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題名：臺灣金融控股公司市場風險資本配置之研究--條件風險值法
書刊名：證券市場發展季刊
作者：賴財慶 引用關係／李詩政
作者(外文)：Lai, Tsai-ching／Lee, Shih-cheng
出版日期：2005
卷期：16:4=64
頁次：頁145-173
主題關鍵詞：風險值；條件風險值；均數風險值效率前緣；均數條件風險值效率前緣；Value-at-risk；Conditional value-at-risk；Mean-value-at-risk efficient frontier；Mean-conditional-value-at-risk efficient frontier
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(1) 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:1
  • 共同引用共同引用:3
  • 點閱點閱:75
期刊論文
1.Acerbi, C.(2002)。Spectral Measures of Risk: A Coherent Representation of Subjective Risk Aversion。Journal of Banking & Finance，26，1505-1518。  new window
2.Artzner, P.、Delbaen, F.、Eber, M.、Heath, D.(1997)。Thinking Coherently。Risk，10(11)，68-71。  new window
3.Rockafellar, R. T.、Uryasev, S.(2002)。Conditional value at risk for general loss distributions。Journal of Banking and Finance，26(7)，1443-1471。  new window
4.Rockafellar, R. T.、Uryasev, S.(2000)。Optimization of Conditional Value-at-Risk。Journal of Risk，2(3)，21-42。  new window
5.莊益源、林文昌、徐嘉彬、邱臙珍(20040100)。靜態與動態風險值模型績效之比較。證券市場發展，15(4)=60，107-159。new window  延伸查詢new window
6.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance，7(1)，77-91。  new window
7.Artzner, Philippe、Delbaen, Freddy、Eber, Jean-Marc、Heath, David(1999)。Coherent measures of risk。Mathematical Finance，9(3)，203-228。  new window
8.Berkowitz, J.、O'Brien, J.(2002)。How Accurate are Value-at-Risk Models at Commercial Banks?。Journal of Finance，57(3)，1093-1111。  new window
9.Acerbi, C.、Tasche, D.(2001)。Expected Shortfall: a Natural Coherent Alternative to Value at Risk。Economic Notes，31(2)，379-388。  new window
10.Artzner, P.(1997)。Application of Coherent Risk Measures to Capital Requirements in Insurance。North American Actuarial Journal，3(2)，11-25。  new window
11.Bogentoft, E.、Romeijn, H. E.、Uryasev, S.(2001)。Asset/Liability Management for Pension Funds Using CVaR Constraints。The Journal of Risk Finance，3(1)，57-71。  new window
12.Dowd, K.(2000)。VaR vs. Expected Tail Loss。Derivatives Week，Feb.，6-7。  new window
13.Mausser, H.、Rosen, D.(1998)。Beyond VaR: From Measuring Risk to Managing Risk。ALGO Research Quarterly，1(2)，5-20。  new window
14.Pearson, N. D.(2000)。Value at Risk。Financial Analysts Journal，March/ April，47-67。  new window
15.Skipper, H. D.(2000)。Financial Services Integration Worldwide: Promises and Pitfalls。North American Actuarial Journal，4(3)，71-108。  new window
16.Uryasev, S.(2000)。Conditional Value-at-Risk: Optimization Algorithms and Applications。Financial Engineering News，14，1-6。  new window
17.Yamai, Y.、Yoshiba, T.(2002)。Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress。Monetary and Economics Studies，20(3)，181-238。  new window
會議論文
1.Engel, J.、Gizycki, M.(1999)。Conservatism, Accuracy and Efficiency: Comparing Value-at-Risk Models。沒有紀錄。108-123。  new window
研究報告
1.Acerbi, C.、Nordio, C.、Sirtori, C.(2001)。Expected Shortfall as a Tool for Financial Risk Management。沒有紀錄。  new window
2.Andersen, J. V.、Sornette, D.(1999)。Have Your Cake and Eat It Too: Increasing Returns While Lowering Large Risks。沒有紀錄。  new window
3.Basak, S.、Shapiro, A.(1998)。Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices。沒有紀錄。  new window
4.Edwards, P.(1999)。Managing Risk and Capital in Financial Conglomerates。沒有紀錄。  new window
5.Gaivoronski, A. A.、Pflug, G.(2000)。Value at Risk in Portfolio Optimization: Properties and Computational Approach。沒有紀錄。  new window
6.Giorgi, E. D.(2002)。A Note on Portfolio Selections under Various Risk Measures。沒有紀錄。  new window
7.Gooverats, M. L.、Kaas, R.、Dhaene, J.(2002)。Economic Capital Allocation Derived from Risk Measures。沒有紀錄。  new window
8.Grootweld, H.、Hallerbach, W. G.(2000)。Upgrading VaR from Diagnostic Metric to Decision Variable: A Wise Thing to Do?。沒有紀錄。  new window
9.Puelz, A.(1999)。Value-at-Risk Based Portfolio Optimization。沒有紀錄。  new window
10.Tasche, D.(2000)。Risk Contributions and Performance Measurement。沒有紀錄。  new window
圖書
1.Markowitz, Harry M.(1959)。Portfolio Selection: Efficient Diversification of Investment。New York：Wiley。  new window
2.Marrison, Chris(2002)。The Fundamentals of Risk Measurement。New York, NY：McGraw-Hill Book Company。  new window
3.Bowers, Newton L. Jr.、Gerber, Hans U.、Hickman, James C.、Jones, Donald A.、Nesbitt, Cecil J.(1997)。Actuarial Mathematics。Society of Actuaries。  new window
4.Dowd, K.(2002)。Measuring Market Risk。New York：John Wiley and Sons, Inc.。  new window
5.Alexander, C. O.(2001)。Market Models: A Guide to Financial Data Analysis。New York：John Wiley & Sons, L。  new window
6.Penza, P.、Bansal, V. K.(2001)。Measuring Market Risk with Value at Risk。New York：Wiley。  new window
7.Jorion, P.(2001)。Value at Risk: The New Benchmark for Managing Financial Risk。McGraw-Hill。  new window
8.Bessis, J.(1999)。Risk Management in Banking。Risk Management in Banking。West Sussex, UK。  new window
9.Brandimarte, P.(2002)。Numerical Methods in Finance: A MATLAB-Based Introduction。Numerical Methods in Finance: A MATLAB-Based Introduction。New York, NY。  new window
10.Klugman, S. A.、Panjer, H. H.、Willmott, G. E.(1998)。Loss models: From Data to Decisions。Loss models: From Data to Decisions。Toronto, Canada。  new window
11.McKay, R.、Keefer, T. E.(1996)。VaR is a Dangerous Technique。Corporate Finance - Searching for Systems Integration Supplement。沒有紀錄。  new window
12.Pearson, N. D.(2002)。Risk Budgeting: Portfolio Problem Solving with Value-at-Risk。Risk Budgeting: Portfolio Problem Solving with Value-at-Risk。New York, NY。  new window
13.Rockafellar, T.(1970)。Convex Analysis。Princeton Mathematics, Vol. 28。沒有紀錄。  new window
14.Williams, D.(2002)。Economic and Regulatory Capital Converge: Risk Systems Challenged。Economic and Regulatory Capital Converge: Risk Systems Challenged。MA, USA。  new window
其他
1.Hallerbach, W. G.(2001)。Capital Allocation, Portfolio Enhancement and Performance Measurement: A Unified Approach，沒有紀錄。  new window
2.Panjer, H. H.(2002)。Measurement of Risk, Solvency Requirements and Allocation of Capital within Financial Conglomerates，沒有紀錄。  new window
 
 
 
 
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