| Reference: | 《英文期刊》
1.Hendricks, Darryll. ”Evaluation of Value-at-Risk Models Using Historical Data”, Economics Ploicy Review, 1996, pp. 39-69
2.Duffie, Darrell. & Pan, Jun. “An Overview of Value at Risk”, Preliminary Draft: January 21, 1997
3.Tanya Styblo Beder：”VAR：Seductive but Dangerous”, Financial Analysis Journal, September-October 1995
4.Alexander, C.O. and Chibumba, A.M. “Orthogonal Factor GarchUniversity of Sussex, Centre for Statistics and Stochastic Modelling, 1997.”
5.Wei-Kuang chen, ”The Market Risk of Warrants Position:Value-at-Risk Approach”, Department of Money and Banking, National Cheng-Chi University, Taiwan , 1999
6.Paul H. Kupiec：”Techniques for Verifying the Accuracy of Risk Measurement Models”, The Journal of Derivatives, winter 1995.
7.Dunbar, N. and R. Irving(1998), ”This is the way the World Ends”, Risk(Dec), pp28-32
8.Thomas C. Wilson, “Measuring and Modeling Financial Risk”, Risk Management and Analysis. Vol. 1.
9.Das , Satyajit. & Martin, John. “Value at Risk Models”
10.Smith, Lance. “Portfolio Simulation; Stress Testing Techniques”
11.Bustany, Alan. “Credit Risk Measurement”
《英文書》
1.John Hull, OPTIONS, FUTURES AND OTHER DERIVATIVES(4th ed., 2000)
2.Charles W. Smithson, MANAGING FINANCIAL RISK：A Guide to Derivative Products, Financial Engineering, and value Maximization(3rd ed.,1999)
3.SBC Warburg Dillon Read, THE PRACTICE OF RISK MANAGEMENT：Implementing processes for managing firmwide market risk(1998)
4.Philip W. Best., IMPLEMENTING VALUE AT RISK(1998)
5.Jorion, Philippe. VALUE AT RISK：The New Benchmark for Controlling Market Risk(1997)
6.J.P. MORGAN, RISKMETRICS-TECHNICAL DOCUMENT(4th ed.,1996)
《中文期刊》
1.呂自勇(1997)，「金融資產投資組合風險值衡量~以台灣股市債市投資組合為例」，國立中央大學財務管理研究所碩士論文。
2.陳若鈺(1999)，「風險值的衡量與驗證：台灣股匯市之實證」，國立台灣大學財務金融研究所碩士論文。
3.黃卉芊(1999)，“台灣股匯市投資組合風險值之計算與評估”，國立中央大學財務管理研究所。
4.廖益誠(1998)，”市場風險控管：風險值(VAR)—Orthogonal GARCH的應用”，國立台灣大學財務金融研究所。
5.吳壽山、王甡、許孟彥(1999)，“證券商市場風險管理之研究”，財團法人中華民國證券暨期貨市場發展基金會。
6.張振山，”我國證券商資本適足性制度(上)(下)”，證券暨期貨管理，1999.04 |
