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標題: 時間序列方法在風險管理的實證應用
Empirical Applications of Time Series Analysis on Risk Management
作者: 黃婉君
Huang, Wan-Chun
關鍵字: RBC;時間序列模型;ARMA-GARCH;VaR;Back-testing;風險值;回溯測試
出版社: 財務金融系所
引用: Alexander, C. (1996), “Volatility and correlation forecasting.” The handbook of risk management and analysis, John Wiley and Sons, 233-259 Berndt, E. K., B. H. Hall, R. E. Hall and J. A. Hausman (1974), “Estimation and inference in nonlinear structural models” Annals of Economic and Social Measurement 4, 653-665 Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, Vol.31, pp.307-327 Boothe, P. and P. D. Glassman (1987), “The statistical distribution of exchange rates” Journal of International Economics 22, 297-319 Boudokh, J., M. Richardson and R. Whitelaw, (1998) “The best of both worlds: A hybrid approach to calculating value at risk.” Risk, Vol. 11, No. 5, 64-67 Dowd, K. (1998), “Beyond value at risk: The new science of risk management.” New York: John Wiley and Sons Engle, R.F. (1982), “Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation.” Econometrica 50, 987-1007 Engle, R.F., C. H. Hong, A. Kane, and J. Noh (1993), “Arbitrage valuation of variance forecasts with simulated options.” Advances in Futures and Options Research, Vol. 6, 393-415 Ghose, D. and K. F. Kroner (1995), “The relationship between GARCH and symmetric stable distributions: Finding the source of fat tails in the financial data.” Journal of Empirical Finance 2, 225-251 Greene W. H. (2003), “Econometric analysis”, Fifth Edition, Prentice Hall International Hendricks, D. (1996), “Evaluation of value-at-risk models using historical data.” Federal Reserve Bank of New York Economic Policy Review 2 (April), 39-70 Jorion, P. (1997), “Value-at-Risk: The new benchmark for controlling market risk.” Chicago: Irwin. Publishing J.P. Morgan (1996) “RiskMetrics Technical Document”, Fourth Edition Kenneth D. W., H. J. Edison, D. Cho (1993), “A utility based comparison of some models of exchange rate volatility.” Journal of International Economics, vol. 35, 23-46 Levich, R. M. (1985), “Empirical studies of exchange rates: Price behavior, rate determination and market efficiency.” Handbook of Economics 6, 287-302 Loretan, M. and P. C. B. Phillips (1994), “Testing the covariance stationary of heavy-tailed time series.” Journal of Empirical Finance 1, 211-248 Mandelbrot, B. (1963a), “New methods in statistical economics.” Journal of Political Economy 71, 421-440 Mandelbrot, B. (1963b), “The variation of certain speculative prices.” Journal of Business 36, 394-419 McNeil, A. J. (1999), “Extreme value theory for risk managers.” Internal Modeling and CAD II, Risk Books, 93-113 Müller, U., M. Dacorogna, and O. V. Pictet (1996), “Heavy tails in high frequency financial data” Discussion Paper, Olsen and Associates, Zurich, Switzerland Tsay, R. S. (2001), “Analysis of financial time series.” New York, Wiley
由於我國於九十二年七月開始針對保險業者實施風險基礎資本制度(Risk Based Capital,簡稱RBC 制度),並於今年三月將開始對外公佈各保險公司的RBC值,且規定保險業申請提高國外投資額度除重大處分情事之外,還必須計算市場風險值並評估其風險並每週至少控管一次,因此風險值模型的建置優劣亦將會影響到申請國外投資額度的能否提升。
其他識別: U0005-0502200811132700
Appears in Collections:財務金融學系所

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