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題 名 | 一致化風險值與壓力測試值之估計--混合一般化極值分配模型分析=Coherent Estimations of Value-at-risk and Stress Loss--A Mixture of Generalized Extreme Value Distributions Approach |
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作 者 | 王甡; 吳壽山; | 書刊名 | 風險管理學報 |
卷 期 | 3:1 2001.05[民90.05] |
頁 次 | 頁23-48 |
分類號 | 562.1 |
關鍵詞 | 風險值; 壓力測試值; 分配厚尾; 極值分配; 報酬水準; Value-at-risk; Stress testing loss; Fat tails; Extreme value distributions; Return level; |
語 文 | 中文(Chinese) |
中文摘要 | 風險值與壓力測試值均為衡量資產價格變動風險之重要工具,利用本文所推展之混合一般化極值分配模型,此兩衡量值可在同一組資料下獲得一致化的估計結果;此外,由於此一模型對於掌握報酬率尾端的型態的涵蓋性廣泛,因此對於風險值與壓力測試值的估計結果亦較單變量一般化極值分配模型更為精準。為評估本模型實際運用上的績效,本文利用臺灣股市之資料進行實證分析,並討論其結果及管理上之意涵。 |
英文摘要 | Both Value-at-Risk and stress testing loss are important measures for the market risk. This paper develops a mixture of Generalized Extreme Value distributions and applies it to estimate these two measures coherently. Since this model can capture tails natures of the return distribution in details, the estimated risk measures are more precise than those of the Generalized Extreme Value distribution are. To assess the performance of this approach, this paper uses the Taiwan stocks market data in empirical study. The results and their implications in management are also discussed. |
本系統中英文摘要資訊取自各篇刊載內容。