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博碩士論文 etd-0706100-152437 詳細資訊
Title page for etd-0706100-152437
論文名稱
Title
非線性部位之VaR模型探討
The Study of Nonlinear VaR Models
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
79
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2000-07-03
繳交日期
Date of Submission
2000-07-06
關鍵字
Keywords
分配系統、風險控管、涉險值
System of distributions, Risk Management, Value at Risk
統計
Statistics
本論文已被瀏覽 5691 次,被下載 3686
The thesis/dissertation has been browsed 5691 times, has been downloaded 3686 times.
中文摘要
非線性的投資組合通常具有Fat-tail現象,而且獲利或損失的機率分配也不呈現常態,用Delta-Normal 的一階近似結果過於簡化,尤其在衍生性商品投資組合的delta很小時會產生很大的偏誤。

因此本文運用可以近似真實分配的Johnson Transformation,以及Cornish-Fisher展開式放寬常態分配假設,來減少因為錯誤分配假設下所導致的誤差,以期能對於非線性部位之衍生性金融商品所構成的投資組合,求算出較合理的VaR。最後利用模擬分析發現這兩種方法較Delta-Normal法產生顯著的改善。

Abstract
None
目次 Table of Contents
目錄

第一章 緒論

第一節 研究動機與目的 1
第二節 研究內容與架構 2
第三節 研究方法與限制 3

第二章 文獻回顧

第一節 VaR的起源 4
第二節 VaR的定義 5
第三節 s 的估計 6
第四節 VaR的計算 8
第五節 VaR模型的適用性評估 20
第六節 國內VAR相關論文整理 24

第三章 Nonlinear VaR模型的探討

第一節 Delta-Gamma Method的一般化探討 29
第二節 分配系統在VaR的應用 33
第三節 非線性部位VaR估計的流程 53

第四章 模擬分析(Simulation Analysis)

第一節 Johnson System估計方式的比較 54
第二節 單變數模擬比較 58
第三節 多變數模擬比較 61

第五章 結論與建議

第一節 結論 64
第二節 後續研究建議 65

附錄 66
參考文獻 75
參考文獻 References
文獻參考

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