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Rozprawy doktorskie na temat „Value at risk”

Autor: Grafiati

Data publikacji: 4 czerwca 2021

Data aktualizacji: 25 lipca 2025

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1

Tran, Manh. "Value-at-risk estimates." Thesis, Aston University, 2018. http://publications.aston.ac.uk/37813/.

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This thesis consists of three empirical essays on the Value-at-Risk (VaR) estimates. The first empirical study (Chapter 2) evaluates the performance of bank VaRs. The second empirical study (Chapter 3) investigates the predictive power of various VaR models using bank data. The third empirical study (Chapter 4) explores VaR estimates with high-frequency data. The first study examines the performance of VaR estimates at seven international banks from 2001 to 2012. Using statistical tests, we find that bank VaRs were conservatively estimated in pre-crisis and post-crisis periods. During financia

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Novák, Martin. "Value at Risk models for Energy Risk Management." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-71889.

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The main focus of this thesis lies on description of Risk Management in context of Energy Trading. The paper will predominantly discuss Value at Risk and its modifications as a main overall indicator of Energy Risk.

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Heidrich, Matthias [Verfasser]. "Conditional Value-at-Risk Optimization for Credit Risk Using Asset Value Models / Matthias Heidrich." München : Verlag Dr. Hut, 2012. http://d-nb.info/1020299681/34.

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Hager, Peter. "Corporate Risk Management : Cash Flow at Risk und Value at Risk /." Frankfurt am Main : Bankakademie-Verl, 2004. http://www.gbv.de/dms/zbw/378196367.pdf.

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Samiei, Saeid. "Studies in value-at-risk." Thesis, Cardiff University, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.273586.

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CARVALHO, RENATO RANGEL LEAL DE. "EXTREME VALUE THEORY: VALUE AT RISK FOR FIXED-INCOME ASSETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8245@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>A partir da década de 90, a metodologia Value at Risk (VaR) se difundiu pelo mundo, tanto em instituições financeiras quanto em não financeiras, como uma boa prática de mensuração de riscos. Em geral, abordagens paramétricas são muito utilizadas pelo mercado, apesar de freqüentemente não levarem em conta uma característica muito encontrada nas distribuições dos retornos de ativos financeiros: a presença de caudas pesadas. Uma abordagem baseada na Teoria dos Valores Extremos (TVE) é uma boa solução quando se deseja modelar

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PIRES, GUSTAVO LOURENÇO GOMES. "EXTREME VALUE THEORY: VALUE AT RISK FOR VARIABLE-INCOME ASSETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11850@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>A partir da década de 90, a metodologia de Valor em Risco (VaR) se difundiu pelo mundo, tanto em instituições financeiras quanto em não financeiras, como uma boa prática de mensuração de riscos. Um dos fatos estilizados mais pronunciados acerca das distribuições de retornos financeiros diz respeito à presença de caudas pesadas. Isso torna os modelos paramétricos tradicionais de cálculo de Valor em Risco (VaR) inadequados para a estimação de VaR de baixas probabilidades, dado que estes se baseiam na hipótese de normalidade para as

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8

Sampid, Marius Galabe. "Refining Value-at-Risk estimates : an extreme value theory approach." Thesis, University of Essex, 2018. http://repository.essex.ac.uk/22776/.

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This thesis proposes new approaches to Value-at-Risk estimation using (1) Multivariate GARCH Dynamic Conditional Correlation volatility model with skewed Student’s-t distributions, (2) Bayesian GARCH model with Student’s-t distribution, and (3) Bayesian Markov-Switching GJR-GARCH model with skewed Student’s-t distributions, incorporating copula functions and extreme value theory. A new approach for selecting a proper threshold in the Peaks Over Threshold method for extreme value theory analysis called the hybrid method is also proposed. The proposed Value-at-Risk models are compared to the tra

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Karlsson, Malin, and Jonna Flodman. "Value at Risk : A comparison of Value at Risk models during the 2007/2008 financial crisis." Thesis, Örebro universitet, Handelshögskolan vid Örebro universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-16023.

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The financial crisis of 2007/2008 brought about a debate concerning the quality of risk management models, such as Value at Risk (VaR) models. Several studies have tried to make conclusions about multiple VaR models in periods around the crisis. The conclusions differ, but the Extreme Value Theory (EVT) is considered to be a good prediction model in times of unstable financial markets. In this thesis, the VaR for six financial instruments; the OMXS 30, the OMX Stockholm Financials PI, the OMX Stockholm Materials PI and the currencies USD/SEK, GBP/SEK and EUR/SEK are estimated with the Histori

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10

Weisner, Torben. "Value-at-Risk and Extreme Events." Thesis, Uppsala University, Department of Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-130471.

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<p>The purpose of this thesis is to test the risk-measure Value-at-Riskand techniques for calculating it on data from the Financial Crisis of2007–2010. Different “pre-Financial Crisis” approaches to calculatingValue-at-Risk are considered, and tested on data from the period ofthe Financial Crisis. Also combinations of different approaches aretested.</p><p>Estimation of Value-at-Risk is done using the two different frame-works: Historical simulation (regular and the Hybrid approach) andparametric (conditional heteroscedastic) models.</p><p>The conditional heteroscedastic models considered are t

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Powell, Robert. "Industry value at risk in Australia." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2007. https://ro.ecu.edu.au/theses/297.

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Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 which allows banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. Conditional Value a

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Cecchinato, Nedda. "Forecasting time-varying value-at-risk." Thesis, Queensland University of Technology, 2010. https://eprints.qut.edu.au/32185/1/Nedda_Cecchinato_Thesis.pdf.

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In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the

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Broll, Udo, Andreas Förster, and Wilfried Siebe. "Market Risk: Exponential Weightinh in the Value-at-Risk Calculation." Technische Universität Dresden, 2020. https://tud.qucosa.de/id/qucosa%3A72009.

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When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of expo-nential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases, this leads to a reduction in VaR and thus to lower own funds requirements for credit institutions. However, in the ex-ponential weighting a hig

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Norberg, Markus, and Johanna Petersson. "Artificial Value-at-Risk : Using Neural Networks to Replicate Filtered Historical Simulation for Value-at-Risk Calculations." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185054.

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Since financial markets are considered risky, there is a need to have credible tools that can estimate these risks. For a Central Clearing Counterparty it is of utmost importance to conduct accurate estimations of its members’ risk exposures to deter-mine their margin requirements. We have together with the Nasdaq Risk Analytics Engineering team, which provides systems for clearing risk managers, initiated this project to investigate how Artificial Intelligence can be implemented to support daily risk calculations made today. We have focused on Neural Networks because of their ability to effec

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15

Tolikas, Konstantinos. "An application of extreme value theory in value-at-risk estimation." Thesis, University of Dundee, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.491268.

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Ganief, Moegamad Shahiem. "Development of value at risk measures : towards an extreme value approach." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52189.

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Thesis (MBA)--Stellenbosch University, 2001.<br>ENGLISH ABSTRACT: Commercial banks, investment banks, insurance companies, non-financial firms, and pension funds hold portfolios of assets that may include stocks, bonds, currencies, and derivatives. Each institution needs to quantify the amount of risk its portfolio is exposed to in the course of a day, week, month, or year. Extreme events in financial markets, such as the stock market crash of October 1987, are central issues in finance and particularly in risk management and financial regulation. A method called value at risk (VaR) can

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Ngwenza, Dumisani. "Quantifying Model Risk in Option Pricing and Value-at-Risk Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31059.

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Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston a

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Ansaripoor, Amir Hossein. "Risk management in sustainable fleet replacement using conditional value at risk." Thesis, Cergy-Pontoise, Ecole supérieure des sciences économiques et commerciales, 2014. http://www.theses.fr/2014ESEC0006.

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L’objet de cette thèse est d’analyser comment traiter le problème de renouvellement du parc en tenant compte de la durabilité, tout en se plaçant dans une perspective de gestion du risque. Cette thèse apporte une double contribution, au niveau de la politique de gestion du parc et à celui de la méthode utilisée pour appliquer cette politique. Au niveau de la politique, elle étudie l’effet de l’adoption de nouveaux véhicules, disposant d’une technologie de pointe, sur le risque et le coût escompté du système de gestion du parc. Au niveau méthodologique, cette thèse apporte trois contributions.

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Malfas, Gregory P. "Historical risk assessment of a balanced portfolio using Value-at-Risk." Link to electronic thesis, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-0430104-025952/.

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Quintanilla, Maria T. "An asymptotic expansion for value-at-risk." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ29264.pdf.

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Cheuk, Wai Lun. "Value at risk and the distortion operator." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/MQ59273.pdf.

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Røynstrand, Torgeir, Nils Petter Nordbø, and Vidar Kristoffer Strat. "Evaluating power of Value-at-Risk backtests." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2012. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-20961.

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Value-at-Risk (VaR) models provide quantile forecasts for future returns. If a loss is greater than or equal to the corresponding VaR forecast, we have a breach. A VaR model is usually validated by considering realized breach sequences. Several statistical tests exist for this purpose, called backtests. This paper presents an extensive study of the statistical power for the most recognized backtests. We simulate returns and estimate VaR forecasts, resulting in breach sequences not satisfying the null hypothesis of the backtests. We apply the backtests on the data, and assess their ability to r

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Jimaale, Abdi. "Value at Risk : Utvärdering av fyra volatilitetsmodeller." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-37805.

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Kyriacou, Marios Nicou. "Financial risk measurement and extreme value theory." Thesis, University of Cambridge, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.621397.

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Yang, Shuai. "Jumps, realized volatility and value-at-risk." Thesis, University of Exeter, 2012. http://hdl.handle.net/10036/3893.

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This thesis consists of three research topics, which together study the related topics of volatility jumps, modeling volatility and forecasting Value-at-Risk (VaR). The first topic focuses on volatility jumps based on two recently developed jumps detection methods and empirically studied six markets and the distributional features, size and intensity of jumps and cojumps. The results indicate that foreign exchange markets have higher jump intensities, while equity markets have a larger jump size. I find that index and stock markets have more interdependent cojumps across markets. I also find

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Ferretti, Nicola <1998&gt. "Extreme Value Theory for Portfolio Risk Management." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/21806.

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This paper provides an overview of the role of extreme value theory in risk management as a method for modelling and measuring extreme risks. In particular, it is shown the peaks-over-threshold (POT) model and how this method provides a tool for estimating measures of tail risk like Value-at-Risk (VaR) and expected shortfall. Further topics of interest, including State-Space model, Block Maxima, Markowitz model and a real data application, are also discussed.

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Grönberg, Jonathan. "Study and Case of Wrong-Way Risk : Explorative Search for Wrong-Way Risk." Thesis, Karlstads universitet, Handelshögskolan (from 2013), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-72689.

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Usage of financial measurements that address the default probability of counterparties have been market practice for some time. Quantifying counterparty credit risk is usually done through the credit value adjustment which adjusts the value from a risk-free value to a risky value. When quantifying the credit value adjustment there is an important assumption that the financial exposure (value) and probability of counterparty default are independent variables. Wrong-way risk implies a relationship where exposure and probability of default are increasing together. It is an unfavourable relationsh

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Seymour, Anthony. "Application of extreme value theory to the calculation of value-at-risk." Master's thesis, University of Cape Town, 2001. http://hdl.handle.net/11427/4930.

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Includes bibliographical references.<br>The main aim of the study was to test the applicability of published EVT-based VaR calculation methods to the South African market. Two methods were tested on a hypothetical portolio of South African stocks, using the standard backtesting technique.

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Siu, Kin-bong Bonny. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B37727473.

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Siu, Kin-bong Bonny, and 蕭健邦. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.

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Christodoulou, Michalis. "Covariance matrix estimation applied in value-at-risk and margin risk methodologies." Thesis, Imperial College London, 2005. http://hdl.handle.net/10044/1/8198.

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Eriksson, Kristofer. "Risk Measures and Dependence Modeling in Financial Risk Management." Thesis, Umeå universitet, Institutionen för fysik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-85185.

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In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. The dependence is therefore directly linked to the risk of the portfolio. The risk can be estimated by several different risk measures, for example Value-at-Risk and Expected shortfall. This paper studies some different ways to measure risk and model dependence, both

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Coster, Rodrigo. "Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e Value at Risk." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2013. http://hdl.handle.net/10183/76203.

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A mensuração do risco de um investimento é uma das mais importantes etapas para a tomada de decisão de um investidor. Em virtude disto, este trabalho comparou três métodos de estimação (tradicional, através da analise univariada dos retornos do portfólio; cópulas estáticas e cópulas dinâmicas) de duas medidas de risco: Value at Risk (VaR) e Expected Shortfall (ES). Tais medidas foram estimadas para o portfólio composto pelos índices BOVESPA e S&P500 no período de janeiro de 1998 a maio de 2012. Para as modelagens univariadas, incluindo as marginais das cópulas, foram comparados os modelos GARC

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Jui-Cheng, Hung. "Value-at-Risk Measures and Value-at-Risk based Hedging Approach." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0002-1101200712485400.

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Hung, Jui-Cheng, and 洪瑞成. "Value-at-Risk Measures and Value-at-Risk based Hedging Approach." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/15961485385121826218.

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博士<br>淡江大學<br>財務金融學系博士班<br>95<br>This study focuses on VaR measurement and VaR-based hedge ratio, and it contains three parts. The first part is titled “Estimation of Value-at-Risk under Jump Dynamics and Asymmetric Information”, the second part is named “Hedging with Zero-Value at Risk Hedge Ratio”, and the last one is “Bivariate Markov Regime Switching Model for Estimating Multi-period zero-VaR Hedge Ratios and Minimum Variance Hedge Ratios”. A brief introduction of these three parts is described as follow: The first part employs GARJI, ARJI and asymmetric GARCH models to estimate the one-

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鄭筱卉. "The Application of Value at Risk in Earned Value Management ─ Schedule At Risk." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/49295434092208013587.

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碩士<br>國立交通大學<br>土木工程學系<br>100<br>There are many risk factors at each stage in project’s life cycle, each execution factors are likely to give many risks results and increase the uncertainty of this project,also the job achieve time or total finalization may have the negative effect, the effects can cause the huge odds for actual completion. Consider all risks must use to cover the whole environmental factors and with the construction time to update the risk prediction tool that may occur in the case. The study of this project, using the earned value management methods for performance eva

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Tsai, Rou-Shin, and 蔡柔忻. "Risk Attitude、Optimal Portfolio and Value at Risk." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/24533263559994455446.

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碩士<br>中原大學<br>國際貿易研究所<br>97<br>Abstract As the financial derivatives been rapidly developed, various kinds of investment tools have been constantly renovateing. In fact, Markowitz’s portfolio concept is still the benchmark for most investment behavior in the financial market. Although the innovation of investment tools and related financial derivatives can offer more scattered fund for financial market, more risk derived from the fluctuation of asset price comes with that. Therefore, the concept of risk management becomes more important for investors and managers. Based on this reason, this s

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Chen, Shia-Ping, and 陳嘉平. "Liquidity Risk, Price Limit and Value at Risk." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/03619778003822827691.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>89<br>Market risk management traditionally focused on the distribution of portfolio value changes resulting from moves in each asset price. Hence the market risk is really a pure form；risk in an idealized market with no friction in obtaining the fair price. However, many markets had an additional liquidity component that arises from a trader did not realized the price we see when liquidating his position. We argue that the deviation of the liquidation price from the market price we see should be added into our risk measures in order to capture the true level of over

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Wu, Yi-Fang, and 吳一芳. "Estimation of the Risk in Value at Risk." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/19544859390224179649.

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碩士<br>東吳大學<br>商用數學系<br>90<br>Value at Risk (VaR) has become the standard tool used by many financial institutions to measure market risk. However, a VaR estimator may be affected by sample variation or estimation risk. Accordingly, the concept of risk in Value at Risk introduced by Jorion (1996) should be concerned. That is, we should cautiously look at the VaR and better use it with its confidence interval. After surveying several existing procedures proposed by Jorion (1996), Huschens (1997), and Ridder (1997), we propose a new way to measure the risk in Value at Risk in this pape

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LEWANDOWSKI, Michal. "Risk Attitudes and Measures of Value for Risky Lotteries." Doctoral thesis, 2010. http://hdl.handle.net/1814/13217.

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Defense date: 15/01/2010<br>Examining Board: Professor Pascal Courty, University of Victoria, Canada, Supervisor Professor Fernando Vega-Redondo, EUI Professor Roberto Serrano, Brown University Professor Robert Sugden, University of East Anglia<br>The topic of this thesis is decision-making under risk. I focus my analysis on expected utility theory by von Neumann and Morgenstern. I am especially interested in modeling risk attitudes represented by Bernoulli utility functions that belong to the following classes: Constant Absolute Risk Aversion, Decreasing Absolute Risk Aversion (understood as

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Hu, Shun-Ting, and 胡舜婷. "Application of Extreme Value Theory to Measure Value at Risk and Risk-Based Capital." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/75641784529902308353.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>97<br>Extreme returns are of the most concern to investors and regulators. Risk management is the key to reduce the impact of extreme returns. Value at Risk (VaR) has been used as a measure of risk. VaR estimates the largest potential loss to investors in a specified investment horizon at the specified confidence interval. Various VaR models have been developed under different assumptions. The extreme value theory (EVT) fits only the extreme values to a distribution instead of taking the whole distribution into consideration. We seek to apply the EVT to calculate th

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Svatoň, Michal. "Zajištění Value at Risk a podmíněného Value at Risk portfolia pomocí kvantilových autoregresivních metod." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-294263.

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Futures contracts represent a suitable instrument for hedging. One conse- quence of their standardized nature is the presence of basis risk. In order to mitigate it an agent might aim to minimize Value at Risk or Expected Shortfall. Among numerous approaches to their modelling, CAViaR models which build upon quantile regression are appealing due to the limited set of assumptions and decent empirical performance. We propose alternative specifications for CAViaR model - power and exponential CAViaR, and an alternative, flexible way of computing Expected Shortfall within CAViaR framework - Implie

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邱靜妤. "The Application of Value at Risk in Earned Value Management – Budget at Risk Model." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/59550824646407993892.

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碩士<br>國立交通大學<br>土木工程學系<br>100<br>Generally, project risk management focuses on the ex ante works - risk identification, risk analysis and risk response, expecting to reduce the possibility of facing severe problems caused by risk factors. However, there are still a lot of risk factors that are unexpectable. In order to set up a complete risk management strategy, it is important to know how to quantify the risk. In project management technology, Earned Value Management System (EVMS) is considered one of the best methods in many countries. Recently, research and application in EVMS has become mo

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Lee, Tung-Chin, and 李東錦. "Risk Disclosure,Risk Management,and Bank Value-at-Risk: International Study." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/05694821065905708100.

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碩士<br>南華大學<br>財務金融學系財務管理碩士班<br>102<br>Using hand-collected data on top 500 banks around the world, this theses empirically investigates the joint impacts of risk disclosure and internal risk management on bank Value-at-Risk (VaR) in context of international evidence. Our empirical evidences indicate that banks with higher quality of risk disclosure and better risk management show lower VaR. Regarding the bank corporate governance, banks with higher board compensations and independent board ratio would significantly reduce bank’s downside risk while banks with larger boards would increase bank

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Liu, Chih-Yung, and 劉志勇. "Value at Risk of Option." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/29682964842112454979.

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碩士<br>東吳大學<br>經濟學系<br>89<br>Abstract The level of market risk is expressed by variety in most financial theories. However what variety can be is only the entire scatter degree of financial variables. As for market risk , what scary most is not the fluctuation of daily financail variables but the influence which is not often caused in probabilty distribution while the financial market collapses. Market risk is not enough simlpy to be explained by variety. Therefore , in order to estimate market risk , it is necessary to present a risk-measured index which shows the most probable

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Tang, Wei-Ting, and 湯偉廷. "Evaluation of Value-at-Risk." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/42661678645909130064.

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碩士<br>國立暨南國際大學<br>國際企業學系<br>91<br>Value-at-Risk (VaR) models have been radically developed to measure the market risk. In this paper, we apply both hypothesis-testing and relative performance criteria to evaluate different VaR models. The results suggest that both SWARCH-L model and adjusted-historical simulation model have better performance across all criteria. The strength of SWARCH approach is its efficiency to track the evolution of risk in terms of its highest correlation, only it tends to produce too few exceptions. For future researches, we suggest it may be more accurate to allow for

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Rodrigues, Pedro Diogo Guimarães. "Backtesting Value-at-Risk Models." Master's thesis, 2017. http://hdl.handle.net/1822/46454.

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Dissertação de mestrado em Finanças<br>In the last decades, Value-at-Risk has become one of the most popular risk measurements techniques in the financial world. However, VaR models are only useful if they predict risk accurately. In order to evaluate the quality of the VaR estimates, it is necessary to perform appropriate and diverse backtesting methodologies. In this study I test VaR estimates obtained from an unconditional parametric models (student-t generalized error, skewed student-t, pareto, and Weibull distributions) for four stock market indexes (DJIA, SP-500, Nikkei 225 and Dax

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Chen, Shih-hui, and 陳世慧. "Value at Credit Risk-CreditMetrics." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/36112727071414386937.

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碩士<br>中國文化大學<br>會計研究所<br>90<br>This study applies the CreditMetrics model to evaluate credit risk by the factor of credit rating、recovery rate、probability of default and credit spread. The change of credit rating exists correlation between assets. That is why it needs to consider the correlation of credit rate change of the portfolio while evaluating the credit risk. But the existed methods could not provide the influence of group at some smaller region, like Taiwan. The purpose of this study is to verify if the group correlation will influence the cor-relation of the credit rate ch

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施勇任. "Value-at-risk of option." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/49920182612404079200.

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碩士<br>東吳大學<br>商用數學系<br>90<br>In general, the delta method which employed first order Taylor’s expansion is used to approximate the relationship between derivatives and its underlying factors when the portfolio contain non-linear contract such as options. If the performance of delta method does not perform well enough, the second order Taylor’s expansion, called delta-gamma method, can be employed. There are two potential errors implied in the delta approximation and delta-gamma approximation. First, the error of distribution assumption will occur when the distribution of underlying is not a no

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Shih, Shin-hua, and 施欣華. "The Estimation of Value at Risk in the Exchange Rate - Comparing Value at Risk Models." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/2vwwxj.

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碩士<br>國立高雄應用科技大學<br>金融資訊研究所<br>95<br>The foreign exchange market is the biggest financial market in the world. The enterprise, having open foreign exchange position, always care the risk being caused by the fluctuation of exchange rate. The risk of exchange rate is caused by hedging incompletely. The careless and indiscreet in the risk of exchange rate possibly can bring about the global enterprise to have the significant loss and to reduce the competitive ability. Therefore it’s really important to construct the risk management system and to evaluate effectively the risk of exchange rate .

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