| Reference: | 一、英文部分
1.Dowd, Kevin, 1998, “Beyond Value at Risk.” John Wiley & Sons
2.Danielsson, J. and C.G. de Vries, 1997, “Extreme returns, tail estimation, and value-at-risk.” University of Iceland and Tinbergen Institute, Erasmus University
3.Eberlein, E., and Keller, U., 1995, “Hyperbolic Distributions in Finance.” Bernoulli 1, pp281-299
4.Fama, E.F., 1965, “The Behavior of Stock Market Prices.” Journal of Business 38, pp.34-105
5.Francois Longin and Bruno Solnik, 2001, “Extreme Correlation of International Equity Markets.” The Journal of Finance Vol. LVI, NO. 2 April
6.Gregory P. Hopper, 1996 Sept/Oct, “Value-at-Risk, A New Methodology for Measuring Portfolio Risk.” The Federal Reserve Bank of Philadelphia Business Review, pp.19-30
7.Hendricks, D.1996., “Evaluation of Value-at-Risk Models using Historical Data.” The Federal Reserve Bank of New York Economic Policy Review, Vol.2, pp.152-171
8.Heyde, C.C., 1999, “A Risky Asset Model with Strong Dependence Through Fractal Activity Time” working paper
9.Hull J. and White A., 1998, “Value at Risk When Daily Changes in Market Variables Are Not Normally Distributed.” The Journal of Derivatives, pp.9-19
10.J.P. Morgan Technical Document, 1996, “Risk Metrics” Fourth Edition
11.Jorion, P., 2000, “Value at Risk: The New Benchmark for controlling Market risk.” McGraw-Hill
12.Jorion, P., 2001, ” How Informative are Value-at-Risk Disclosure?” working paper.
13.Lan-Chin Ho, Peter B., John C., Michael T., 2000, “Value-at-Risk: Applying the extreme value approach to Asian markets in the recent financial turmoil.” Pacific-Basin Finance Journal 8, pp. 249-275
14.Linsmeier, T., and Neil P., 2000, “Value at Risk.” Financial Analysts Journal 56(March), 47-67
15.Michael S. G., 2001, “ Incorporating Event Risk into Value-at-Risk.” Working paper
16.Paul H. Kupiec, 1995 Winter, “Techniques for verifying the accuracy of risk measurement models.” The Journal of Derivatives, pp. 73-84
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18.Praetz, P.D., 1972, “The Distribution of Share Price Changes.” Journal of Business 45, pp.49-55
19.Pritsker, M., 2001, “The Hidden Dangerous of Historical Simulation.” working paper
20.Smithson, Charles W., 1999, “Managing Financial Risk: A Guide to Derivative Products, Financial Engineering, and Value Maximization.” McGraw-Hill
21.Tanya S. B., “VAR: Seductive but Dangerous.” Financial Analysts Journal. (1995 Sep-Oct), pp.12-24
22.Venkataraman, S, 1997, “Value at Risk for mixture of normal distributions: The use of quasi-Bayesian estimation techniques.” The Federal Reserve Bank of Chicago Economic Perspectives, March/April, pp2-13.
二、中文部分
1.林潔珍，2000，「風險值之衡量與驗證：以台灣債券市場投資組合為例」國立台灣大學財務金融研究所碩士論文。
2.王俊懿，2000，「金融組合風險值之研究」國立台灣大學國際企業研究所碩士論文
3.胡聯國、康榮寶、林修葳、賀蘭芝，2000，「推動我國綜合證券商採用涉險值模式(VaR)控管市場風險研究計畫」
4.蒲建亨，2001，「整合VaR法之衡量與驗證~以台灣金融市場投資組合為例」國立政治大學國際貿易研究所碩土碩文。 |
