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    Title: 不對稱分配於風險值之應用 - 以台灣股市為例
    An application of asymmetric distribution in value at risk - taking Taiwan stock market as an example
    Authors: 沈之元
    Shen,Chih-Yuan
    Contributors: 毛維凌
    Mao,Wei-Ling
    沈之元
    Shen,Chih-Yuan
    Keywords: 風險值
    極值理論
    skew-t 分配
    回溯測試
    Value at Risk
    Extreme Value Theory
    asymmetric exponential power distribution
    Back-testing
    Date: 2008
    Issue Date: 2010-12-09 14:45:25 (UTC+8)
    Abstract: 本文以台灣股價加權指數,使用 AR(3)-GJR-GRACH(1,1) 模型,白噪音假設為 Normal 、 Skew-Normal 、 Student t 、 skew-t 、 EPD 、 SEPD 、與 AEPD 等七種分配。著重於兩個部份,(一) Student t 分配一族與 EPD 分配一族在模型配適與風險值估計的比較;(二) 預測風險值區分為低震盪與高震盪兩個區間,比較不同分配在兩區間預測風險值的差異。

    實證分析顯示, t 分配一族與 EPD 分配一族配適的結果,無論是只考慮峰態 ( t 分配與 EPD 分配) ,或者加入影響偏態的參數 ( skew-t 分配與 SEPD 分配) , t 分配一族的配適程度都較 EPD 分配一族為佳。更進一步考慮分配兩尾厚度不同的 AEPD 分配,配適結果為七種分配中最佳。

    風險值的估計在低震盪的區間,常態分配與其他厚尾分配皆能通過回溯測試,採用厚尾分配效果不大;在高震盪的區間,左尾風險值回溯測試結果,常態分配與其他厚尾分配皆無法全數通過,但仍以 AEPD 分配為最佳。最後比較損失函數,左尾風險值估計以 AEPD 分配為最佳,右尾風險值則無一致的結果。因此我們認為 AEPD 分配可作為風險管理有用的工具。
    Reference: Angelidis, T. , A. Benos and S. Degiannakis (2007), ”A robust VaR model under different time periods and weighting schemes.” Review of Quantitative Finance and Accounting, Springer, 28(2), 187-201.
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    McNeil, A.J, and R. Frey (2000), ”Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach.” Journal of Empirical Finance , 7 , 271-300.
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    Description: 碩士
    國立政治大學
    經濟研究所
    96258009
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096258009
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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