一、中文部分：
1.黃慧芊，1998，台灣股匯市投資組合風險值之計算與評估，國立中央大學，碩士論文。
2.洪瑞成，2002，風險值之探討-對稱與不對稱波動GARCH模型之應用，私立淡江大學，碩士論文。3.李慧慈，2002，中央銀行之外匯管理，私立東吳大學，碩士論文。4.彭華櫻，2003，風險值的衡量與驗證-匯率的實證研究，私立淡江大學，碩士論文。5.張力文，2003，從可轉換公司債的評價到風險評估，私立淡江大學，碩士論文。6.張智超，2004，原油價格風險值的估計-拔靴法的應用，私立淡江大學，碩士論文。7.李進生、謝文良、林允永、盧陽正，2001，「風險管理(VaR)理論與應用」，清蔚科技出版社。
二、英文部分：
1.Alexander, C. and Leigh, 1997, “On the Covariance Matrices Used in Value at Risk Models”, Journal of Derivatives, pp.50-62, Spring
2.Beder, T., 1995,“VAR：Seductive But Dangerous” , Financial analysts Journal 51,12-24
3. Bollerslev, T., 1986, “Generalized Autoregressive Condition Heteroskedasticity,”Journal of Econometrics, 31, pp.307-327.
4.Danielsson, J., L. de Haan, L. Peng and C. G. de Vries ,1997, “Using bootstrap method to choose the sample fraction in tail index estimation,” Working Paper.
5.Duffie, D., and J. Pan.,1997, “An Overview of Value at Risk”, Journal of Derivatives, pp.7-49
6. Dickey, D. A. and W. A. Fuller, 1979, “Distribution of the estimators for time series regressions with a unit root”, Journal of Future American Statistical Association,
7. Dickey, D. A. and W. A. Fuller, 1981, “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica,
8.Engle, R., 1982, :Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica 50, 987-1007
9.Hendricks, D. ,1996, “Evaluation of Value-at-Risk Models Using Historical Data”, Economic policy review, April, Federal Reserve Bank of Philadelphia.
10. Hull, John, and Allan White, 1998a, “Incorporating Volatility Updating into the Historical Simulation Method for Value-at-Risk”, Journal of risk, pp.5-19.
11.Hull, John and Allan White, 1998b, “Value at Risk when daily changes in market variables are not normally distribution”, Journal of Derivatives, pp.9-19, Spring.
12.Jorion ,Philippe,1997a, “VALUE AT RISK－The New Benchmark for Controlling Market Risk”.
13.Jorion ,Philippe,1997b, “Risk2：Measuring the Risk in Value at Risk”, Financial Analysis Journal , pp.47-56, November/December .
14.Jorion ,Philippe,2001, “VALUE AT RISK－The New Benchmark for Managing Financial Risk”.
15.J.P. Morgan-Technical Document, 1995, Morgan Guaranty Trust Company
16.Kupiec, Paul, 1995, “ Techniques for Verifying the Accuracy of Risk Measurement Models,” Journal of Derivatives 2 (December), 73-84
17.Lopez, J.A.,1998, “Methods for Evaluating value-at-risk Estimates”, Federal Reserve Bank of New York, Economic Policy Review, pp. 119-124
18.Morkowitz, H., 1952, “Portfolio Selection,” Journal of Finance 7,77-91.
19.Simons, K., 1996, “Value at Risk-New Approaches to Risk Management , New England Economic Review, New England Review, pp.3-13, September/October.
20.Zangari, Peter 1996, “An Improved Methodology for Measuring VaR”, RiskMetricsTM-Monitor, Second Quarter, New York.
21.Venkataraman, S.，1997，“Value at Risk for a Mixture of Normal Distributions：The Use of Quasi-Bayesian Estimation Techniques.” Economic Perspectives, March 1997.