查詢new window
8.Dunbar, N.、Irving, R.(199812)。This is the Way the World ends。Risk，11，28-32。  new window
9.McNeil, A.(1997)。Historical Repeating。Risk，10，26-27。  new window
10.Zangari, P.(1997)。Catering for an Event。Risk，10，34-36。  new window
研究報告
1.Berkowitz, J.(1999)。A Coherent Framework for Stress Testing。Board of Governors of the Federal Reserve System。  new window
2.Jondeau, E.、Rockinger, M.(1999)。The Tails Behavior of Stock Returns: Emerging versus Mature Markets。  new window
3.McNeil, A.J.(1998)。Calculating Quantile Risk Measures for Financial Return Series Using Extreme Value Theory。ETH Zurich。  new window
4.Schachter, B.(1998)。The Value of Stress Testing in Market Risk Management。Derivatives Risk Management Services。  new window
圖書
1.Embrechts, P. C.、Klüppelberg, C.、Mikosch, T.(1997)。Modelling Extremal Events for Insurance and Finance。Springer-Verlag。  new window
2.Breuer, T.、Kreen, G.(1999)。Guidelines on Market Risk, 5, Stress Testing。Austrian National Bank。  new window
3.Bank for International Settlement(2000)。Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues。Basle：Committee on the Global Financial System。  new window
4.Best, P.(1998)。Implementing Value at Risk。New York：John Wiley and Sons。  new window
5.International Organization of Securities Commissions(1995)。The Implications for Securities Regulators of the Increased Use of Value at Risk Models by Securities Firms。Montreal, Canada：Technical Committee。  new window
6.Reiss, R.、Thomas, M.(1997)。Statistical Analysis of Extreme Values。Basle：Birkhauser。  new window
7.Risk Metrics Group(1999)。Risk Management: A Practical Guide。New York。  new window
8.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
其他
1.Greenspan, A.(1999)。Measuring Financial Risk in the Twenty-first Century (Conference Speech)，The Office of the Comptroller of the Currency。  new window
圖書論文
1.Gavin, J.(2000)。Extreme Value Theory: An Empirical Analysis of Equity Risk。Quantitative Risk: Models & Statistics。UBS Warburg。  new window
2.Venkataraman, S.(1997)。Value at Risk for a Mixture of Normal Distributions: The Use of Quaisi-Bayesian Estimation Technique。Economic Prospective。Federal Reserve Bank of Chicago。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：802（臺灣：766，外國：36） ／ 本年度總使用人次：2564847 ／ 訪客人次（自102年09月）：68367184
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上