政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/54175
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 114409/145439 (79%)
造訪人次 : 53243314      線上人數 : 720
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/54175


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/54175


    題名: 厚尾、偏態與壓力測試：混合分配模型的應用
    作者: 林子慶
    貢獻者: 杜化宇
    林子慶
    關鍵詞: 壓力測試
    厚尾
    偏態
    混合分配
    一般化偏態t分配
    日期: 2011
    上傳時間: 2012-10-30 10:13:59 (UTC+8)
    摘要: 本文使用混合分配方法發展一個可處理厚尾,偏態(報酬分配不對稱)的壓力 測試模型。在資料上,我們以希臘國債與 S&P500 指數作為核心資產,臺灣市場 的標的資產作為邊緣資產。在與資料的配適能力上,本文發展的模型確實優於過 去假設常態分配的壓力測試模型。在實際執行壓力測試中,本研究比較了本文使 用的混合分配模型與過去模型的差異,我們發現壓力測試結果的差異相當大,因 此肯定了能抓住厚尾及偏態現象模型的重要性。
    參考文獻: 1. Azzalini, A., (1985) “A Class of Distributions Which Includes the Normal Ones,” Scandinavian Journal of Statistics, 12, 171-178.

    2. Azzalini, A., (1986) “Further Results on a Class of Distributions Which Includes the Normal Ones,” Statistica, 46, 199-208.

    3. Azzalini, A. and A. Capitaino, (2003) “Distributions Generated by Perturbation of Symmetry With Emphasis on a Multivariate Skew t-Distribution,” Journal of the Royal Statistical Society. Ser.B, 65, 367-389.

    4. Basso R. M., V.H. Lachos, C.R. Cabral, P. Ghosh, (2009) “Robust mixture modeling based on scale mixtures of skew-normal distributions,” Computational Statistics & Data Analysis, 12, 2926-2941.

    5. Bauwens L, Laurent S., (2005) “A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models, ” Journal of Business and Economic Statistics, 23:3, 346-354.

    6. Beber, A., M. W. Brandt, and K. A. Kavajecz (2009) “Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market.” Review of Financial Studies, 22, 925–957.

    7. Bollerslev, T., (1987) “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307-327.

    8. Carol, A. and E. Sheedy, (2008) "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, 32, 2220-2236

    9. Fernandez, C. and M. F. J. Steel (1998), “On Bayesian Modelling of Fat Tails and Skewness.” Journal of the American Statistical Association, 93, 359–371.

    10. Fraley, C. and A. E. Raftery, (2002) “Model-Based Clustering, Discriminant Analysis, and Density Estimation,” Journal of the American Statistical Association, 97, 611-631.

    11. Gregor, J., (1969) "An algorithm for the decomposition of a distribution into Gaussian components," Biornetrics, 26, 79-93.

    12. Hamilton, J. (1991), “A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions,” Journal of Business and Economic Statistics, 9, 1779-1801.

    13. Hewitt, C. C. Jr. and B. Lefkowitz, (1979) "Methods for Fitting Distributions to Insurance Loss Data," Proceedings of the Casualty Actuarial Society, LXVI, 139-160.

    14. Jones, M. C. and M. J. Faddy, (2003) “A skew extension of the t distribution, with applications,” Statist. Soc B, 65, 159–174.

    15. Jorion, P., (1995) “Predicting Volatility in the Foreign Exchange Market.” Journal of Finance, 2, 507-528

    16. Kim, J. and C. Finger (2000), “A stress test to incorporate correlation breakdown,” Journal of Risk, 2, 5-19.

    17. Lin, T. I., J. C., Lee, and H. F., Ni, (2004) “Bayesian Analysis of Mixture Modeling Using the Multivariate t Distribution,” Statistics and Computing, 14, 119-130.

    18. Lin, T. I., J. C., Lee, and S.Y., Yen, (2007) “Finite mixture modeling using the skew normal distribution,” Statistica Sinica, 17, 909-927.

    19. Markowitz, H., (1952) "Portfolio selection," Journal of Finance, 7, 77-91.

    20. McLachlan, G. J. and K. E. Basord, (1988) Mixture Models: Inference and
    Application to Clustering, Marcel Dekker, New York.

    21. McLachlan, G. J. and D. Peel, (2000) Finite Mixture Models, Wiely, New York.

    22. McLachlan, G. J. and D. Peel, (2000) “Robust Mixture Modeling Using the t
    Distribution,” Statistics and Computing, 10, 339-348.

    23. Mendenhall, W. and R.J. Hader, (1958) "Estimation of parameters of mixed
    exponentially distributed failure time distributions from censored life test data," Biometrika, 45, 504–520.

    24. Shoham, S., (2002) “Robust Clustering by Deterministic Agglomeration EM of Mixtures of Multivariate t-Distributions,” Pattern Recognition, 35, 1127-1142.

    25. Shoham, S., M. R., Fellows, and R. A. Normann, (2003) “Robust, Automatic Spike Sorting Using Mixtures of Multivariate t-Distributions,” Journal of
    Neuroscience Methods, 127, 111-122.

    26. Titterington, D. M., A. F. M. Smith, and U. E. Markov, (1985) Statistical
    Analysis of Finite Mixture Distributions, Wiely, New York.

    27. Venkataraman, S., (1997), “Value at risk for a mixture of normal distributions: the use of quasi-Bayesian estimation techniques,” Economic Perspective, Federal Reserve Bank of Chicago, 2—13.

    28. Wang, H. X., Q. B. Zhang, B. Luo, and S. Wei, (2004) “Robust Mixture Mod-
    elling Using Multivariate t Distribution With Missing Information”, Pattern
    Recognition Letter, 25, 701-710.

    29. Zangari, P.,(1996) “A VaR methodology for portfolios that include options,” RiskMetrics Monitor, 4–12.
    描述: 碩士
    國立政治大學
    財務管理研究所
    99357001
    100
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0099357001
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML2281檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋