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E.、Uryasev, S.(2001)。Asset/Liability Management for Pension Funds Using CVaR Constraints。The Journal of Risk Finance,3(1),57-71。 | 12. | Dowd, K.(2000)。VaR vs. Expected Tail Loss。Derivatives Week,Feb.,6-7。 | 13. | Mausser, H.、Rosen, D.(1998)。Beyond VaR: From Measuring Risk to Managing Risk。ALGO Research Quarterly,1(2),5-20。 | 14. | Pearson, N. D.(2000)。Value at Risk。Financial Analysts Journal,March/ April,47-67。 | 15. | Skipper, H. D.(2000)。Financial Services Integration Worldwide: Promises and Pitfalls。North American Actuarial Journal,4(3),71-108。 | 16. | Uryasev, S.(2000)。Conditional Value-at-Risk: Optimization Algorithms and Applications。Financial Engineering News,14,1-6。 | 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。 | 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。 | 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。 | 2. | Andersen, J. V.、Sornette, D.(1999)。Have Your Cake and Eat It Too: Increasing Returns While Lowering Large Risks。沒有紀錄。 | 3. | Basak, S.、Shapiro, A.(1998)。Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices。沒有紀錄。 | 4. | Edwards, P.(1999)。Managing Risk and Capital in Financial Conglomerates。沒有紀錄。 | 5. | Gaivoronski, A. A.、Pflug, G.(2000)。Value at Risk in Portfolio Optimization: Properties and Computational Approach。沒有紀錄。 | 6. | Giorgi, E. D.(2002)。A Note on Portfolio Selections under Various Risk Measures。沒有紀錄。 | 7. | Gooverats, M. L.、Kaas, R.、Dhaene, J.(2002)。Economic Capital Allocation Derived from Risk Measures。沒有紀錄。 | 8. | Grootweld, H.、Hallerbach, W. G.(2000)。Upgrading VaR from Diagnostic Metric to Decision Variable: A Wise Thing to Do?。沒有紀錄。 | 9. | Puelz, A.(1999)。Value-at-Risk Based Portfolio Optimization。沒有紀錄。 | 10. | Tasche, D.(2000)。Risk Contributions and Performance Measurement。沒有紀錄。 | 圖書1. | Markowitz, Harry M.(1959)。Portfolio Selection: Efficient Diversification of Investment。New York:Wiley。 | 2. | Marrison, Chris(2002)。The Fundamentals of Risk Measurement。New York, NY:McGraw-Hill Book Company。 | 3. | Bowers, Newton L. Jr.、Gerber, Hans U.、Hickman, James C.、Jones, Donald A.、Nesbitt, Cecil J.(1997)。Actuarial Mathematics。Society of Actuaries。 | 4. | Dowd, K.(2002)。Measuring Market Risk。New York:John Wiley and Sons, Inc.。 | 5. | Alexander, C. O.(2001)。Market Models: A Guide to Financial Data Analysis。New York:John Wiley & Sons, L。 | 6. | Penza, P.、Bansal, V. K.(2001)。Measuring Market Risk with Value at Risk。New York:Wiley。 | 7. | Jorion, P.(2001)。Value at Risk: The New Benchmark for Managing Financial Risk。McGraw-Hill。 | 8. | Bessis, J.(1999)。Risk Management in Banking。Risk Management in Banking。West Sussex, UK。 | 9. | Brandimarte, P.(2002)。Numerical Methods in Finance: A MATLAB-Based Introduction。Numerical Methods in Finance: A MATLAB-Based Introduction。New York, NY。 | 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。 | 11. | McKay, R.、Keefer, T. E.(1996)。VaR is a Dangerous Technique。Corporate Finance - Searching for Systems Integration Supplement。沒有紀錄。 | 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。 | 13. | Rockafellar, T.(1970)。Convex Analysis。Princeton Mathematics, Vol. 28。沒有紀錄。 | 14. | Williams, D.(2002)。Economic and Regulatory Capital Converge: Risk Systems Challenged。Economic and Regulatory Capital Converge: Risk Systems Challenged。MA, USA。 | 其他1. | Hallerbach, W. G.(2001)。Capital Allocation, Portfolio Enhancement and Performance Measurement: A Unified Approach,沒有紀錄。 | 2. | Panjer, H. H.(2002)。Measurement of Risk, Solvency Requirements and Allocation of Capital within Financial Conglomerates,沒有紀錄。 | |