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題名 以風險值衡量銀行外匯部位資本之計提
作者 陳昀聖
Chen, Yun-Sheng
貢獻者 陳威光
陳昀聖
Chen Yun-Sheng
關鍵詞 標準法
風險值法
變異數-共變異數法
歷史模擬法
極端值法
回溯測試
Value at Risk
Extreme Value Theory
Backtesting
日期 2002
上傳時間 20-Apr-2016 11:12:00 (UTC+8)
摘要 本論文的目的在比較標準法和風險值法（VaR）於外匯部位資本計提數額上的差異。在VaR法方面，本篇採用變異數-共變異數法、歷史模擬法以及極端值法等三種衡量方法，並利用回溯測試（backtest）對三種方法預測風險的能力做一檢測。標準法是指財政部規定的資本計提標準方法。
參考文獻 中文部份
     1、易玲玲，「台灣資本適足性與銀行外匯風險管理之實證研究」，國立東華大學企業管理研究所碩士論文， 民國88年6月。
     2、財政部金融局，「銀行自有資本與風險性資產計算方法說明」，金融研究參考資料之五十四，民國88年5月。
     英文部份
     1. Basle Committee on Banking Supervision, 1996a, Supervisory Framework for the Use of "Backtesting" in Conjunction with the Internal Models Approach to Market Risk Capital Requirements, BIS, Basel, Switzerland.
     2. Basle Committee on Banking Supervision, 1996b, Overview of the Amendment to the Capital Accord to Incorporate Market Risks, BIS, Basel, Switzerland.
     3. Dowd, K. 1999, "The Extreme Value Approach to VaR-An Introduction," Financial Engineering News.
     4. Dowd, K. 1999, Beyond Value at Risk : The new science of risk management, New York : John Wiley & Sons.
     5. Hendricks, D. 1996, "Evaluation of Value-at-Risk Models Using Historical Data," Federal Reserve Bank of New York, Economic Policy Review, April 1996, pp. 39-69.
     6. Jackson, P., Maude D. J. and W. Perraudin, "Bank Capital and Value at Risk," The Journal of Derivatives 4/3, Spring 1997, pp. 73-90.
     7. Danielsson, J.,P. Hartmann and Vries, 1998,"The Cost of Conservatism: Extreme Return, Value-at-Risk, and the Basle `Multiplication Factor`," Risk.
     8. Jorion, P., 1997, Value at Risk: The new Benchmark for Controlling Market Risk, Irwin.
     9. Kupiec, P., 1995, "Techniques for verifying the accuracy of risk management models," Journal of Derivative 3:73-84.
     10. Levonian, M., 1994, "Bank Capital Standards for Foreign Exchange and Other Market Risks," Federal Reserve Bank of San Francisco Economic Review, P3-18.
     11. McNeil, A. J., 1999, "Extreme Value Theory for Risk Managers," ETH Zentrum.
     12. Lopez, J., 1998, "Methods for Evaluating Value-at-Risk Estimates," Federal Reserve Bank of New York, Research Paper no.9802.
     13. Weston, S. and B. Gray, 1994, " The Supervisory Treatment of Banks` market Risk," Research Discussion Paper, Bank Supervision Department Reserve Bank of Australia.
描述 碩士
國立政治大學
金融研究所
88352014
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002000283
資料類型 thesis
dc.contributor.advisor 陳威光zh_TW
dc.contributor.author (Authors) 陳昀聖zh_TW
dc.contributor.author (Authors) Chen Yun-Shengen_US
dc.creator (作者) 陳昀聖zh_TW
dc.creator (作者) Chen, Yun-Shengen_US
dc.date (日期) 2002en_US
dc.date.accessioned 20-Apr-2016 11:12:00 (UTC+8)-
dc.date.available 20-Apr-2016 11:12:00 (UTC+8)-
dc.date.issued (上傳時間) 20-Apr-2016 11:12:00 (UTC+8)-
dc.identifier (Other Identifiers) B2002000283en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85602-
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) 88352014zh_TW
dc.description.abstract (摘要) 本論文的目的在比較標準法和風險值法（VaR）於外匯部位資本計提數額上的差異。在VaR法方面，本篇採用變異數-共變異數法、歷史模擬法以及極端值法等三種衡量方法，並利用回溯測試（backtest）對三種方法預測風險的能力做一檢測。標準法是指財政部規定的資本計提標準方法。zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002000283en_US
dc.subject (關鍵詞) 標準法zh_TW
dc.subject (關鍵詞) 風險值法zh_TW
dc.subject (關鍵詞) 變異數-共變異數法zh_TW
dc.subject (關鍵詞) 歷史模擬法zh_TW
dc.subject (關鍵詞) 極端值法zh_TW
dc.subject (關鍵詞) 回溯測試zh_TW
dc.subject (關鍵詞) Value at Risken_US
dc.subject (關鍵詞) Extreme Value Theoryen_US
dc.subject (關鍵詞) Backtestingen_US
dc.title (題名) 以風險值衡量銀行外匯部位資本之計提zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部份
     1、易玲玲，「台灣資本適足性與銀行外匯風險管理之實證研究」，國立東華大學企業管理研究所碩士論文， 民國88年6月。
     2、財政部金融局，「銀行自有資本與風險性資產計算方法說明」，金融研究參考資料之五十四，民國88年5月。
     英文部份
     1. Basle Committee on Banking Supervision, 1996a, Supervisory Framework for the Use of "Backtesting" in Conjunction with the Internal Models Approach to Market Risk Capital Requirements, BIS, Basel, Switzerland.
     2. Basle Committee on Banking Supervision, 1996b, Overview of the Amendment to the Capital Accord to Incorporate Market Risks, BIS, Basel, Switzerland.
     3. Dowd, K. 1999, "The Extreme Value Approach to VaR-An Introduction," Financial Engineering News.
     4. Dowd, K. 1999, Beyond Value at Risk : The new science of risk management, New York : John Wiley & Sons.
     5. Hendricks, D. 1996, "Evaluation of Value-at-Risk Models Using Historical Data," Federal Reserve Bank of New York, Economic Policy Review, April 1996, pp. 39-69.
     6. Jackson, P., Maude D. J. and W. Perraudin, "Bank Capital and Value at Risk," The Journal of Derivatives 4/3, Spring 1997, pp. 73-90.
     7. Danielsson, J.,P. Hartmann and Vries, 1998,"The Cost of Conservatism: Extreme Return, Value-at-Risk, and the Basle `Multiplication Factor`," Risk.
     8. Jorion, P., 1997, Value at Risk: The new Benchmark for Controlling Market Risk, Irwin.
     9. Kupiec, P., 1995, "Techniques for verifying the accuracy of risk management models," Journal of Derivative 3:73-84.
     10. Levonian, M., 1994, "Bank Capital Standards for Foreign Exchange and Other Market Risks," Federal Reserve Bank of San Francisco Economic Review, P3-18.
     11. McNeil, A. J., 1999, "Extreme Value Theory for Risk Managers," ETH Zentrum.
     12. Lopez, J., 1998, "Methods for Evaluating Value-at-Risk Estimates," Federal Reserve Bank of New York, Research Paper no.9802.
     13. Weston, S. and B. Gray, 1994, " The Supervisory Treatment of Banks` market Risk," Research Discussion Paper, Bank Supervision Department Reserve Bank of Australia.		zh_TW