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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/95495
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/95495

    Title: 風險衡量系統之架構及建立
    Authors: 楊宗翰
    Contributors: 吳啟銘

    Date: 2002
    Issue Date: 2016-05-09 16:24:01 (UTC+8)
    Reference: 一、英文部分
    1.Dowd, Kevin, 1998, “Beyond Value at Risk.” John Wiley & Sons
    2.Danielsson, J. and C.G. de Vries, 1997, “Extreme returns, tail estimation, and value-at-risk.” University of Iceland and Tinbergen Institute, Erasmus University
    3.Eberlein, E., and Keller, U., 1995, “Hyperbolic Distributions in Finance.” Bernoulli 1, pp281-299
    4.Fama, E.F., 1965, “The Behavior of Stock Market Prices.” Journal of Business 38, pp.34-105
    5.Francois Longin and Bruno Solnik, 2001, “Extreme Correlation of International Equity Markets.” The Journal of Finance Vol. LVI, NO. 2 April
    6.Gregory P. Hopper, 1996 Sept/Oct, “Value-at-Risk, A New Methodology for Measuring Portfolio Risk.” The Federal Reserve Bank of Philadelphia Business Review, pp.19-30
    7.Hendricks, D.1996., “Evaluation of Value-at-Risk Models using Historical Data.” The Federal Reserve Bank of New York Economic Policy Review, Vol.2, pp.152-171
    8.Heyde, C.C., 1999, “A Risky Asset Model with Strong Dependence Through Fractal Activity Time” working paper
    9.Hull J. and White A., 1998, “Value at Risk When Daily Changes in Market Variables Are Not Normally Distributed.” The Journal of Derivatives, pp.9-19
    10.J.P. Morgan Technical Document, 1996, “Risk Metrics” Fourth Edition
    11.Jorion, P., 2000, “Value at Risk: The New Benchmark for controlling Market risk.” McGraw-Hill
    12.Jorion, P., 2001, ” How Informative are Value-at-Risk Disclosure?” working paper.
    13.Lan-Chin Ho, Peter B., John C., Michael T., 2000, “Value-at-Risk: Applying the extreme value approach to Asian markets in the recent financial turmoil.” Pacific-Basin Finance Journal 8, pp. 249-275
    14.Linsmeier, T., and Neil P., 2000, “Value at Risk.” Financial Analysts Journal 56(March), 47-67
    15.Michael S. G., 2001, “ Incorporating Event Risk into Value-at-Risk.” Working paper
    16.Paul H. Kupiec, 1995 Winter, “Techniques for verifying the accuracy of risk measurement models.” The Journal of Derivatives, pp. 73-84
    17.Penza.P and Bansal V.K., 2001, “Measuring market risk with value at risk.” New York, N.Y.: John Wiley
    18.Praetz, P.D., 1972, “The Distribution of Share Price Changes.” Journal of Business 45, pp.49-55
    19.Pritsker, M., 2001, “The Hidden Dangerous of Historical Simulation.” working paper
    20.Smithson, Charles W., 1999, “Managing Financial Risk: A Guide to Derivative Products, Financial Engineering, and Value Maximization.” McGraw-Hill
    21.Tanya S. B., “VAR: Seductive but Dangerous.” Financial Analysts Journal. (1995 Sep-Oct), pp.12-24
    22.Venkataraman, S, 1997, “Value at Risk for mixture of normal distributions: The use of quasi-Bayesian estimation techniques.” The Federal Reserve Bank of Chicago Economic Perspectives, March/April, pp2-13.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000152
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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