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題名:越南臺商「流動性調整風險值」之實證研究
書刊名:臺灣銀行季刊
作者:蔡垂君 引用關係陳相伃李宗儒
出版日期:2019
卷期:70:1
頁次:頁141-171
主題關鍵詞:越南臺商流動性調整風險值回溯測試壓力測試
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:24
  • 點閱點閱:9
期刊論文
1.Chung, Kee H.、Elder, John、Kim, Jang C.(2010)。Corporate Governance and Liquidity。Journal of Financial and Quantitative Analysis,45(2),265-291。  new window
2.李沃牆、柯中偉(20110400)。外匯投資組合之風險值評估--分量迴歸的應用。中原企管評論,9(1),97-116。new window  延伸查詢new window
3.王元章、陳振遠、張眾卓(20120600)。公司治理與市場流動性。證券市場發展,24(2)=94,125-178。new window  延伸查詢new window
4.Al Janabi, Mazin A. M.(2011)。A Generalized Theoretical Modeling Approach for the Assessment of Economic Capital under Asset Market Liquidity Risk Constraints。The Service Industries Journal,31(13),2193-2221。  new window
5.沈大白、楊佳寧、黃于珍(2002)。流動性風險之衡量。貨幣觀測與信用評等,37,115-127。  延伸查詢new window
6.廖俊男(20050900)。金融體系壓力測試之認識與應用。中央銀行季刊,27(3),45-78。new window  延伸查詢new window
7.蔡垂君、李存修(20150400)。重新評估臺灣指數期貨之流動性調整風險值。期貨與選擇權學刊,8(1),1-39。new window  延伸查詢new window
8.沈大白、敬永康(20010100)。壓力測試(Stress Test)--風險值系統的重要輔助工具。貨幣觀測與信用評等,27,89-100。  延伸查詢new window
9.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。  new window
10.林祈昱(20170200)。在臺商的基礎上推動新南向政策--臺商的鏈結與媒合。臺灣經濟研究月刊,40(2)=470,57-63。new window  延伸查詢new window
11.Simonian, J.(2011)。Liquidity on the Outside from the Inside。Applied Economics Letters,18,1591-1593。  new window
12.Jobst, A. A.(2014)。Measuring systemic risk-adjusted liquidity (SRL) model approach。Journal of Banking and Finance,45,270-287。  new window
13.Jarque, C. M.、Bera, A. K.(1987)。A tests for normality of observations and regression residuals。International Statistical Review,55,163-172。  new window
14.Papavassiliou, V. G.(2013)。A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework。Journal of International Financial Markets, Institutions and Money,24,184-197。  new window
15.楊昊(20160700)。臺灣新南向政策的格局與路向。全球政治評論,55,11-18。new window  延伸查詢new window
16.Li, B.、Sun, Q.、Wang, C.(2014)。Liquidity Risk and Stock Returns: Evidence from Japan。European Financial Management,20(1),126-151。  new window
17.絲文銘、范心慈(20120500)。臺灣股票流動性調整風險值之計算。貨幣觀測與信用評等,95,78-91。  延伸查詢new window
18.李存修、陳若鈺(20000100)。臺灣股匯市風險值(VaR)模型之估計、比較與測試。金融財務,5,51-75。  延伸查詢new window
19.沈大白、楊佳寧(20020100)。壓力測試之事件情境建構方法分析。貨幣觀測與信用評等,33,153-161。  延伸查詢new window
20.林朝陽(20070500)。壓力測試逆向搜尋法之實證研究。貨幣觀測與信用評等,65,64-71。  延伸查詢new window
21.林姿儀(20170200)。新南向政策的風險管理與投資保障協定。臺灣經濟研究月刊,40(2)=470,64-71。new window  延伸查詢new window
22.Bar-Yosef, Sasson、Prencipe, Annalisa(2013)。The Impact of Corporate Governance and Earnings Management on Stock Market Liquidity in a Highly Concentrated Ownership Capital Market。Journal of Accounting, Auditing & Finance,28(3),292-316。  new window
23.Chang, Xin、Chen, Yangyang、Zolotoy, Leon(2017)。Stock Liquidity and Stock Price Crash Risk。Journal of Financial & Quantitative Analysis,52,1605-1637。  new window
24.Chen, Mumin、Chattaraj, Saheli(20171000)。New Southbound Policy in India and South Asia。Prospect Journal,18,35-62。new window  new window
25.Cheriyan, N.、Lazar, D.(2017)。Liquidity-adjusted Capital Asset Pricing Model In Indian Stock Market。SCMS Journal of Indian Management,14,25-34。  new window
26.Cosandey, D.(2012)。Liquidity Adjusting value-at-risk for market liquidity。Risk,25(8),94-97。  new window
27.Gambetta, N.、García-Benau, M. A.、Zorio-Grima, A.(2017)。Stress test impact and bank risk profile: Evidence from macro stress testing in Europe。International Review of Economics and Finance,61,347-354。  new window
28.Grody, A. D.(2012)。Risk-Adjust the Global Finance Culture。American Banker,177,8-12。  new window
29.Li, W. X.、Chen, Clara C. S.、French, J.(2012)。The Relationship Between Liquidity, Corporate Governance, and Firm Valuation: Evidence from Russia。Emerging Markets Review,13,465-477。  new window
30.Miodrag, D.(2016)。Stress Testing Tool in Banking Risk Management--an Evidence from Serbia。Institute of Economic Sciences,49,20-24。  new window
31.Mozumder, S.、Dempsey, M.、Kabir, M. H.(2017)。Back-testing extreme value and Lévy value-at-risk models: Evidence from international futures markets。Journal of Risk Finance,18,88-118。  new window
32.Prommin, P.、Jumreornvong, S.、Jiraporn, P.(2014)。The Effect of Corporate Governance on Stock Liquidity: The Case of Thailand。International Review of Economics & Finance,32,132-142。  new window
33.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。  new window
34.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
35.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。  new window
36.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
37.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
研究報告
1.Bangia, A.、Diebold, F. X.、Schuermann, T.、Strounghair, J. D.(1999)。Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management。Financial Institutions Center at the Wharton School。  new window
2.Chiang, R.、Wei, K. C. John(1995)。Using Daily Security Prices to Estimate Volatility and Regression Models under Price Limits。Department of Finance, Hong Kong University of Science and Technology。  new window
學位論文
1.顏月妙(2009)。金融海嘯時期應用風險值控管投資組合之研究(碩士論文)。國立臺北大學。  延伸查詢new window
圖書
1.Jorion, P.(2006)。Value at Risk: The new benchmark for controlling market risk。McGraw-Hill Press。  new window
圖書論文
1.Bangia, A.、Diebold, F. X.、Schuermann, T.、Strounghair, J. D.(2001)。Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management。Risk Management: The State of the Art。The Springer US。  new window
 
 
 
 
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