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一個新風險值估計式及其對資產配置決策的影響 = A New VaR Es...

侯怜竹

一個新風險值估計式及其對資產配置決策的影響 = A New VaR Estimator and Its Application to Portfolio Selection

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	A New VaR Estimator and Its Application to Portfolio Selection
作者:	侯怜竹,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2009[民98]
面頁冊數:	96面圖、表 : 30公分;
標題:	加權風險值
標題:	Gaussian approximation
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/37649458356679151673
附註:	參考書目：面
附註:	指導教授：俞淑惠
摘要註:	正確地衡量和管理市場風險的方法是風險管理一個很重要的課題。自從巴塞爾銀行監理委員會(Basel Committee on Banking Supervision)採用風險值(Value-at-Risk)方法，風險值近來已經受到眾多探討，在過去文獻中有很多估計風險值的方法，如歷史模擬法(Historical Simulation)、常態分配(Gaussian Approximation)、跳躍擴散模型(Poisson-Gaussian Approximation With Log-Normal Jump Size)和極值分配中的廣義柏拉圖分配(Generalized Pareto Distribution)。而在過去文獻中也表示上述四種方法在面臨市場不同狀況時，各有其優缺點，因此我們提出加權風險值估計的新方法，結合上述模型在市場狀況不同時各自的優點，並透過波動性模型(GARCH模型)來給予權數，以決定在面臨市場不同狀況時該採用何種風險值來衡量。另外，我們將上述不同衡量風險值的方法運用在不同投資組合上，投資組合模型為：平均值─變異數(Mean-Variance)模型、平均值─風險值(Mean-VaR)模型(考慮風險偏好或獨立性)，並探討在不同的投資組合模型下，尋找最佳的資產配置。 How to develop a method for measuring and managing the risk became an important issue. Value-at-Risk (VaR) has become the popular risk measure and been discussed a lot since it was adopted by the Basel Committee on Banking Supervision. In relevant literatures, there were many VaR estimation methods, such as historical simulation, Gaussian approximation, Poisson-Gaussian approximation with log- normal jump size, and generalized Pareto distribution. This study was planned to submit a new method for estimating the VaR since the above-mentioned methods submitted in literatures still need to be improved. The above-mentioned four VaR estimations in literatures were combined considering the volatility clustering frequently in the financial assets to calculate the VaR. Through the weighted values given by the model-GARCH for volatility, the new method decided which one VaR weighed more when the market suffered different situations. Moreover, we considered portfolio selection models which allocated financial assets by maximizing the expected return per unit of risk. The portfolio selection models were: mean-variance efficient frontier and mean-VaR efficient frontier (with risk intention parameter or independence). We optimally selected efficient portfolios in different models.

一個新風險值估計式及其對資產配置決策的影響 = A New VaR Estimator and Its Application to Portfolio Selection
侯, 怜竹

一個新風險值估計式及其對資產配置決策的影響 = A New VaR Estimator and Its Application to Portfolio Selection / 侯怜竹撰 - [高雄市] : 撰者, 2009[民98]. - 96面 ; 圖、表 ; 30公分.
參考書目：面指導教授：俞淑惠.
加權風險值Gaussian approximation

一個新風險值估計式及其對資產配置決策的影響 = A New VaR Estimator and Its Application to Portfolio Selection
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