| 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. |
