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研究生:侯雅文
研究生(外文):Ya-Wen Hou
論文名稱:風險值估計:修正後的StressVaR模型
論文名稱(外文):Value-at-Risk Estimation:Modified StressVaR Approach
指導教授:王功亮王功亮引用關係
指導教授(外文):David K. Wang
學位類別:碩士
校院名稱:國立高雄大學
系所名稱:金融管理學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:35
中文關鍵詞:StressVaR模型Carhart四因子模型風險值波動度風險值預測範圍
外文關鍵詞:StressVaR modelCarhart four-factor modelVaR volatilityVaR range
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本研究主要針對Coste, Douady與Zovko於2009年提出的風險值評估模型─StressVaR,並利用Carhart(1997)用來解釋股票報酬之四因子(市場因子、規模因子、淨值市值比因子及動能因子)來修正Coste等人提出的StressVaR模型。我們以2010年1月至2014年12月美國摩根大通(J.P. Morgan)銀行的每日股票報酬為研究樣本,且根據Danielsson(2002)的風險值模型測試方法─風險值波動度(VaR volatility)及風險值預測範圍(VaR range)來檢驗風險值模型的預測能力。實證結果顯示修正後StressVaR模型的表現顯著優於GARCH模型和變異數─共變異數法的估計結果。
In this study, we modify the StressVaR model proposed by Coste et al. (2009). We adopt Carhart(1997)four-factor approach (i.e., market risk factor, size factor, book-to-market factor and price momentum factor)to improve the efficiency of the model. We use JP Morgan’s daily stock return as a sample, and Danielsson’s(2002)VaR volatility and range approaches to test the predictive ability of our models. The empirical results show that the performance of modified StressVaR model is significantly better than the GARCH and Variance-Covariance models.
目錄

中文摘要 I
英文摘要 II
謝辭 III
表目錄 V
圖目錄 VI
第一章 緒論 1
第二章 文獻回顧 5
第三章 研究方法 8
第一節 修正後StressVaR模型 8
第二節 其他風險值模型 10
第三節 回溯測試 13
第四章 實證結果與分析 17
第一節 樣本介紹 17
第二節 實證結果 18
第五章 結論 26
參考文獻 27
參考文獻
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Christoffersen, P. (1998). Evaluating interval forecasts. International Economic Review, 841-862.
Carhart, M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
Campbell, R., Huisman, R., and Koedijk, K. (2001). Optimal portfolio selection in a Value-at-Risk framework. Journal of Banking and Finance, 25(9), 1789-1804.
Coste, C., Douady, R., and Zovko, I. The StressVaR: A new risk concept for extreme risk and fund allocation. Journal of Alternative Investments, 13(3), 10-23.
Danıelsson, J. (2002). The emperor has no clothes: Limits to risk modelling. Journal of Banking and Finance, 26(7), 1273-1296.
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Jegadeesh, N., and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65-91.
Jorion, P. (1996). Risk2: Measuring the risk in value at risk. Financial Analysts Journal, 52(6), 47-56.
Jorion, P. (1996). Value-at-Risk: The New Benchmark For Controlling Market Risk. Irwin Professional Pub.
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Panousi, V., and Papanikolaou, D. (2012). Investment, idiosyncratic risk, and ownership. Journal of Finance, 67(3), 1113-1148.
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