博碩士論文 103225015 完整後設資料紀錄

DC 欄位	值	語言
DC.contributor	統計研究所	zh_TW
DC.creator	江厚德	zh_TW
DC.creator	Hou-Te Chiang	en_US
dc.date.accessioned	2016-7-21T07:39:07Z
dc.date.available	2016-7-21T07:39:07Z
dc.date.issued	2016
dc.identifier.uri	http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=103225015
dc.contributor.department	統計研究所	zh_TW
DC.description	國立中央大學	zh_TW
DC.description	National Central University	en_US
dc.description.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。	zh_TW
dc.description.abstract	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.	en_US
DC.subject	風險值	zh_TW
DC.subject	回測	zh_TW
DC.subject	POF 檢定	zh_TW
DC.subject	TUFF 檢定	zh_TW
DC.subject	獨立性檢定	zh_TW
DC.subject	Value at Risk	en_US
DC.subject	backtesting	en_US
DC.subject	POF test	en_US
DC.subject	TUFF test	en_US
DC.subject	independent test	en_US
DC.title	不同計算風險值的方法的實例比較	zh_TW
dc.language.iso	zh-TW	zh-TW
DC.title	An Empirical Comparisonof Various Approaches in Calculating Value at Risk	en_US
DC.type	博碩士論文	zh_TW
DC.type	thesis	en_US
DC.publisher	National Central University	en_US