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題名：Estimating Extreme Correlation for the EVT-Type VaR--A Copula Approach
書刊名：證券市場發展季刊
作者：李志偉 引用關係／郭震坤 引用關係
作者(外文)：Lee, Chih-wei／Kuo, Cheng-kun
出版日期：2006
卷期：17:4=68
頁次：頁121-153
主題關鍵詞：Copula函數；極值理論；風險值；Copula；Extreme value theory；EVT；Value-at-risk；VaR
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:0
  • 點閱點閱:26
期刊論文
1.Artzner, P.、Delbaen, F.、Heath, D.(1997)。Thinking Coherently。Risk，10(11)，68-71。  new window
2.Frees, W. E.、Valdez, E. A.(1998)。Understanding Relationships Using Copulas。North Am. Acturial Journal，2，1-25。  new window
3.Gnedenko, B. V.(1943)。Sur la Distribution Limite du Terme Maximum d’une Serie Aleatoir。Annals of Mathematics，44，423-453。  new window
4.Genest, C.、MacKay, J.(1986)。The Joy of Copulas: Bivariate Distribution with Uniform Marginals。American Statistics，40，280-285。  new window
5.Juri, A.、Wuthrich, M. V.(2002)。Copula Convergence Theorems for Tail Events。Insurance: Mathematics and Economics，30，405-420。  new window
6.Kupiec, P.(1999)。Risk Capital and VaR。Journal of Derivatives，1999(Winter)，73-89。  new window
7.Kluppelberg, C.(1998)。VaR- a Measure for Extreme Risk。Solutions，1，53-63。  new window
8.Tiago de Oliveria, J.(1974)。Regression in Nondifferentiable Bivariate Extreme Models。Journal of the American Statistical Association，69，816-818。  new window
9.Ramchand, L.、Susmel, R.(1998)。Volatility and Cross Correlation across Major Stock Markets。Journal of Empirical Finance，5，397-416。  new window
10.McNeil, A.(1998)。History Repeating。Risk，11(1)，99。  new window
11.Hill, B. M.(1975)。A Simple General Approach to Inference about the Tail of a Distribution。The Annals of Statistics，3(5)，1163-1174。  new window
12.Jenkinson, A. F.(1955)。The Frequency Distribution of the Annual Maximum (or Minimum) Values of Meteorological Elements。Quarterly Journal of the Royal Meteorological Society，81，158-171。  new window
13.King, Mervyn、Sentana, Enrique、Wadhwani, Sushil(1994)。Volatility and Links between National Stock markets。Econometrica，62(4)，901-933。  new window
14.Longin, Francois M.(2000)。From Value at Risk to Stress Testing: The Extreme Value Approach。Journal of Banking & Finance，24(7)，1097-1130。  new window
15.Bodart, V.、Reding, P.(1999)。Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets。Journal of International Money and Finance，18，133-151。  new window
16.Longin, Francois M.、Solnik, Bruno(2001)。Extreme Correlation of International Equity Markets。Journal of Finance，56(2)，649-676。  new window
17.Hendricks, Darryll(1996)。Evaluation of Value-at-Risk Models Using Historical Data。Federal Reserve Bank of New York Economic Policy Review，2(1)，39-69。  new window
18.Longin, Francois、Solnik, Bruno(1995)。Is the correlation in international equity returns constant: 1960-1990?。Journal of International Money and Finance，14(1)，3-26。  new window
研究報告
1.Coronado, M.(2001)。Extreme Value Theory (EVT) for Risk Managers: Pitfalls and Opportunities in the Use of EVT in Measuring VaR。Universidad P. Comillas de Madrid。  new window
2.Ohanissian, A.、Russell, J. R.、Tsay, R. S.(2003)。True or Suprious Long Memory in Volatility: True or Suprious Long Memory in Volatility: Does it Matter for Pricing Options?。University of Chicago。  new window
學位論文
1.De Matteis, R.(2001)。Fitting Copulas to data(碩士論文)。The University of Zurich。  new window
圖書
1.Basle Committee on Banking Supervision(1996)。Amendment to the Capital Accord to Incorporate Market Risksy Basle。  new window
2.Dowd, K.(1998)。Beyond Value at Risk。Wiley。  new window
3.Group of Thirty(1993)。Derivatives: Practices and Principles。  new window
4.Joe, H.(1997)。Multivariate Models and Dependence Concepts。London：Champman & Halls。  new window
5.Embrechts, P.、Kluppelberg, C.、Mikosch, T.(1997)。Modelling Extremal Events for Insurance and Finance。Berlin：Springer-Verlag Berlin Heidelberg。  new window
6.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York：John Wiley & Sons。  new window
7.Jorion, Philippe(2000)。Value at Risk: The New Benchmark for Managing Financial Risk。Irvine：University of California。  new window
圖書論文
1.Embrechts, P.、McNeil, A. J.、Straumann, D.(2002)。Correlation and Dependent in Risk Management: Properties and Pitfalls。Risk Management: Value at Risk and Beyond。  new window
2.Danielsson, J.、De Vries, C. G.(2000)。Value-at-Risk and Extreme Returns。Extremes and Integrated Risk Management。Risk Book。  new window
 
 
 
 
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