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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23780


    Title: 風險值估計方法之介紹
    Authors: 聶建中;盧陽正;卓訊方
    Contributors: 淡江大學財務金融學系
    Keywords: 風險值:拔靴複製法;極端值;VaR;Bootstrap;Extreme value
    Date: 2001-10
    Issue Date: 2009-11-30 17:53:19 (UTC+8)
    Publisher: 復華證券金融股份有限公司
    Abstract: 在各種風險管理的方法中,風險值(Value at Risk;VaR)是近年來最受重視的 市場風險衡量方法,越來越多的銀行與金融機構採用風險值來當作風險控管的利器。本文先介紹風險值的觀念,再詳加分析衡量風險值的六種方法,並引介其理論根基,俾供交易員、企業主管、及金融監理機構之參考,以了解最大可能損失,使正確地衡量資產的價值,以令企業經營步向成功之道。
    Among various methods of rish management, VaR(Value at Risk)seems the most momentous measurement for the market risk. Within these few years, more and more banks and financial institutuions adopt VaR to be the powerful risk controller. This paper first introduces the concepts of the VaR, and then detailedly analyzes six methods for measuring the VaR. Moreover, this paper describes the theoretical basis of the VaR for providing the trader, the manager , and the financial credit institutution a reference in finding the maximum possible loss and estimating the asset value.
    Relation: 證券金融 71,頁 29-55
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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