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    题名: 極值理論在黃金期貨風險值之應用
    作者: 林宥呈
    贡献者: 謝淑貞
    林宥呈
    关键词: 極值理論
    黃金期貨
    風險值
    日期: 2005
    上传时间: 2009-09-11 17:10:50 (UTC+8)
    摘要: 風險值已是一個廣被接受與運用的風險控管工具，它定義為持有某資產一段期間，在一定的信賴水準下，所可能遭受的最大損失。也就是評估目前所持有部位的風險，並依此評估此暴露是否適當。而如何運用風險值作為事前風險控管工具，更是一個新興的研究方向。風險值的估計模型隨著風險值概念的普及，發展出不同的估計方法；不同的估計方法，也會影響資產配置結果。本文以美國紐約商業交易所（NYMEX）發行之CMX-GOLD 100 OZ 黃金期貨為研究對象，以此探討隨著每日的價格波動，並利用極值理論探討其VaR，資料乃採用J.P.Morgan 建議的1 天、一週交易日5 天， 值即為一般用的0.05，而歷史資料的評估期間則為CMX-GOLD 100 OZ上市交易日從1990 年3 月26日至2005年3月24日，共計有3914筆日資料。
    參考文獻: 1. Alizadeh, S., M. Brandt, and F. Diebold, 2002, Range-based Estimation of Stochastic Volatility Models, Journal of Finance, 57, 1047-1091.
    2. Andersen, T.G., and T. Bollerslev, 1998, Answering the Skeptics: Yes,Standard Volatility Models Do Provide Accurate Forecasts, International Economic Review, 39, 885-905.
    3. Arak, M and R.E. Cook, 1997, Do Daily Price Limits Act as Magnets The case of Treasury Bond Futures, Journal of Financial Services Research, 12,5-20.
    4. Booth, G.G., J. P. Broussard, T. Martikainen, and V. Puttonen, 1997,Prudent Margin Levels in the Finnish Stock Index Futures Markets,Management Science, 43, 1177-1188.
    5. Brennan, M.J., 1986, A Theory of Price Limits in Futures Markets, Journalof Finance Economics, 16, 213-233.
    6. Broussard, J. P., and G.G. Booth, 1998, The Behavior of Extreme Values in German Stock Index Futures: An Application to Margin Setting, Journal of Operational Research, 104, 393-402.
    7. Cotter, J., 2001, Margin Excessdences for European Stock Index Futures Using Extreme Value Theory, Journal of Banking and Finance, 25,1474-1502.
    8. De Haan, L. and S.I. Resnick, 1980, A Simple Asymptotic Estimate for the Index of a Stable Distribution, Journal of the Royal Stat. Soc. B, 42, 83-87.
    9. Danielsson, J., and G.G. de Vries, 1997, Tail Index and Quantile Estimation with Very High Frequency Data, Journal of Empirical Finance, 4,241-257.
    10. Embrechts, P., 2000, Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool Derivatives Use, Trading & Regulation, 6, 449-456.
    11. Fama, E.F., 1989, Perspectives on October 1987, or What Did We Learn from the Crash? in Black Monday and the futures of financial markets,Dow Jones-Irwin, Inc., Homewood, IL, 71-82.
    12. Fenn, G., and P. Kupiec, 1993, Prudential Margin Policy in a Future Style Settlements System, Journal of Futures Markets, 13, 389-408.
    13. Figlewski, S., 1984, Margins and Market Integrity: Margin Setting for Stock Index Futures and Options, Journal of Futures Markets, 4, 385-416.
    14. Fisher, R.A. and L.H.C. Tippett, 1928, Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample, Proceedings of the Cambridge Philosophical Society, 24, 180-190.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    92351016
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923510161
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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