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引文資料
題名:
異質變異資產之成份風險值評價投資組合風險值:極值方法之應用
書刊名:
管理與系統
作者:
林楚雄
/
王韻怡
作者(外文):
Lin, Chu-hsiung
/
Wang, Yun-yi
出版日期:
2008
卷期:
15:1
頁次:
頁33-53
主題關鍵詞:
成份風險值
;
投資組合風險值
;
極值理論
;
GARCH模型
;
Component VaR
;
Portfolio VaR
;
Extreme value theory
;
GARCH model
原始連結:
連回原系統網址
相關次數:
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:0
共同引用:
6
點閱:54
本研究提出藉由加總個別資產成份風險值(Component VaR)以得到投資組合風險值的一個方法,此方法不但可減少共變異數估計的個數,而且由於成份風險值的計算,提供了各資產部位對於整體投資組合風險值的貢獻程度,因而可作爲風險調整的依據。首先,本文利用成份風險值(Component VaR)的分析方法,解析得到可將一個投資組合風險值分解成爲各項資產成份風險值的總和。因此,估計一個投資組合風險值的問題將可轉化爲估計投資組合中個別資產成份風險值的問題,進而可避免估計投資組合風險值時需要面臨估計變異數與共變異數的複雜問題,尤其當投資組合的數目眾多時。其次,爲了解決資產報酬分配具有厚尾以及異質變異數的問題,本文使用考慮異質變異數的極值方法以估計成份風險值。本研究以4種股價指數所建構的投資組合來驗證本文方法的準確性。經失敗率、平均失敗誤差以及Kupiec(1995)之非條件與條件涵蓋比率檢定結果,顯示在高信賴水準下,新估計法具有高度的準確性。
以文找文
This study proposes a new approach to efficiently and precisely estimating portfolio VaR. This approach not only simplifies the procedure of estimation, but also solves the bias problems resulted from fat-tails and heteroskedasticity of return distributions. We first employ component VaR (CVaR) analysis to decompose the portfolio VaR as the sum of each CVaR. Consequently, this decomposition can lower down the complexity existing in estimating the variance and covariance of component asset returns. This simplification takes on a special significance when the portfolio is highly complex. In addition, to precisely estimate the portfolio VaR, we fit the component return distributions by the GARCH model, and then turn to estimate their left-tail indices through the application of extreme value theory (EVT). The tail index derived can further lead to the computation of individual VaR and component VaR of each component asset. The aggregate portfolio VaR can thus be determined by adding up the entire CVaRs. To verify the validity of the proposed approach, we present analysis of failure ratio, the bias of failure loss and Kupiec test (1995). All the results show that the proposed approach significantly improves the estimation efficiency and accuracy, which also shed light on the development of risk management theory as well as portfolio strategies.
以文找文
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.
Poon, S. H.、Rockinger, M.、Tawn, J.(2004)。Extreme-value Dependence in Financial Markets: Diagnostics, Models and Financial Implications。Review of Financial Studies,17(2),581-610。
3.
Hall, P.(1990)。Using the Bootstrap to Estimate Mean Square Error and Select Smoothing Parameter in Nonparametric Problems。Journal of Multivariate Analysis,32,177-203。
4.
Huisman, R.、Koedijk, K. G.、Pownall, R. A. J.(1998)。VaR-x: Fat Tails in Financial Risk Management。Journal of Risk,1(1),47-61。
5.
Tse, Y.、Tsui, A.(2002)。A multivariate GARCH model with time-varying correlations。Journal of Business and Economic Statistics,20,351-362。
6.
Bali, T. G.(2003)。An Extreme Value Approach to Estimating Volatility and Value at Risk。Journal of Business,76(1),83-108。
7.
Diebold, F.、Schuermann, T.、Stroughair, J.(2000)。Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management。Journal of Risk Finance,1,30-36。
8.
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。
9.
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。
10.
McNeil, A. J.、Frey, R.(2000)。Estimation of Tail-related Risk Measure for Heteroscedastic Financial Time Series: An Extreme Value Approach。Journal of Empirical Finance,7(3/4),271-300。
11.
Quintos, C.、Fan, Z.、Phillips, Peter C. B.(2001)。Structural Change Tests in Tail Behavior and the Asian Crisis。Review of Economic Studies,68(3),633-663。
12.
Billio, M.、Pelizzon, L.(2000)。Value-at-Risk: A Multivariate Switching Regime Approach。Journal of Empirical Finance,7(5),531-554。
13.
Hill, B. M.(1975)。A Simple General Approach to Inference about the Tail of a Distribution。The Annals of Statistics,3(5),1163-1174。
14.
Longin, F. M.(1996)。The Asymptotic Distribution of Extreme Stock Market Returns。Journal of Business,69(3),383-408。
15.
Danielsson, J.、De Vries, C. G.(1997)。Tail Index and Quantile Estimation with Very High Frequency Data。Journal of Empirical Finance,4(2/3),241-257。
16.
Guermat, Cherief、Harris, Richerd D. F.(2002)。Robust Conditional Variance Estimation and Value at Risk。The Journal of Risk,4(2),25-41。
17.
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。
18.
Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。
19.
林楚雄、陳宜玫(20020800)。臺灣股票市場風險值估測模型之實證研究。管理學報,19(4),737-758。
延伸查詢
20.
Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。
21.
Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。
22.
Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。
23.
Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。
24.
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。
25.
Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。
26.
Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。
27.
Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。
28.
Barone-Adesi, G.、Giannopoulos, K.、Bourgoin, F.(1998)。Don't Look Back。Risk,11(8),100-103。
29.
Pownall, R. A.、Koedijk, K. G.(1999)。Capturing Downside Risk in Financial Markets: The Case of the Asian Crisis。Journal of International Money and Finance,18,853-870。
30.
Carroll, R. B.、Perry, T.、Yang, H.、Ho, A.(2001)。A New Approach to Component VAR。Journal of Risk,3,57-65。
31.
Beatriz, V.(2000)。Computing Robust Risk Measures in Emerging Equity Markets Using Extreme Value Theory。Emerging Markets Quarterly,4,25-46。
32.
Hallerbach, W. G.(2002)。Decomposing Portfolio Value-at-risk: A General Analysis。Journal of Risk,5(2),1-18。
33.
Mason, D. M.(1982)。Laws of Large Numbers for Sums of Extreme Values。Annals of Probability,10,754-764。
34.
Koedijk, K.、Stork, P.、De Vries, C. G.(1992)。Differences between Foreign Exchange Rate Regimes: The View from the Tails。Journal of International Money and Finance,11,462-473。
35.
Kroner, K. F.、Ng, V. K.(1998)。Modeling Asymmetric Comovements of Assets Returns。Review of Financial Studies,11,817-844。
36.
Wagner, N.、Marsh, T. A.(2005)。Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes。Journal of Empirical Finance,12,165-185。
37.
Koedijk, K.、Schafgans, M. M. A.、De Vries, C. G.(1990)。The Tail Index of Exchange Rate Returns。Journal of International Economics,29(11),93-108。
38.
Ljung, G.、Box, G.(1978)。On a Measure of a Lack of Fit in Time Series Models。Biometrica,65,297-303。
研究報告
1.
Pictet, O.、Dacorogna, M.、Müller, U.(1996)。Hill, Bootstrap and Jackknife Estimators for Heavy Tails。Olsen & Associates。
2.
Burns, P.(2005)。Multivariate GARCH with Only Univariate Estimation。0。
圖書
1.
Morgan, J. P.(1995)。Riskmetrics Technical Manual。New York, NY:J. P. Margan。
2.
Jorion, P.(2000)。Value at Risk。McGraw-Hill。
3.
Alexander, C. O.(2001)。Orthogonal GARCH。Mastering Risk, Vol. 2。0。
其他
1.
Goorbergh, R. V. D.,Vlaar, P.(1999)。Value-at-risk Analysis of Stock Returns Historical Simulation, Variance Techniques or Tail Index Estimation?,0。
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