| dc.contributor | 風管系 | |
| dc.creator (作者) | 謝明華 | |
| dc.date (日期) | 2022-02 | |
| dc.date.accessioned | 18-Jun-2026 13:22:48 (UTC+8) | - |
| dc.date.available | 18-Jun-2026 13:22:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Jun-2026 13:22:48 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=183026 | - |
| dc.description.abstract (摘要) | Nelson-Seigel（NS）和動態Nelson-Seigel（DNS）模型引起了學術界和監管機構的廣泛關注。例如，國際保險監督協會（IAIS）正在開發基於風險的全球保險資本標準（ICS）。 ICS採用DNS模型作為衡量利率風險的主要定量工具。因此，本計劃旨在解決DNS模型的技術問題。這些技術問題包括參數估計，多幣種建模和計算效率。 | |
| dc.description.abstract (摘要) | Nelson-Seigel (NS) and Dynamic Nelson-Seigel (DNS) models have drawn a lot of attention from academic community and regulators. For example, International Association of Insurance Supervisors (IAIS) is developing a risk-based global insurance capital standard (ICS). ICS adopts a variant of DNS model as a main quantitative tool for measuring interest rate risk. Therefore, this project is to address the technical problems of DNS models. These technical problems include parameter estimation, multi-currency modeling and computation efficiency. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST109-2410-H004-024, 109.08-110.07 | |
| dc.subject (關鍵詞) | 動態利率模型; DNS 模型; 最佳化演算法 | |
| dc.subject (關鍵詞) | Dynamic interest model; Dynamic Nelson-Seigel model; Optimization algorithms | |
| dc.title (題名) | 動態Nelson-Seigel利率模型的技術問題 | |
| dc.title (題名) | Technical Issues of Dynamic Nelson-Seigel Interest Rate Model | |
| dc.type (資料類型) | report | |
