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題名:
Interval Estimation of Value-At-Risk for Taiwan Weighted Stock Index Based on Extreme Value Theory
書刊名:
工業工程學刊
作者:
周建新
/
于鴻福
/
陳振宇
作者(外文):
Chou, Jian-hsin
/
Yu, Hong-fwu
/
Chen, Zhen-yu
出版日期:
2008
卷期:
25:1
頁次:
頁31-42
主題關鍵詞:
Value-at-Risk
;
Extreme value theory
;
Confidence interval
;
風險值
;
極值理論
;
信賴區間
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:0
點閱:47
風險值為一衡量市場風險的方法,廣受金融機構所採用。在有關風險值之相關文獻上,雖有許多的論文探討風險值的估計,不過卻多集中在風險值之點估計上。然而,點估計本身亦會產生估計誤差,具有不確定性,且可能會導致錯誤之估計結果。信賴區間為一量化指標,可以有效地用來描述來自抽樣誤差的不確定性;在實際應用上,區間估計較點估計更受喜愛。本文之目的即在應用極值理論,來估計台股指數之風險值,並建構風險值之信賴區間。此外,為了驗證本文模型之估計效率,特與張揖平等[9]所提之方法作一比較。實證結果顯示,使用極值理論所計算出之信賴區間的寬度較小;此意謂應用極值理論來估計台股指數之風險值的信賴區間,較張揖平等[9]所提之方法更有效率。
以文找文
Value-at-Risk (VaR) is a tool widely used by financial institutions to report and measure market risk. There have been a great number of studies in estimating VaR. Most of which are focused on the point estimation of VaR. However, in estimating a quantity, a point estimate can be misleading, because it may or may not be close to the quantity being estimated. So we cannot know the accuracy of estimating the quantity. Confidence interval (CI) is one of the most useful manners of quantifying uncertain due to "sampling error". Besides, the mathematics of interval estimation and hypotheses testing are closely re-lated. Hence, in practical situations, the interval estimation is more preferred than the point estimation. This paper is aimed at applying the extreme value theory (EVT) to evaluate CIs of the VaR of Taiwan weighted stock index. To assess the efficiency of the proposed method in this paper, comparisons with the methods studied in Chang et al. [9] are also made. The empirical results show that the widths of the CIs obtained by the EVT model are narrower than those obtained by Chang et al. [9]. This indicates that the EVT model is more efficient in estimating the VaR of Taiwan weighted stock index than those in Chang et al. [9].
以文找文
期刊論文
1.
Ghose, D.、Kroner, K. F.(1995)。The Relationship between GARCH and Symmetric Stable Distributions: Finding the Source of Fat Tails in the Financial Data。Journal of Empirical Finance,2(3),225-251。
2.
Bekiros, S. D.、Georgoutsos, D. A.(2005)。Estimation of Value-at-Risk by Extreme Value and Conventional Methods: A Comparative Evaluation of Their Predictive Performance。Journal of International Financial Markets, Institutions and Money,15(3),209-228。
3.
Danielsson, J.、De Vries, C. G.(2000)。Value-at-Risk and Extreme Returns。Annales d'Economie et de Statistique,60,239-270。
4.
Longin, F. M.(1999)。Optimal Margin Level in Futures Markets: Extreme Price Movements。The Journal of Futures Market,19(2),127-152。
5.
Broussard, J. P.、Booth, G. G.(1998)。The Behavior of the Extreme Values in Germany's Stock Index Futures: An Application to Intradaily Margin Setting。European Journal of Operational Research,104(3),393-402。
6.
Boothe, P.、Glassman, P. D.(1987)。The Statistical Distribution of Exchange Rates: Empirical Evidence and Economic Implication。Journal of International Economics,22(3),297-320。
7.
Bali, T. G.(2003)。An Extreme Value Approach to Estimating Volatility and Value at Risk。Journal of Business,76(1),83-108。
8.
Bystrom, H. N. E.(2004)。Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory。International Review of Financial Analysis,13(2),133-152。
9.
Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。
10.
Gençay, R.、Selçuk, F.、Ulugülyağci, A.(2003)。High Volatility, Thick Tails and Extreme Value Theory in Value-at-risk Estimation。Insurance: Mathematics and Economics,33(2),337-356。
11.
Longin, Francois M.(2000)。From Value at Risk to Stress Testing: The Extreme Value Approach。Journal of Banking & Finance,24(7),1097-1130。
12.
Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。
13.
Jorion, P.(1996)。Risk 2: measuring the risk in value at risk。Financial Analysts Journal,52(6),47-56。
14.
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。
15.
張揖平、洪明欽、吳一芳(20030700)。「風險值的風險」之探討--以臺灣加權股價指數和新臺幣對美元匯率為例。風險管理學報,5(2),195-214。
延伸查詢
16.
Gençay, R.、Selçuk, F.(2004)。Extreme Value Theory and Value at Risk: Relative Performance in Emerging Markets。International Journal of Forecasting,20(2),287-303。
17.
Theobald, M.、Burridge, P.、Cadle, J.、Ho, L.、Ho, L. C.、Theobald M.(2000)。Value at Risk: Applying the Extreme Value Approach to Asian Markets in the Recent Financial Turmoil。Pacific-Basin Finance Journal,8,249-275。
18.
McNeil, A.、Frey, R.(2000)。Estimation of Tail-related Risk Measures for Heterocedastic Financial Time Series: An Extreme Value Approach。Journal of Empirical Finance,7,271-300。
19.
Danielsson, J.、Hartmann, P.、C., de Vries(1998)。The Cost of Conservatism。Risk,11,101-103。
20.
Fernandez, V.(2005)。Risk Management under Extreme Events。International Review of Financial Analysis,14(2),113-148。
圖書
1.
David, H. A.(1981)。Order Statistics。NY:John Wiley and Sons。
2.
Beder, T. S.(1997)。Report Card on Value at Risk: High Potential but Slow Starter。Report Card on Value at Risk: High Potential but Slow Starter。London, UK。
3.
Sen, P. K.、Singer, J. M.(1993)。Large Sample Methods in Statistics: An Introduction with Applications。New York, NY:Chapman & Hall。
4.
Huschens, S.(1997)。Confidence Intervals for Value at Risk。Risk Measurement, Econometrics and Neural Networks。Heidelberg, Germany。
圖書論文
1.
Ridder, T.(1997)。Basics of Statistical VaR-estimation。Risk Measurement, Econometrics and Neural Networks。Heidelberg:Physica-Verlag。
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