VaR Evaluation of Bank Portfolio--Conservativeness, Accuracy and Efficiency_

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題名：	VaR Evaluation of Bank Portfolio--Conservativeness, Accuracy and Efficiency
書刊名：	財務金融學刊
作者：	劉美纓
作者(外文)：	Liu, Mei-ying
出版日期：	2005
卷期：	13:2
頁次：	頁97-128
主題關鍵詞：	風險值；厚尾；次方指數分配；Power EWMA；VaR；Fat-tail；Power EWMA；Power exponential distribution
原始連結：	連回原系統網址
相關次數：	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:1 共同引用:0 點閱:30

期刊論文
1.	Kearns, Phillip、Pagan, Adrian(1997)。Estimating the Density Tail Index for Financial Time Series。The Review of Economics and Statistics，79(2)，171-175。
2.	Vlaar, P.、Palm, F.(1993)。The message in weekly exchange rates in the European monetary system: Mean reversion, conditional heteroscasticity, and jumps。Journal of Business, Economics and Statistics，11，351-360。
3.	Huisman, R.、Koedijk, K. G.、Kool, C. J. M.、Palm, F.(2001)。Tail-Index Estimates in Small Samples。Journal of Business & Economic Statistics，19(1)，208-216。
4.	Jansen, D. W.、De Vries, C. G.(1991)。On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspectives。The Review of Economics and Statistics，73，18-24。
5.	Beine, M.、Laurent, S.、Lecourt, C.(2002)。Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates。Applied Financial Economics，12(8)，589-600。
6.	Hsieh, D.(1989)。Modeling Heteroskedasticity in Daily Foreign Exchange Rates。Journal of Business and Economic Statistics，7，307-317。
7.	Jackson, P.、Maude, D. J.、Perraudin, W.(1997)。Bank Capital & Value at Risk。Journal of Derivatives，73-89。
8.	Koedijk, K. G.、Kool, C.(1994)。Tail Estimates and the EMS Target Zone。Review of International Economics，2，153-165。
9.	Linden, M.(2001)。A Model for Stock Return Distribution。International Journal of Finance and Economics，6，159-169。
10.	Loretan, M.、Phillips, P.(1994)。Testing the Covariance Structure of Heavy-Tailed Time Series。Journal of Empirical Finance，1，211-248。
11.	Nelson, D.、Foster, D.(1994)。Asympototic Filtering Theory for Univariate ARCH Models。Econometrica，62，1-41。
12.	Varma, J. R.(1999)。Rupee-Dollar Option Pricing and Risk Measurement: Jump Processes, Changing Volatility and Kurtosis Shifts。Journal of Foreign Exchange and International Finance，13(1)，11-33。
13.	Higgins, Matthew L.、Bera, Anil K.(1992)。A Class of Nonlinear ARCH Models。International Economic Review，33(1)，137-158。
14.	Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies，1(4)，427-445。
15.	Hull, John C.、White, Alan D.(1998)。Value at risk when daily changes in market variables are not normally distributed。Journal of Derivatives，5(3)，9-19。
16.	Hill, B. M.(1975)。A Simple General Approach to Inference about the Tail of a Distribution。The Annals of Statistics，3(5)，1163-1174。
17.	Guermat, Cherief、Harris, Richerd D. F.(2002)。Robust Conditional Variance Estimation and Value at Risk。The Journal of Risk，4(2)，25-41。
18.	Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement，3(4)，653-665。
19.	Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis，25(2)，307-327。
20.	Boudoukh, J.、Richardson, M.、Whitelaw, R. F.(1997)。Investigation of a Class of Volatility Estimators。Journal of Derivatives，4(3)，63-71。
21.	Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。
22.	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。
23.	Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。
24.	Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics，69(3)，542-547。
25.	Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics，52(1/2)，5-59。
26.	Baillie, Richard T.、Bollerslev, Tim(1989)。The Message in Daily Exchange Rates: A Conditional-Variance Tale。Journal of Business & Economic Statistics，7(3)，297-305。
27.	Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。
28.	Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review，39(4)，841-862。
29.	Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives，3(2)，73-84。
30.	Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。

研究報告
1.	Lopez, J.(1998)。Methods for Evaluating Value-at-Risk Estimates。
2.	Engel, J.、Gizycki, M.(1999)。Conservatism, Accuracy & Efficiency: Comparing Value-at-Risk Models。Australian Prudential Regulation Authority。
3.	Huisman, R.、Koedijk, K. G.、Kool, C. J. M.、Palm, F.(1998)。The Fat-Tailedness of FX Returns。
4.	Kaiser, T.(1996)。One-Factor-GARCH Models for German Stocks-Estimation and Forecasting。

學位論文
1.	Wu, F. S.(2003)。Power EWMA Model in Value at Risk Estimation(博士論文)。Soochow University。

圖書
1.	Marrison, Chris(2002)。The Fundamentals of Risk Measurement。New York, NY：McGraw-Hill Book Company。
2.	Drudi, F.、Generale, A.、Majnoni, G.(1997)。Sensitivity of VaR Measures to Differing Risk Models。Banca D`Italia。
3.	Dowd, Kevin(1998)。Beyond Value-at-Risk: The New Science of Risk Management。John Wiley & Sons。
4.	Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。
5.	Jorion, Philippe(2000)。Value at Risk: The New Benchmark for Managing Financial Risk。Irvine：University of California。
6.	Greene, William H.(2000)。Econometric Analysis。Upper Saddle River, New Jersey：Prentice Hall Znternational Inc.。

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