| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | Chen, Fen-Ying ; Liao, Szu-Lang | en_US |
| dc.creator (作者) | 陳芬英;廖四郎 | zh_TW |
| dc.date (日期) | 2009-01 | en_US |
| dc.date.accessioned | 17-Feb-2014 17:48:55 (UTC+8) | - |
| dc.date.available | 17-Feb-2014 17:48:55 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Feb-2014 17:48:55 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/63904 | - |
| dc.description.abstract (摘要) | VaR is widely viewed as a measure of market risk of a portfolio. The purpose of this article is to provide a VaR model for foreign-asset portfolios in continuous time. In the VaR model, the VaRs are not only a function of volatilities of asset returns and exchange rate but also a function of correlation coefficient between foreign assets and exchange rate. Moreover, by backtesting, the empirical results show that the new VaR model can efficiently evaluate the market risk of foreign-asset portfolios. | en_US |
| dc.format.extent | 608096 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Economic Modelling, 26(1), 234-240 | en_US |
| dc.subject (關鍵詞) | Continuous time; Foreign-asset portfolio; Volatility of exchange rate; Correlation coefficient; Backtesting | en_US |
| dc.title (題名) | Modelling VaR for Foreign-asset Portfolios in Continuous Time | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.econmod.2008.07.004 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.econmod.2008.07.004 | en_US |
