Title page for 92424014


[Back to Results | New Search]

Student Number 92424014
Author Yi-Chun Yeh(葉怡君)
Author's Email Address No Public.
Statistics This thesis had been viewed 1755 times. Download 1528 times.
Department Graduate Institute of Industrial Economics
Year 2004
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title 以Copulas測度市場風險之探討
Date of Defense 2005-06-23
Page Count 35
Keyword
  • copulas
  • VaR
  • Abstract 本篇論文以 copulas 配合不同的邊際分配估計投資組合風險值,投資組合以三個股價指數為標的分別組成二商品和三商品的投資組合,並和時間序列模型的估計結果相互比較,結果發現在二商品組合中 copulas 對部分投資組合和部分信賴水準的風險值有比較好的估計能力,但大部分的情形下差異並不顯著,
    被拒絕的模型都太過保守高估未來的市場風險,在三商品組合模型幾乎都無法掌握未來風險,而且反而是常態分配相對有比較好的估計能力。假設 t 分配為邊際分配稍微減少高估風險的情形,但並不影響模型被接受與否。
    Table of Content 1 前言                          1
    2 風險值                         3
    2.1 風險值定義. . . . . . . . . . . . . . . . . . . . . . 3
    2.2 以時間序列模型估計風險值. . . . . ....................4
    3 Copula                         6
    3.1 Copula 理論  . . . . . . . . . . . . . . . . . . . . 6
    3.2雙變量Copula . . . . . . . . . . . . . . . .......... 9
    3.3 相關性. . . . . . . . . . . . .. . . . . . . . . . . 11
    3.3.1 Concordance . . . . . . . . . . . . . . . . . . . 11
    3.3.2 相關係數 (linear dependence measurement )..........12
    3.3.3 序列相關係數 (rank correlation) . . . . . . . . . 13
    3.4 以 Copulas 估計風險值 . . . . . . . . . . . . . . . .14
    4 實證分析
    4.1 資料分析與統計軟體的應用 . . . . . . . . . . . . . . .16
    4.2 回溯測試 (backtesting) . . . . . . . . . . . . . . . .17
    4.3 實證結果 . . . . . . . . . . . . . . . . . . . . . . .18
    5 結論與未來研究方向
    5.1 結論 . . . . . . . . . . . . . . . . . . . . . . . . . 23
    5.2 未來研究方向 . . . . . . . . . . . . . . . . . ... . . 24
    參考文獻                          25
    Reference Bollerslev, T.,1987 “ A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return,” The Review of Economics and Statistics, 69, 542−548.
    Cherubini, U., Luciano, E., and Vecchiato, W., 2004, “ Copula methods in finance,”
    John Wiley & Sons.
    Christoffersen, P., Hahn, J. and Inoue, A., 2001, “ Testing and Comparing Value-at-Risk Measures,” Journal of Empirical Finance, 8, 325−342.
    Embrechts, P., McNeil, A. and Straumann, D., 2002, “ Correlation and dependence in
    risk management: properties and pitfalls,” Risk Management: Value at Risk and
    Beyond, 176−223.
    Engle, R., 1982, “ Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50, 987−1007.
    Jorion, P., 1997, “ Value at Risk: The New Benchmark for Controlling Market Risk,”
    McGraw−Hill.
    Kendall, M., and Stuart, A., 1979, “ Handbook of Statistics,” Griffin & Company.
    Kupiec,P. H., 1995, “ Techniques for Verifying the Accuracy of Risk Measurement
    Models,” The Journal of Derivatives, Winter ,73−84.
    Lee, T. H., Bao, Y., and Saltoglu, B.,2004, “ Evaluating Predictive Performance of
    Value-at-Risk Models in Emerging Markets:A Reality Check,” Working paper.
    Mendes, B. V. M. and Souza, R. M., 2004, “ Measuring financial risks with copulas,”
    International Review of Financial Analysis, 13, 27−45.
    Nelsen R. B., 1998, “ An introduction to copulas,” Springer.
    Roncalli, T., Bouy´e, E., Durrleman, V., Nikeghbali, A., and Riboulet, G., 2001, “
    Copulas: an open field for risk management,” Credit Lyonnais.
    Sklar,A., 1959, “ Fonctons de repartitions `a n dimensions et leurs marges,” Publ. Inst.
    Statist. Univ. Paris 8, 229−231.
    Tsay, R. S., 2002, “ Analysis of Fina
    Advisor
  • Chih-Chiang Hsu(徐之強)
  • Files
  • 92424014.pdf
  • approve immediately
    Date of Submission 2005-07-06

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have dissertation-related questions, please contact with the NCU library extension service section.
    Our service phone is (03)422-7151 Ext. 57407,E-mail is also welcomed.