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系統識別號 U0026-0812200913453054
論文名稱(中文) 極值理論與其在財務風險值的應用
論文名稱(英文) Extreme-Value Theory and Its Financial VaR Applications
校院名稱 成功大學
系所名稱(中) 統計學系碩博士班
系所名稱(英) Department of Statistics
學年度 95
學期 2
出版年 96
研究生(中文) 王永賜
研究生(英文) Yung-Tzu Wang
學號 r2694109
學位類別 碩士
語文別 中文
論文頁數 56頁
口試委員 口試委員-梁雪富
指導教授-黃銘欽
口試委員-蘇永在
中文關鍵字 GARCH模型  超越門檻值法  區塊極大值法  風險值  極值理論 
英文關鍵字 Extreme value theorem  Peaks over threshold method  Block maxima method  GARCH model  VaR 
學科別分類
中文摘要 本論文探討極值理論於厚尾報酬率下之風險值,結合GARCH模型以捕捉報酬率之條件異質變異。實證上應用極值理論在高信賴水準之下單一資產的風險值估計,獲得準確結果,在納入GARCH模型更充分捕捉資產報酬厚尾與條件異質波動。此外,對於兩資產投資組合,使用Longin (2000)所提出的投資組合風險值模型以極值理論進行兩資產投資組合風險值估算,其與單一資產有同樣的結果。
英文摘要 This thesis studied the extreme value theory on the estimation of the VaR for the financial investment with fat-tailed return distribution. It also explored the GARCH model when it came to model the conditional heteroscedasticity in the financial return data.
Empirical study showed the results that the extreme value theory is useful to accurately estimate VaR for a single asset at high confidence level. It also showed that incorporating a GARCH model for the conditional heteroscedasticity can adequately model the fat tail and heteroscedastical volatility of financial assets.
For the two-asset portfolio, an algorithm proposed by Longin(2000) was used to calculate the VaR for the portfolio. Similar results were obtained as the single –asset portfolio.
論文目次 中文摘要 I
ABSTRACT II
目錄 IV
表目錄 VI
圖目錄 VII
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 2
第二章 文獻探討 3
第三章 理論與方法 6
第一節 風險值 6
第二節 極值理論與模型 11
第三節 應用時間序列之風險值模型 26
第四節 使用極值理論於投資組合風險值 30
第五節 風險值評估 30
第四章 實例分析與結果 34
第一節 資料來源與初步統計分析 34
第二節 非條件極值理論估算風險值 38
第三節 條件極值理論與回溯測試 40
第四節 投資組合風險值 51
第五章 結論與建議 53
參考文獻 54
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[20] Longin, F. M. (2000), “From Value at Risk to Stress Testing: The Extreme Value Approach,” Journal of Branking & Finance, 24, 1097-1130.
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