不同計算風險值的方法的實例比較;An Empirical Comparisonof Various Approaches in Calculating Value at Risk

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/71925

Title:	不同計算風險值的方法的實例比較;An Empirical Comparisonof Various Approaches in Calculating Value at Risk
Authors:	江厚德;Chiang,Hou-Te
Contributors:	統計研究所
Keywords:	風險值;回測;POF 檢定;TUFF 檢定;獨立性檢定;Value at Risk;backtesting;POF test;TUFF test;independent test
Date:	2016-07-21
Issue Date:	2016-10-13 14:06:44 (UTC+8)
Publisher:	國立中央大學
Abstract:	近年來風險管理成為重要的議題，而風險值是一個測量市場風險的指標。本篇論文採用許多方法來計算風險值包含無任何假設方法以及假設方法。無任何假設方法為歷史模擬法，過濾歷史模擬法以及 RiskMetrics。假設方法為 GARCH-normal 模型，以及 GARCH-t 模型。為了確定計算風險值方法的準確性，我們利用 Kupiec 的 POF Test，Kupiec 的 TUFF Test，獨立性覆蓋檢定，以及條件下的覆蓋檢定。我們主要是探討哪一個計算風險值的方法是較準確的。;Recently, risk management has become an important issue, and value at risk (VaR) is a index to measure the market risk. The thesis adopts several methods to calculate VaR, including the non assumption methods and assumption methods. Non assumption methods like historical simulation, the filtered historical simulation, and the RiskMetrics method. Assumption method like the GARCH-normal models and GARCH-t models. In order to check the accuracy of the VaR calculation methods. We consider Kupiec′s POF Coverage Test, Kupiec′s TUFF Coverage Test, Independent Coverage Test and Conditional Coverage Test. We focus to check which of the VaR calculating methods is more accurate.
Appears in Collections:	[Graduate Institute of Statistics] Electronic Thesis & Dissertation

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