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題名：風險值方法之比較
書刊名：證券市場發展季刊
作者：陳文華 引用關係／王佳真 引用關係／吳壽山 引用關係
作者(外文)：Chen, Wun-hwa／Wang, Jia-jang／Wu, Soushan
出版日期：1999
卷期：11:1=41
頁次：頁139-162
主題關鍵詞：風險值；分析性方法；模擬性方法；常態一階方法；常態多階方法；Value at risk；VaR；Analytical based methods；Simulation-based methods
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(1) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:23
期刊論文
1.Golub, B. W.、Tilman, L. M.(1997)。Measuring Yield Curve Risk Using Principal Components Analysis, Value at Risk, and Key Rate Durations。Journal of Portfolio Management，23(4)，72-84。  new window
2.Venkataraman, S.(1997)。Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques。Economic Perspectives，21(2)，2-13。  new window
3.Beder, Tanya Styblo(1995)。VAR: Seductive but Dangerous。Financial Analysts Journal，51(5)，12-24。  new window
4.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives，4(3)，7-49。  new window
5.Jorion, P.(1996)。Risk 2: measuring the risk in value at risk。Financial Analysts Journal，52(6)，47-56。  new window
6.Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance Matrices Used in Value at Risk Models。Journal of Derivatives，4(3)，50-62。  new window
7.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
8.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives，3(2)，73-84。  new window
9.Beder, T. S.(1996)。Derivatives Under Control. Calculate and Apply Value-at-Risk (VAR) Measures so They Fit Your Company。Corporate Cashflow，17(1)，26-28。  new window
10.Fong, G.、Vasicek, O. A.(1997)。A Mutidimensional Framework for Risk Analysis。Financial Analysts Journal，July/ Aug，49-120。  new window
11.Jackson, P.、Maude, D. J.、Perraudin, W.(1997)。Bank Capital and Value at Risk。The Journal of Derivatives，4，73-90。  new window
12.Simons, Katerina(1996)。Value at Risk - New Approaches to Risk Management。New England Economic Review，Sep/Oct，3-13。  new window
13.Eng, F. H. T.、Ho, T. S. Y.、Chen, M. Z. H.(1996)。VAR Analytics: Portfolio Structure, Key Rate Convexities, and VAR Betas: A New Approach to Determining the VAR of a Portfolio。The Journal of Portfolio Management，23(1)，89-98。  new window
14.Hopper, G. P.(1996)。Value at Risk: A New Methodology for Measuring Portfolio Risk。Federal Reserve Bank of Philadelphia Business Review，July/ Aug.，19-30。  new window
15.Singh, M. K.(1997)。Value at Risk Using Principal Components Analysis - For Term Structure-dependent Securities and FX Derivatives。The Journal of Portfolio Management，Fall，101-112。  new window
16.Uyemura, D. G.(1997)。EVA: A Top-Down Approach to Risk Management。The Journal of Lending & Credit Risk Management，79(6)，40-47。  new window
17.Estrella, A. D.、Hendricks, J. Kambhu、Shin, S.、Walter, S.(1994)。The Price Risk of Options Positions: Measurement and Capital Requirements。Federal Reserve Bank of New York Quarterly Review，19(2)，27-43。  new window
學位論文
1.蔡維溢(1997)。以VAR風險計量模型衡量衍生性金融商品之市場風險(碩士論文)。中原大學。  延伸查詢new window
圖書
1.Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。  new window
2.Garman, M. B.(1997)。Making VaR Proactive。Making VaR Proactive。沒有紀錄。  new window
3.Garman, M. B.(1997)。Ending the Search for Component VaR。Ending the Search for Component VaR。沒有紀錄。  new window
4.Group of Thirty(1993)。Derivatives: Practices and Principles。Washington, DC：Group of Thirty。  new window
其他
1.Morgan, J. P.(1995)。RiskMetrics，0。  new window
2.Basle Committee on Banking Supervision(1997)。An Internal Model-Basle Approach to Market Risk Capital Requirements，Basel, Switzerland。  new window
3.Zangari, Peter(1995)。An improved methodology for measuring VaR，0。  new window
 
 
 
 
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