| 期刊論文1. | Longin, Francois M.(2000)。From Value at Risk to Stress Testing: The Extreme Value Approach。Journal of Banking & Finance,24(7),1097-1130。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Kuritzkes, A.、Schuermann, T.、Weiner, S. M.(2003)。Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates。Brookings-Wharton Papers on Financial Services,2003(1),141-193。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | 方慧娟(20050600)。金融風險實證案例與整體風險管理。存款保險資訊季刊,18(2),117-144。 延伸查詢![new window](/gs32/images/newin.png) | 4. | 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) | 5. | 沈大白、賴柏志(20040200)。壓力測試於信用風險模型之應用。信用資訊,2004(2),38-49。 延伸查詢![new window](/gs32/images/newin.png) | 6. | Artzner, Philippe、Delbaen, Freddy、Eber, Jean-Marc、Heath, David(1999)。Coherent measures of risk。Mathematical Finance,9(3),203-228。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 會議論文1. | Greenspan, Alan(2000)。Remarks (on Banking evolution)。The 36th Annual Conference on Bank Structure and Competition of Federal Reserve Bank of Chicago,(會議日期: May 4)。Chicago, Illinois:Federal Reserve Bank of Chicago。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 研究報告1. | Blaschke, W.、Jones, M. T.、Majnoni, G.、Peria, S. M.(2001)。Stress testing of financial systems: an overview of issues, methodologies, and FSAP experiences。Washington, DC:IMF。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Jones, Matthew T.、Hilbers, Paul、Slack, Graham(2004)。Stress Testing Financial Systems: What to Do When the Governor Calls。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | Basel Committee on Banking Supervision(2004)。International convergence of capital measurement and capital standards :a revised framework。Basel:Bank for International Settlements。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Risk Metrics Group(1999)。Risk Management: A Practical Guide。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Samu, Peura、Jokivuolle, Esa(2003)。Simulation-based stress testing of banks regulatory capital adequacy。Suomen Panki Bank of Finland。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Committee on the Global Financial System(2005)。Stress Testing at Major Financial Institutions: Survey Results and Practice。Bank for International Settlements。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | 周大慶(2002)。風險管理的新標竿--風險值理論與應用。智勝文化。 延伸查詢![new window](/gs32/images/newin.png) | 6. | Basel Committee on Banking Supervision(1998)。Amendment to the Capital Accord to incorporate Market Risks. (January 1996, updated to April 1998)。Basel:Bank for International Settlements。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Chorafas, Dimitris N.(2002)。Stress Testing: Risk Management Strategies for Extreme Events。Euromoney Institutional Investor。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Citigroup(2004)。Citigroup Annual Report。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Citigroup(2005)。Citigroup Market Risk Management Stress Test Overview。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Committee on the Global Financial System(2000)。Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues。Bank for International Settlements Basel。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Embrechts, Paul(2004)。Extremes and Integrated Risk Management。UBS Warburg。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Hong Kong Monetary Authority(2003)。Stress-testing。Supervisory Policy Manual。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Jorion, Philppe(2001)。Value at Risk: The Benchmark for Managing Financial Risk。New York:McGraw-Hill。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Monetary Authority of Singapore(2002)。Consultative Paper on Credit Stress-testing。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Oesterreichische Nationalbank(2001)。Stress Testing: Guidelines on Market Risk。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Pearson, Neil D.(2003)。Risk Budgeting: Portfolio Problem Solving with Value-at-Risk。New York:Wiley。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 17. | Gallati, Reto R.(2003)。Risk Management and Capital Adequacy。New York, NY:McGraw-Hill。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 其他1. | Derivatives Policy Group(1995)。Framework for Voluntary Oversight。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Dowd, Kevin(2004)。An Informal Introduction to Copulas。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Financial Services Authority(2005)。Stress Testing。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書論文1. | McNeil, Alexander J.(1999)。Extreme Value Theory for Risk Managers。Internal Modelling and CAD II。RISK Books。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |