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題名:金融機構之壓力測試--對國際清算銀行全球金融體系委員會2001年調查報告之分析與評論
書刊名:存款保險資訊季刊
作者:王甡
出版日期:2001
卷期:15:2
頁次:頁40-61
主題關鍵詞:金融機構國際清算銀行壓力測試Stress tests
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:48
  • 點閱點閱:1
期刊論文
1.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
2.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
3.Dunbar, N.、Irving, R.(199812)。This is the Way the World ends。Risk,11,28-32。  new window
4.Zangari, P.(1997)。Catering for an Event。Risk,10,34-36。  new window
5.王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展,7(1)=25,125-161。new window  延伸查詢new window
6.Aragones, Jose、Ramon, Carlos Blanco、Dowd, Kevin(2001)。Incorporating Stress Tests into Market Risk Modeling。Derivatives Quarterly,7(3),44-49。  new window
7.Best, P.(19991108)。VaR versus Stress Testing。Derivatives Week,6-7。  new window
8.Kimball, R.(2000)。Failure in Risk Management。New England Economic Review,2000(Jan./Feb.),3-12。  new window
9.Schachter, B.(2000)。Stringent Stress Tests。Risk,13,22-24。  new window
10.Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
11.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
研究報告
1.Jondeau, E.、Rockinger, M.(1999)。The Tails Behavior of Stock Returns: Emerging versus Mature Markets。  new window
2.Schachter, B.(1998)。The Value of Stress Testing in Market Risk Management。Derivatives Risk Management Services。  new window
3.Schachter, B.(2001)。How Well Can Stress Tests Complement VaR?。  new window
學位論文
1.王甡(2001)。壓力測試及其共容於風險值架構之設計---台灣股市1976年至2000年之實證分析(博士論文)。國立交通大學。  延伸查詢new window
圖書
1.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
2.Best, P.(1998)。Implementing Value at Risk。New York:John Wiley and Sons。  new window
3.Risk Metrics Group(1999)。Risk Management: A Practical Guide。New York。  new window
4.Bank for International Settlement(1996)。Amendment to the Capital Accord to Incorporate Market Risks。Basle:Basle Committee on Banking Supervision。  new window
5.Bank for International Settlement(1999)。Performance of Models-Based Capital Charges for Market Risk--1 July-31 December 1998。Basle:Basle Committee on Banking Supervision。  new window
6.Bank for International Settlement(2001)。A Survey of Stress Tests and Current Practice at major Financial Institutions。Basle:Committee on the Global Financial System。  new window
7.Derivatives Policy Group(1995)。Framework for Voluntary Oversight。New York。  new window
8.International Organization of Securities Commissions(1998)。Methodologies for Determining Minimum Capital Standards for Internationally Active Securities Firms Which Permit Use of Models under Prescribed Conditions。Montreal:Technical Committee。  new window
9.International Organization of Securities Commissions(1999)。Recognizing A Firm's Internal Market Risk Model for the Purposes of Calculating Required Regulatory Capital: Guidance to Supervisors。Montreal:Technical Committee。  new window
10.Risk Metrics Group(1997)。CreditMetrics。New York。  new window
11.Chase(1998)。Annual Report。New York。  new window
圖書論文
1.(1997)。Credit Suisse Financial Product。CreditRisk+。New York。  new window
 
 
 
 
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