| 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 延伸查詢![new window](/gs32/images/newin.png) | 3. | Dunbar, N.、Irving, R.(199812)。This is the Way the World ends。Risk,11,28-32。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Zangari, P.(1997)。Catering for an Event。Risk,10,34-36。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 延伸查詢![new window](/gs32/images/newin.png) | 6. | Aragones, Jose、Ramon, Carlos Blanco、Dowd, Kevin(2001)。Incorporating Stress Tests into Market Risk Modeling。Derivatives Quarterly,7(3),44-49。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Best, P.(19991108)。VaR versus Stress Testing。Derivatives Week,6-7。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Kimball, R.(2000)。Failure in Risk Management。New England Economic Review,2000(Jan./Feb.),3-12。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Schachter, B.(2000)。Stringent Stress Tests。Risk,13,22-24。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 研究報告1. | Jondeau, E.、Rockinger, M.(1999)。The Tails Behavior of Stock Returns: Emerging versus Mature Markets。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Schachter, B.(1998)。The Value of Stress Testing in Market Risk Management。Derivatives Risk Management Services。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Schachter, B.(2001)。How Well Can Stress Tests Complement VaR?。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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](/gs32/images/newin.png) | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Best, P.(1998)。Implementing Value at Risk。New York:John Wiley and Sons。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Risk Metrics Group(1999)。Risk Management: A Practical Guide。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Bank for International Settlement(1996)。Amendment to the Capital Accord to Incorporate Market Risks。Basle:Basle Committee on Banking Supervision。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Derivatives Policy Group(1995)。Framework for Voluntary Oversight。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Risk Metrics Group(1997)。CreditMetrics。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Chase(1998)。Annual Report。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書論文1. | (1997)。Credit Suisse Financial Product。CreditRisk+。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |