| dc.contributor.advisor | 謝淑貞 | zh_TW |
| dc.contributor.author (Authors) | 林宥呈 | zh_TW |
| dc.creator (作者) | 林宥呈 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 11-Sep-2009 17:10:50 (UTC+8) | - |
| dc.date.available | 11-Sep-2009 17:10:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Sep-2009 17:10:50 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923510161 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30076 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 92351016 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 風險值已是一個廣被接受與運用的風險控管工具，它定義為持有某資產一段期間，在一定的信賴水準下，所可能遭受的最大損失。也就是評估目前所持有部位的風險，並依此評估此暴露是否適當。而如何運用風險值作為事前風險控管工具，更是一個新興的研究方向。風險值的估計模型隨著風險值概念的普及，發展出不同的估計方法；不同的估計方法，也會影響資產配置結果。本文以美國紐約商業交易所（NYMEX）發行之CMX-GOLD 100 OZ 黃金期貨為研究對象，以此探討隨著每日的價格波動，並利用極值理論探討其VaR，資料乃採用J.P.Morgan 建議的1 天、一週交易日5 天， 值即為一般用的0.05，而歷史資料的評估期間則為CMX-GOLD 100 OZ上市交易日從1990 年3 月26日至2005年3月24日，共計有3914筆日資料。 | zh_TW |
| dc.description.tableofcontents | 第一章.緒論....................................................1 第二章.文獻探討................................................5 第一節.風險值..................................................5 第二節.極值理論................................................6 第三章.研究方法................................................8 第一節.極值理論之理論模型......................................8 第二節.風險值之理論模型.......................................10 第四章.實證結果分析...........................................15 第一節.研究對象...............................................15 第二節.資料分析...............................................16 第三節.實證分析...............................................21 第五章.結論...................................................23 參考文獻 .....................................................24 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923510161 | en_US |
| dc.subject (關鍵詞) | 極值理論 | zh_TW |
| dc.subject (關鍵詞) | 黃金期貨 | zh_TW |
| dc.subject (關鍵詞) | 風險值 | zh_TW |
| dc.title (題名) | 極值理論在黃金期貨風險值之應用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | 2. Andersen, T.G., and T. Bollerslev, 1998, Answering the Skeptics: Yes,Standard Volatility Models Do Provide Accurate Forecasts, International Economic Review, 39, 885-905. | zh_TW |
| dc.relation.reference (參考文獻) | 3. Arak, M and R.E. Cook, 1997, Do Daily Price Limits Act as Magnets The case of Treasury Bond Futures, Journal of Financial Services Research, 12,5-20. | zh_TW |
| dc.relation.reference (參考文獻) | 4. Booth, G.G., J. P. Broussard, T. Martikainen, and V. Puttonen, 1997,Prudent Margin Levels in the Finnish Stock Index Futures Markets,Management Science, 43, 1177-1188. | zh_TW |
| dc.relation.reference (參考文獻) | 5. Brennan, M.J., 1986, A Theory of Price Limits in Futures Markets, Journalof Finance Economics, 16, 213-233. | zh_TW |
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| dc.relation.reference (參考文獻) | 7. Cotter, J., 2001, Margin Excessdences for European Stock Index Futures Using Extreme Value Theory, Journal of Banking and Finance, 25,1474-1502. | zh_TW |
| dc.relation.reference (參考文獻) | 8. De Haan, L. and S.I. Resnick, 1980, A Simple Asymptotic Estimate for the Index of a Stable Distribution, Journal of the Royal Stat. Soc. B, 42, 83-87. | zh_TW |
| dc.relation.reference (參考文獻) | 9. Danielsson, J., and G.G. de Vries, 1997, Tail Index and Quantile Estimation with Very High Frequency Data, Journal of Empirical Finance, 4,241-257. | zh_TW |
| dc.relation.reference (參考文獻) | 10. Embrechts, P., 2000, Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool Derivatives Use, Trading & Regulation, 6, 449-456. | zh_TW |
| dc.relation.reference (參考文獻) | 11. Fama, E.F., 1989, Perspectives on October 1987, or What Did We Learn from the Crash? in Black Monday and the futures of financial markets,Dow Jones-Irwin, Inc., Homewood, IL, 71-82. | zh_TW |
| dc.relation.reference (參考文獻) | 12. Fenn, G., and P. Kupiec, 1993, Prudential Margin Policy in a Future Style Settlements System, Journal of Futures Markets, 13, 389-408. | zh_TW |
| dc.relation.reference (參考文獻) | 13. Figlewski, S., 1984, Margins and Market Integrity: Margin Setting for Stock Index Futures and Options, Journal of Futures Markets, 4, 385-416. | zh_TW |
| dc.relation.reference (參考文獻) | 14. Fisher, R.A. and L.H.C. Tippett, 1928, Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample, Proceedings of the Cambridge Philosophical Society, 24, 180-190. | zh_TW |
