政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85602
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85602


    Title: 以風險值衡量銀行外匯部位資本之計提
    Authors: 陳昀聖
    Chen, Yun-Sheng
    Contributors: 陳威光
    陳昀聖
    Chen Yun-Sheng
    Keywords: 標準法
    風險值法
    變異數-共變異數法
    歷史模擬法
    極端值法
    回溯測試
    Value at Risk
    Extreme Value Theory
    Backtesting
    Date: 2002
    Issue Date: 2016-04-20 11:12:00 (UTC+8)
    Abstract: 本論文的目的在比較標準法和風險值法（VaR）於外匯部位資本計提數額上的差異。在VaR法方面，本篇採用變異數-共變異數法、歷史模擬法以及極端值法等三種衡量方法，並利用回溯測試（backtest）對三種方法預測風險的能力做一檢測。標準法是指財政部規定的資本計提標準方法。
    Reference: 中文部份
    1、易玲玲，「台灣資本適足性與銀行外匯風險管理之實證研究」，國立東華大學企業管理研究所碩士論文， 民國88年6月。
    2、財政部金融局，「銀行自有資本與風險性資產計算方法說明」，金融研究參考資料之五十四，民國88年5月。
    英文部份
    1. Basle Committee on Banking Supervision, 1996a, Supervisory Framework for the Use of "Backtesting" in Conjunction with the Internal Models Approach to Market Risk Capital Requirements, BIS, Basel, Switzerland.
    2. Basle Committee on Banking Supervision, 1996b, Overview of the Amendment to the Capital Accord to Incorporate Market Risks, BIS, Basel, Switzerland.
    3. Dowd, K. 1999, "The Extreme Value Approach to VaR-An Introduction," Financial Engineering News.
    4. Dowd, K. 1999, Beyond Value at Risk : The new science of risk management, New York : John Wiley & Sons.
    5. Hendricks, D. 1996, "Evaluation of Value-at-Risk Models Using Historical Data," Federal Reserve Bank of New York, Economic Policy Review, April 1996, pp. 39-69.
    6. Jackson, P., Maude D. J. and W. Perraudin, "Bank Capital and Value at Risk," The Journal of Derivatives 4/3, Spring 1997, pp. 73-90.
    7. Danielsson, J.,P. Hartmann and Vries, 1998,"The Cost of Conservatism: Extreme Return, Value-at-Risk, and the Basle `Multiplication Factor`," Risk.
    8. Jorion, P., 1997, Value at Risk: The new Benchmark for Controlling Market Risk, Irwin.
    9. Kupiec, P., 1995, "Techniques for verifying the accuracy of risk management models," Journal of Derivative 3:73-84.
    10. Levonian, M., 1994, "Bank Capital Standards for Foreign Exchange and Other Market Risks," Federal Reserve Bank of San Francisco Economic Review, P3-18.
    11. McNeil, A. J., 1999, "Extreme Value Theory for Risk Managers," ETH Zentrum.
    12. Lopez, J., 1998, "Methods for Evaluating Value-at-Risk Estimates," Federal Reserve Bank of New York, Research Paper no.9802.
    13. Weston, S. and B. Gray, 1994, " The Supervisory Treatment of Banks` market Risk," Research Discussion Paper, Bank Supervision Department Reserve Bank of Australia.
    Description: 碩士
    國立政治大學
    金融研究所
    88352014
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002000283
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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