Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/32320| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 沈中華 | zh_TW |
| dc.contributor.author | 林志坤 | zh_TW |
| dc.creator | 林志坤 | zh_TW |
| dc.date | 2005 | en_US |
| dc.date.accessioned | 2009-09-14T05:39:49Z | - |
| dc.date.available | 2009-09-14T05:39:49Z | - |
| dc.date.issued | 2009-09-14T05:39:49Z | - |
| dc.identifier | G0093255027 | en_US |
| dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/32320 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 財政研究所 | zh_TW |
| dc.description | 93255027 | zh_TW |
| dc.description | 94 | zh_TW |
| dc.description.abstract | 風險值(Value at Risk, VaR)為衡量金融風險最重要之工具，而由於許多文獻皆實證指出金融資產報酬率為厚尾分配，導致傳統上假設報酬率為常態分配將會低估金融資產所面對之下方風險，因此須運用極值理論結合風險值估計來捕捉厚尾，提升風險值估計之準確性。\r\n 本研究使用簡單加權移動平均法下之Normal VaR模型與VaR-x模型，及在指數加權移動平均法下之EWMA VaR-x模型來估計股票、外匯及投資組合之風險值，並進行回顧測試及失敗率檢定以評估模型準確性，實證結果指出以VaR-x表現最佳，其模型失敗率皆無顯著異於理論失敗率。然而結果亦指出EWMA VaR-x之模型失敗率過低，可能存在高估風險值的問題，但若投資標的為較厚尾之金融資產時，其失敗率卻相當接近於理論失敗率。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論\r\n第一節 研究動機及目的 1\r\n第二節 研究內容及架構 3\r\n第二章 文獻回顧\r\n第一節 厚尾對風險值估計之影響 4\r\n第二節 極值理論與尾部指數 5\r\n第三章 研究方法\r\n第一節 尾部指數估計式 7\r\n第二節 VaR與VaR-x 10\r\n第三節 投資組合之風險值 12\r\n第四節 回顧測試 14\r\n第四章 實證結果\r\n第一節 資料統計分析及尾部指數估計 16\r\n第二節 實證結果分析 23\r\n第五章 結論 38\r\n參考文獻 39 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0093255027 | en_US |
| dc.subject | 尾部指數 | zh_TW |
| dc.subject | HKKP估計式 | zh_TW |
| dc.subject | VaR-x | en_US |
| dc.title | VaR-x在股票、外匯及投資組合之應用 | zh_TW |
| dc.type | thesis | en |
| dc.relation.reference | Coles, S., (2001), An introduction to statistical modeling of extreme values, Springer, London; New York | zh_TW |
| dc.relation.reference | Dacorogna, M., U. Müller, O. Pictet and C. de Vries, (1995), “The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets”, Social Science Research Network. | zh_TW |
| dc.relation.reference | Danielsson, J. and C. de Vries, (2000), “Value-at-Risk and Extreme Returns”, Annales d`Economie et de Statistique, pp.239-270. | zh_TW |
| dc.relation.reference | De Haan, L. and S. Resnick, (1980), “A Simple Asymptotic Estimate for the Index of a Stable Distribution”, Journal of the Royal Statistical Society, Series B, 42(1), pp.83-87. | zh_TW |
| dc.relation.reference | Hill, B., (1975), “A Simple General Approach to Inference About the Tail of a Distribution”, Annuals of Statistics, 3(5), pp.1163-1174 | zh_TW |
| dc.relation.reference | Huisman, R., K. Koedijk, C. Kool and F. Palm, (1997), “Fat Tails in Small Samples”, Social Science Research Network. | zh_TW |
| dc.relation.reference | Huisman, R., K. Koedijk, C. Kool and F. Palm, (1998), “The Fat-Tailedness of FX Returns”, Social Science Research Network. | zh_TW |
| dc.relation.reference | Huisman, R., K. Koedijk and R. Pownall, (1998) “VaR-x: Fat Tails in Financial Risk Management”, Journal of Risk, 1, pp.47-62. | zh_TW |
| dc.relation.reference | Huisman, R., K. Koedijk, C. Kool and F. Palm, (2001), “Tail-Index Estimates in Small Samples”, Journal of Business & Economic Statistics, 19(2), pp.208-216 | zh_TW |
| dc.relation.reference | Jansen, D. and C. de Vries, (1991), “On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective”, The Review of Economics and Statistics, 73(1), pp.18-24 | zh_TW |
| dc.relation.reference | Jorion, P., (2001), Value at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill, New York | zh_TW |
| dc.relation.reference | Jondeau, E. and M. Rockinger, (2003), “Testing for differences in the tails of stock-market returns”, Journal of Empirical Finance, 10(5), pp.559-581 | zh_TW |
| dc.relation.reference | J. P. Morgan, (1996), RiskMetricsTM－Technical Document, Fourth Edition, New York | zh_TW |
| dc.relation.reference | Kearns, P. and A. Pagan, (1997), “Estimating the Density Tail Index for Financial Time Series”, The Review of Economics and Statistics, 79(2), pp.171-175 | zh_TW |
| dc.relation.reference | Koedijk, K. and R. Pownal, (1999), “Capturing Downside Risk in Financial Markets: the Case of the Asian Crisis”, Journal of International Money and Finance, 18, pp.853-870 | zh_TW |
| dc.relation.reference | Kupiec, P., (1995), “Techniques for Verifying the Accuracy of Risk Measurement Models”, Journal of Derivatives, 3, pp.73-84 | zh_TW |
| dc.relation.reference | Loretan, M. and P. Phillips, (1994), “Testing the Covariance Stationarity of Heavy-Tailed Time Series, Journal of Empirical Finance, 1(2), pp.211-248 | zh_TW |
| dc.relation.reference | Mason, D., (1982), “Law of Large Numbers for Sums of Extremes Values”, The Journal of Probability, 10(3), pp.754-764 | zh_TW |
| dc.relation.reference | McNeil, A., (1999), “Extreme Value Theory for Risk Managers”, ETH Zurich | zh_TW |
| dc.relation.reference | Pickands, J., (1975), “Statistical Inference Using Extreme Order Statistics”, The Annals of Statistics, 3(1), pp.119-131 | zh_TW |
| dc.relation.reference | Pictet, O., M. Dacorogna, and U. Müller, (1996), “Hill, Bootstrap and Jackknife Estimators for Heavy Tails”, Working Papers from Olsen and Associates. | zh_TW |
| item.fulltext | With Fulltext | - |
| item.languageiso639-1 | en_US | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.cerifentitytype | Publications | - |
| item.grantfulltext | open | - |
| item.openairetype | thesis | - |
| Appears in Collections: | 學位論文 | |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| index.html | 115 B | HTML2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.