國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

巴賽爾協定III中風險值的探討及應用 = A Study on Valu...

國立高雄大學統計學研究所

巴賽爾協定III中風險值的探討及應用 = A Study on Value-at-Risk of Basel III

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	A Study on Value-at-Risk of Basel III
作者:	賴宥彣,
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:	民100
面頁冊數:	85面部份彩圖，表格 : 30公分;
標題:	風險值
標題:	Value-at Risk
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/01359405963597693432
附註:	參考書目：面49-51
摘要註:	2008年9月雷曼兄弟宣告破產，造成全球金融市場產生巨大的衝擊。許多學者以此危機事件為研究樣本，探討這次金融危機事件發生的原因及後續應改進的政策。本研究假設市場只有兩投資標的且為二元常態分配，並建立最小順序統計量與資產間相關係數的函數；當市場上資產間的相關性改變時，即可利用此函數來估計出資產分配的新參數，並考慮加入極端值－最小順序統計量後，投資此兩資產時最適的資產配置(Asset Allocation)及風險值(Value-at-Risk)的差異，最後利用截尾常態分配(Truncated Normal Distribution)估計出破產資產的分配，並觀察風險值有何改變。由模擬及實證結果顯示，當公司破產後，風險值將會變大至2~4倍，所以驗證了巴賽爾III中所提出的要求-資產準備金必須提高。另外，考慮極端值所配適的投資組合，能有效的降低損失程度。 In September 2008, the fourth largest investment bank in the USA and the oldest of the five major global financial firms, Lehman Brother declared bankruptcy, leading to the U.S. financial crisis, even the impact of global recession. Many researchers regard this crisis event as samples to study the reasons of financial crisis and what policies should be improved. In this study, we consider a portfolio consisting of two assets on the market, and the returns of the two assets are bivariate normal distribution. In order to predict the change of the assets after the financial crisis, we establish a function of the correlation between the first order statistics and the two assets. In addition to, we utilize the first order statistics of these assets to estimate the Value-at Risk (VaR) of the portfolio and find optimal portfolio. Finally, we exploit truncated normal distribution to estimate the distributions of these bankrupt assets, and observe the differences in VaR. The simulation and empirical results show that the VaR is higher than pre-bankruptcy 2 to 4 times, and we also find that using extreme value to make asset allocation decisions can reduce the losses on the portfolio effectively.

巴賽爾協定III中風險值的探討及應用 = A Study on Value-at-Risk of Basel III
賴, 宥彣

巴賽爾協定III中風險值的探討及應用 = A Study on Value-at-Risk of Basel III / 賴宥彣撰 - [高雄市] : 撰者, 民100. - 85面 ; 部份彩圖，表格 ; 30公分.
參考書目：面49-51.
風險值Value-at Risk

巴賽爾協定III中風險值的探討及應用 = A Study on Value-at-Risk of Basel III
LDR:03288nam0a2200277 450 001 300397
005 20170214090718.0
009 300397
010 0 $b 精裝
010 0 $b 平裝
100 $a 20170214y2011 m y0chiy50 e
101 1 $a chi $d chi $d eng
102 $a tw
105 $a ak aim 000yy
200 1 $a 巴賽爾協定III中風險值的探討及應用 $d A Study on Value-at-Risk of Basel III $z eng $f 賴宥彣撰
210 $a [高雄市] $c 撰者 $d 民100
215 0 $a 85面 $c 部份彩圖，表格 $d 30公分
300 $a 參考書目：面49-51
314 $a 指導教授：俞淑惠博士
328 $a 碩士論文--國立高雄大學統計學研究所
330 $a 2008年9月雷曼兄弟宣告破產，造成全球金融市場產生巨大的衝擊。許多學者以此危機事件為研究樣本，探討這次金融危機事件發生的原因及後續應改進的政策。本研究假設市場只有兩投資標的且為二元常態分配，並建立最小順序統計量與資產間相關係數的函數；當市場上資產間的相關性改變時，即可利用此函數來估計出資產分配的新參數，並考慮加入極端值－最小順序統計量後，投資此兩資產時最適的資產配置(Asset Allocation)及風險值(Value-at-Risk)的差異，最後利用截尾常態分配(Truncated Normal Distribution)估計出破產資產的分配，並觀察風險值有何改變。由模擬及實證結果顯示，當公司破產後，風險值將會變大至2~4倍，所以驗證了巴賽爾III中所提出的要求-資產準備金必須提高。另外，考慮極端值所配適的投資組合，能有效的降低損失程度。 In September 2008, the fourth largest investment bank in the USA and the oldest of the five major global financial firms, Lehman Brother declared bankruptcy, leading to the U.S. financial crisis, even the impact of global recession. Many researchers regard this crisis event as samples to study the reasons of financial crisis and what policies should be improved. In this study, we consider a portfolio consisting of two assets on the market, and the returns of the two assets are bivariate normal distribution. In order to predict the change of the assets after the financial crisis, we establish a function of the correlation between the first order statistics and the two assets. In addition to, we utilize the first order statistics of these assets to estimate the Value-at Risk (VaR) of the portfolio and find optimal portfolio. Finally, we exploit truncated normal distribution to estimate the distributions of these bankrupt assets, and observe the differences in VaR. The simulation and empirical results show that the VaR is higher than pre-bankruptcy 2 to 4 times, and we also find that using extreme value to make asset allocation decisions can reduce the losses on the portfolio effectively.
510 1 $a A Study on Value-at-Risk of Basel III $z eng
610 0 $a 風險值 $a 資產配置 $a 相關係數 $a 最小順序統計量 $a 截尾常態分配
610 1 $a Value-at Risk $a Asset Allocation $a Correlation Coefficient $a First Order Statistics $a Truncated Normal Distribution
681 $a 008M/0019 $b 343201 5730 $v 2007年版
700 1 $a 賴 $b 宥彣 $4 撰 $3 593628
712 0 2 $a 國立高雄大學 $b 統計學研究所 $3 166081
801 0 $a tw $b NUK $c 20111020 $g CCR
856 7 $z 電子資源 $2 http $u http://handle.ncl.edu.tw/11296/ndltd/01359405963597693432