| dc.contributor.advisor | 廖四郎<br>龐元愷 | zh_TW |
| dc.contributor.author (Authors) | 黃御綸 | zh_TW |
| dc.creator (作者) | 黃御綸 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:33:01 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:33:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:33:01 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913520211 | en_US |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=32474 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 91352021 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 自從90年代以來，許多機構因為金融商品的操縱不當或是金融風暴的衝擊數度造成全球金融市場的動盪，使得風險管理的重要性與日俱增，而量化風險模型的準確性也益受重視，基於財務資料的相關性質如異質變異、厚尾現象等，本文主要結合AR(1)-GARCH(1,1)模型、極值理論、copula函數三種模型應用在風險值的估算，且將報酬分配的假設區分為三類，一是無母數模型的歷史模擬法，二是基於常態分配假設下考量隨機波動度的有母數模型，三是利用歷史資料配適尾端分配的極值理論法來對聯電、鴻海、國泰金、中鋼四檔個股和台幣兌美元、日圓兌美元、英鎊兌美元三種外匯資料作一日風險值、十日風險值、組合風險值的測試。\r\n 實證結果發現，在一日風險值方面，95%信賴水準下以動態風險值方法表現相對較好，99%信賴水準下動態極值理論法和動態歷史模擬法皆有不錯的估計效果；就十日風險值而言，因為未來十日資產的報酬可能受到特定事件影響，所以估計上較為困難，整體看來在99%信賴水準下以條件GPD＋蒙地卡羅模擬的表現相對較理想；以組合風險值來說， copula、Clayton copula+GPD marginals模擬股票或外匯組合的聯合分配不論在95%或99%信賴水準下對其風險值的估計都獲得最好的結果；雖然台灣個股股價受到上下漲跌幅7%的限制，台幣兌美元的匯率也受到央行的干涉，但以極值理論來描述資產尾端的分配情形相較於假設其他兩種分配仍有較好的估計效果。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論....................................1\r\n第一節 研究背景與動機.................................1\r\n第二節 研究問題與目的.................................4\r\n第三節 研究架構與流程.................................6\r\n第二章 文獻回顧................................8\r\n第一節 風險值介紹.....................................8\r\n第二節 極值理論相關文獻...............................10\r\n第三節 copula應用相關文獻.............................13\r\n第三章 研究方法................................16\r\n第一節 靜態風險值估計方法..............................16\r\n第二節 動態風險值估計方法..............................25\r\n第三節 多日風險值估計方法..............................29\r\n第四節 組合風險值估計方法..............................31\r\n第五節 風險值驗證方法..................................43\r\n第四章 實證分析................................45\r\n第一節 資料分析與參數估計..............................45\r\n第二節 一日風險值實證結果..............................53\r\n第三節 多日風險值實證結果..............................60\r\n第四節 組合風險值實證結果..............................64\r\n第五章 結論....................................74\r\n參考文獻...............................................77\r\n附錄...................................................80 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913520211 | en_US |
| dc.subject (關鍵詞) | 風險值 | zh_TW |
| dc.subject (關鍵詞) | 極值理論 | zh_TW |
| dc.subject (關鍵詞) | value at risk | en_US |
| dc.subject (關鍵詞) | extreme value theory | en_US |
| dc.subject (關鍵詞) | copula | en_US |
| dc.subject (關鍵詞) | AR(1)-GARCH(1,1) | en_US |
| dc.title (題名) | 極值理論與整合風險衡量 | zh_TW |
| dc.type (資料類型) | thesis | en |
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