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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54175


    Title: 厚尾、偏態與壓力測試：混合分配模型的應用
    Authors: 林子慶
    Contributors: 杜化宇
    林子慶
    Keywords: 壓力測試
    厚尾
    偏態
    混合分配
    一般化偏態t分配
    Date: 2011
    Issue Date: 2012-10-30 10:13:59 (UTC+8)
    Abstract: 本文使用混合分配方法發展一個可處理厚尾,偏態(報酬分配不對稱)的壓力 測試模型。在資料上,我們以希臘國債與 S&P500 指數作為核心資產,臺灣市場 的標的資產作為邊緣資產。在與資料的配適能力上,本文發展的模型確實優於過 去假設常態分配的壓力測試模型。在實際執行壓力測試中,本研究比較了本文使 用的混合分配模型與過去模型的差異,我們發現壓力測試結果的差異相當大,因 此肯定了能抓住厚尾及偏態現象模型的重要性。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    99357001
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099357001
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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