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| Title: | 厚尾、偏態與壓力測試：混合分配模型的應用 |
| Authors: | 林子慶 |
| Contributors: | 杜化宇
林子慶 |
| Keywords: | 壓力測試
厚尾
偏態
混合分配
一般化偏態t分配 |
| Date: | 2011 |
| Issue Date: | 2012-10-30 10:13:59 (UTC+8) |
| Abstract: | 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。 |
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| Description: | 碩士
國立政治大學
財務管理研究所
99357001
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0099357001 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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