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在異質期望、訊息頻率、與跳躍風險下之期貨訂價模式 / Three Essays on Futures Pricing Allowing for Expectation Heterogeneity, Information Time, and Jump Risk王佳真, Wang, Jai Jen Unknown Date (has links)
本論文目的在於探討「異質期望」(heterogeneous expectations)、「資訊密度」(information arrival intensity)、以及「跳躍風險」(jump risk) 這些因素對於期貨價格的影響,並且透由「跨期模型」(intertemporal models) 的建立,推導出具有封閉解形式的期貨價格理論公式。
誠如 Harrison and Kreps (1978) 所言:除非所有市場參與者的行為方式完全相同、而且他們都打算抱著股票直到永遠,否則「投機交易」(speculation transactions) 與「異質期望」就不可能自市場當中滅絕。有鑑於此,本論文在第二章中討論「異質期望」對於期貨價格的影響;同時為了反映交易者看法可能會隨時間演進而發生改變的可能性,「調整效果」(adjustment effects) 是本章另一個討論重點;第三、為了區別期貨契約與遠期契約的基本差異,「利率」這個隨機因子也被納入模型當中。由「部分均衡」(partial equilibrium) 觀點下具有封閉解形式的期貨價格公式來觀察,這三個重要因素以及彼此間存在著的複雜交互作用,可以協助解釋一些實證現象與重要變數之間的關係。
第三章主要是借用Clark (1973) 與Chang et al. (1988) 「資訊時間」(information time) 的概念,取代一般模型所使用的「日曆時間」(calendar time) 設定方法,並且額外納入「利率」與「便利所得」(convenience yield) 這兩個廣為一般期貨定價文獻所認定的重要隨機因素,推導出「部分均衡」觀點下的期貨價格封閉解。根據1998/7/21 至 2003/12/31 台灣期交所「台灣證券交易所總加權股價指數期貨」的實證結果來看,本章模型的定價績效不僅勝過「持有成本模型」(the cost of carry model),也比同時考慮「利率」與「便利所得」兩個隨機因子的「日曆時間」模型要來的好。
第四章則是嘗試結合Hemler and Longstaff (1991) 的「無偏好模型」(preference-free model) 以及Merton (1976) 的「跳躍」(jumps) 設定,重新推導「一般均衡」(general equilibrium) 模型下、考慮「跳躍風險」(jump risk) 後的期貨價格封閉解。根據本章各種比較靜態與模擬分析的結果顯示,整個經濟體系或是「狀態變數」(state variables) 的安定程度,決定了市場變數間的關係;另一方面,這些關聯會因為「跳躍風險」規模的遞增 — 不管是肇因於「發生機率」(occurring probability) 或是「衝擊效果」(impulse effect) — 而變的更加不可預測。 / The dissertation contains three essays on intertemporal futures pricing models allowing for heterogeneous expectations, information-time based setting, and jump risk.
As Harrison and Kreps (1978) have noted, unless traders are all identical and obliged to hold a stock forever, speculation would not extinguish in market, and heterogeneity in expectations yields whereby. The first essay develops intertemporal futures pricing formulas accounting for such reality, adjustment effect, and stochastic interest rate in a partial-equilibrium sense. The closed-form solutions show that the three factors complicated with each others can help to explain some existing empirics on relationships between futures prices and other important market variables such as indeterminate converging pattern.
The second essay extends Chang et al. (1988) option pricing model to derive futures prices with information-time based processes. Stochastic interest rate and convenience yield are also taken into account to derive closed-form formulas. According to empirical results of transaction data of TAIEX index and its corresponding TFETX futures contract through 1998/7/21 to 2003/12/31, the analytic solution performs better than the cost of carry model and its calendar-time based counterpart, especially when information arrival intensity estimates become larger.
The last essay combines Hemler and Longstaff’s (1991) preference-free model and Merton’s (1976) jump setting to measure effects from jump risk and a futures pricing formula is derived in its closed-form as well. According to miscellaneous comparative static and simulation results, the bounded degrees of state variables, or economy, affect co-varying extents among variables, while the increasing jump risk, including the size of occurring probability and its corresponding impulse effect, makes them un-tractable.
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模糊期望值與模糊變異數的檢定方法 / Methods on Testing Hypotheses of Fuzzy Mean and Fuzzy Variance張曙光, Shu-Kuang,Chang Unknown Date (has links)
在許多實際情形下,傳統的統計檢定方法是不足以應付的。故本論文提出模糊檢定方法,我們定義出模糊樣本期望值與模糊樣本變異數的計算方法,再針對不同的模糊資料,分別提出不同的檢定方法,去解決最實際需要解決的問題,其中包括推廣古典的統計檢定方法與自創的檢定方法。
關鍵字:隸屬度函數,模糊樣本取樣,模糊樣本期望值,模糊樣本變異數,人性思考,t檢定,F檢定,模糊常態分配。 / In many expositions of fuzzy methods, fuzzy techniques are described as an alternative to a more traditional statistical approach. In this paper, we present a class of fuzzy statistical decision process in which testing hypothesis can be naturally reformulated in terms of interval-valued statistics. We provide the definitions of fuzzy mean, fuzzy distance as well as investigation of their related properties. We also give some empirical examples to illustrate the techniques and to analyze fuzzy data. Empirical studies show that fuzzy hypothesis testing with soft computing for interval data are more realistic and reasonable in the social science research. Finally certain comments are suggested for the further studies. We hope that this reformation will make the corresponding fuzzy techniques more acceptable to researchers whose only experience is in using traditional statistical methods.
Key words: Membership function, fuzzy sampling survey, fuzzy mean, human thought, t-test, F-test, normally distributed.
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職缺屬性差距對求職者低薪職缺選擇之影響:以求職者個人特性為調節變項 / Compensatory Effects of Job Attributes on Applicants' Low-pay Job Choices and Acceptance Intentions: Examining the Moderating Effects of Applicants' Individual Differences康嘉玲, Kang, Chia Lin Unknown Date (has links)
薪資是影響求職者職缺選擇的重要因素之一,但是根據期望理論的觀點,職缺屬性彼此會產生互補效果,這對於資源有限的企業而言,意味著凸顯其他非金錢性之職缺屬性,應該能夠削弱低薪對於求職者職缺選擇的負面影響;此外,根據期望理論的論述,求職者個人特性亦會影響他 (她) 對職缺屬性的解讀,而影響求職者的職缺選擇。本研究以Barber、Daly、Giannantonio與Phillips (1994) 根據ERG理論為基礎所做的屬性分類,試圖探討關係類和成長類職缺屬性能否補償低薪對於求職者職缺選擇的影響,以提升求職者選取低薪職缺的可能性,同時亦探討求職者親和需求與成長需求於此間扮演的調節角色。 / 本研究以2 (關係類職缺屬性差距) ×2 (成長類職缺屬性差距) 受試者間實驗設計,依變項為低薪職缺「工作選擇決策」與「職缺接受意圖」,同時亦請受試自陳個人之親和需求與成長需求,共邀請151名某國立大學的應屆畢業生參與研究,並以階層迴歸分析與羅吉斯迴歸分析進行假設驗證,且輔以質化訪談佐證實證結果。研究結果發現,關係類職缺屬性差距或成長類職缺屬性差距,對於薪資水準皆產生顯著補償效果,亦即低薪職缺之關係類或成長類職缺屬性,愈優於高薪職缺的情況下,求職者愈會接受低薪職缺;此外,求職者之成長需求,也會調節成長類屬性與低薪職缺接受意圖和工作選擇決策間之關係;有別於期望理論的預測,本研究發現職缺屬性間並非為加成效果(Additive effect),僅一類職缺屬性差距大時,即可補償薪資帶來的負面影響,而兩個職缺屬性皆差距大時,補償效果並未更強。最後,根據實證結果與訪談資料,本研究提出未來研究與管理建議。 / Pay-level has long been recognized as one of the most important job attributes that influence applicants' job acceptance intentions and choices. According to the expectancy theory, job attributes would compensate each other; in addition, applicants' individual differences would influence how they value job attributes. In terms of ERG theory's job attribute classification (Barber, Daly, Giannantonio & Phillips, 1994), the present study attempts to examine whether low-pay jobs with better relatedness and growth job attributes would foster applicants to choose them; as well as to investigate the moderating effects of the corresponding individual differences, need for affiliation and growth need strength, on the compensatory effects. / A 2×2 between-subject experimental design using low-pay job acceptance intentions and job choices as the dependent variables, were conducted with 151 undergraduate students who were pursuing jobs at the time of the data collection. Results of hierarchical regression, logistic regression and qualitative interviews showed that applicants were more willing to accept low-pay jobs than high-pay ones when low-pay jobs had better relatedness or growth job attributes; besides, applicants' growth need strength moderated the relationship between growth job attributes and the dependent variables. However, inconsistent with the expectance theory, addition analysis showed that job attributes did not affect applicants’ acceptance intentions and choices additively. That is, one better job attribute could have compensated low-pay's negative effect as effectively as two better job attribute had. Finally, based on the empirical results and qualitative data, suggestions for future research and managerial implications are discussed.
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台灣證券交易所投資人交易行為與股票報酬關係之研究 / Investor Trading Behavior and Stock Returns in Taiwan Stock Exchange夏清田, Hsia, Ching-Tian Unknown Date (has links)
This paper investigates the investor trading behavior and the relationship between investor sentiment and stock returns. First we explore whether individual investors behave as the Disposition Effect stated — hold their losers too long while realize their winners too soon. Second, we apply four sentiment indicators — number of recommended stocks, margin purchase value, net fund redemption and odd-lot trade value — to examine relationship between investor sentiment and stock returns. We would like to see if past returns have anything to do with current sentiment, and if sentiment provides predictive power to future returns.
First of all, from our analysis to over eight hundreds cash accounts trading records in two research periods, January to March and September to December in 2000, we found the Disposition Effect holds in average but not statistically.
Second, the number of recommended stocks, weighted number of recommended stocks, margin purchase value, change in margin purchase value, net fund redemption and odd-lot trade value as proxies of investor sentiment are good at measuring the effect of past 4-week and 26-week returns on sentiment.
Third, the margin purchase value, net fund redemption and odd-lot trade value provide predictive power to future 26-week returns in our study, which also implies there is likely underlying mean-reversion within half year during the research period.
Finally, exploiting the change in margin purchase value as proxy of investor sentiment, we found the past 4-week returns volatility is inversely related with the indicator. That is, investors are scared on facing with high returns volatility.
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新世代工作者之工作價值觀、期望報酬類型暨兩者相關因素與組織承諾之關係徐增圓 Unknown Date (has links)
本研究的主要目的有二,首先,探討新世代工作者與非新世代工作者在工作價值觀及期望的報酬類型上有何差異,其次,則進一步針對新世代工作者探討其個人與組織在工作價值觀上的契合程度以及對組織現行報酬狀況的滿意程度兩者與其組織承諾是否有關。
基本上,「新世代工作者」是新人類(於民國54年至64年間出生的一代)與新新人類(於民國64年以後出生的一代)中已在職者的合稱,而「非新世代工作者」則是泛指於民國54年以前出生的已在職者。參與本研究的受試為服務於大台北地區、且公司人數達百人以上之民營企業的新世代工作者230名與非新世代工作者160名,研究工具則包括「工作價值觀量表」、「期望報酬類型暨報酬滿意度量表」、「組織承諾量表」以及「個人基本資料」等四個量表。
研究結果發現:(一) 在目的性工作價值觀方面,新世代工作者較非新世代工作者重視內在酬賞,包括較重視工作是否符合個人興趣、能否帶來成就感與自我成長,而非新世代工作者則較新世代工作者重視集體利益,也就是較為重視工作在服務社會以及國家民族發展上的影響。 (二)在手段性工作價值觀方面,非新世代工作者普遍較新世代工作者重視能力與理智、寬容雅量以及尊重傳統等工作行為規範,且除了謹慎一項是新世代工作者較為重視外,其餘知恥、毅力、尊卑有序、寬容雅量、忠誠、謙虛、自我約束、尊重傳統以及節儉等均是非新世代工作者的重視程度高於新世代工作者。(三)在期望報酬類型方面,新世代工作者對直接財務性報酬與間接財務性報酬的重視(期望)程度高於非新世代工作者,且在40種不同的報酬類型中,非新世代工作者除了在「提供助手,協助處理工作上的事務」一項上的需要程度高於新世代工作者外,其餘在加薪、協助進行生涯規劃、充裕的工作經費、可以選擇自己感興趣的工作、短期績效工作獎金、提供進修與訓練機會、可自由的安排工作時間、各種補助津貼、提供國內(外)旅遊以及運動休閒設施等11項上,均是新世代工作者的需求程度較高。(四) 整體而言,新世代工作者個人與組織在工作價值觀上的契合程度、對組織現行報酬狀況的滿意程度分別與組織承諾間存有正相關,且其在內在非財務性報酬、直接財務性報酬上的滿意與否,以及在內在酬賞上的契合程度是預測其組織承諾時的重要變項。
最後,本研究根據研究所得的結果,討論研究結果的意義並對企業界、新世代工作者與後續研究提出一些建議。
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模糊隨機變數在線性迴歸模式上的應用 / Fuzzy Random Variables and Its Applications in Fuzzy Regression Model曾能芳 Unknown Date (has links)
傳統迴歸分析是假設觀測值的不確定性來自於隨機現象,本文則應用模糊隨機變數概念於迴歸模式的架構,考慮將隨機現象和模糊認知並列研究。針對樣本模糊數(x<sub>i</sub>, Y<sub>i</sub>),我們進行模糊迴歸參數估計,並稱此為模糊迴歸模式分析。模糊迴歸參數估計大都採用線性規劃,求出適當區間,將觀測模糊數Y<sub>i</sub>的分佈範圍全部覆蓋。但是此結果並不能充分反映觀測樣本Y<sub>i</sub>的特性。本研究提出一套模糊迴歸參數的估計方法,其結果對觀測樣本的解釋將更為合理,且具有模糊不偏的特性。在分析過程中,我們亦提出一些模糊統計量如模糊期望值、模糊變異數、模糊中位數的定義,以增加對這些參數的模糊理解。最後在本文中也針對台灣景氣指標與經濟成長率作實務分析,說明模糊迴歸模式的適用性。 / Conventional study on the regression analysis is based on the conception that the uncertainty of observed data comes from the random property. However, in this paper we consider both of the random property and the fuzzy perception to construct the regression model by using of fuzzy random variables. For the fuzzy sample (x<sub>i</sub>,Y<sub>i</sub>), we will process the parameters estimation of the fuzzy regression, and we call this process as fuzzy regression analysis. The parameters estimation for a fuzzy regression model is generally derived by the linear programming scheme. But it's result usually doesn't sufficiently reflect the characteristics of the observed samples. Hence in this paper we propose an alternative technique for parameters estimation in constructing the fuzzy regression model. The result will describe the observed data better than the conventional method did, moreover it will have the fuzzy unbiased properties. For the purpose of fuzzy perception on the fuzzy random variables, we also give definitions for certain important fuzzy statistics such as fuzzy expected value, fuzzy variance and fuzzy median. Finally, we give an example about the Taiwan Business Cycle and the Taiwan Economic Growth Rate for illustration.
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社會工作碩士班研究生實習內涵之研究─期待與實際之間 / A study on field education of social work graduate students-between learning expectation and reality廖偉迪, Liao, Wei Ti Unknown Date (has links)
社會工作實習教育使學生有機會將在課堂所學的概念、原則、理論、方法活用在實習所遇到的真實案例之中,是最能將技術、知識與價值整併的學習方式。過往文獻指出碩士班的學生自我期待與主動性較高,機構督導與學校督導之要求也較高,然而,碩士班研究生對於主體高度之期待與實際實習之間是否存在落差?若有實習期待落差,對於實習收獲與對社會工作專業知情行意向之影響為何?而實習期待落差、實習收獲與社會工作專業知情行意向又受到哪些因素影響而加劇或削減?
為探討此一問題,本研究以網路問卷為主,紙本問卷為輔,調查國內15間將社會工作列為必修課程之研究所,以社會工作碩士班二年級以上,有過碩士班實習經驗之研究生為調查對象,共回收185份有效問卷。透過獨立樣本t檢定、卡方檢定、皮爾森積差相關、單因子變異數分析進行統計檢定,再由階層迴歸與路徑分析建構實習期待、實習收獲與知情行意向之路徑圖。分析結果如下:
一、超過半數的碩士班實習生有實習期待落差的經驗,除了事務或庶務的工作顯示實際接近或大於期望,其餘各項實習項目皆存在期待落差。
二、實習期望落差會因實習前是否到機構拜訪以了解該單位的實習相關訊息、機構督導學歷、實習生對先前實習經驗整體評價與學生身分而有所不同。
三、實習收獲主要受到實習期待落差之影響,另外,實習收獲隨著與機構督導的關係、是否有訂定書面的實習契約、學生身份、先前實習經驗整體評價、機構督導學歷、實習前是否至機構拜訪而有所不同。
四、對社會工作專業的知情行意向隨著與學校督導的關係、實習前是否請教同學相關的實習資訊、組織氛圍、實習地點、機構督導學歷而有所不同。
據此,本研究針對實習生、實習機構、學校、專業教育組織提出以下建議:
一、對碩士班研究生,建議實習前可至機構走訪,以瞭解實習機構之概況與實習機構內容;其次,可在實習前找尋合適的社會工作機構兼職,以增加工作經驗以及實習機會;每次實習前應調整心態,使過去經驗成為收獲之基石;選擇不同的實習領域和工作方法,以免因噎廢食;在實習期間積極而主動的溝通,並參與最後的實習評估。
二、對於實習機構,建議機構透過良性溝通、實習計畫的討論、實習契約的簽訂以降低實習生的期望落差;其次,機構督導應配有較有意願、社會工作專業背景之督導進行實習督導;而督導教學方式應配合實習生適性發展,參考國內外採行之實習督導教學方法。
三、學校部分,可考慮安排人力負責與實習機構之接洽事宜,學校督導應適時拜訪機構及早發現機構與實習生之間的落差;學校應主動釋出相關訓練機會,使學校與機構督導的互動更加密切;學校可開拓周遭的社區資源,以建立學校和機構或社區的合作模式,創造碩士班研究生的優質實習機會。
四、社會工作教育專業組織與各教學單位可適時創造議題,鼓勵專業教育與實習教育的相關研究;其次,亦應與實務界、學生共同討論國內實習教育標準的訂定及評估方式,以培養出才情兼備、知行合一的社會工作研究生人才。 / Social work practicum could play a role in bridging the gap between theory and practice. Previous studies revealed that MSW graduate students, school teachers and the field instructors all have high expectation on how much the MSW students will learn from the process .
This study aimed at examing the gap between learning expectation and reality of practicum period from a viewpoint of MSW graduate students. Moreover, whether the gap would impact the gains from practicum and students’ attitudes towards social work profession was what author concerned. Thus, the subjects of this study were the MSW graduate students who had done practicum during graduate study period. Internet questionnaire survey method was adopted to capture the experiences of this population. Total 185 questionnaires were compeleted. Based on statistical data analyses, the study findings are as follow:
1.More than one-half graduate students experience gap between expectation and reality at prior practicum. Besides, the gap existed in almost all of the social work fields except general affairs.
2.The learning gap is the most important mediator of the gains from practicum. Independent variables as “to visit institution before practicum”, “educational background of field instructors”, “evaluation of prior practicum experience”, and ”student status” demonstrated a significant effect on expectation gap.
3.The gains from practicum were correlated with “relationship with field instructor”, “whether sign the practicum contract”, ”student status”, “evaluation of prior practicum experience”, “educational background of field instructor”, and “to visit institutiton before practicum”.
4.Independent variables as “relationship with school instructors”, “asked schoolmates for practicum-related information”, “institutional climate”, “field locations”, and”educational background of field instructors” were significantly associated with the attitudes towards social work profession.
Findings of the study highlight the importance of reducing the gap between learning expectation and reality. Finally, based on the conclusions above, several recommendations are offered for graduate students, field institutions, schools, educational organizations, and advanced research.
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網路招募廣告的負向訊息比例與重要性對組織吸引力之影響及其相關中介效果 / The effects of proportion and importance of negative information of webpage recruitment advertisements on organizational attractiveness蔡志明 Unknown Date (has links)
本研究之目的在瞭解網路招募情境中,具預告真實工作情境(Realistic Job Preview,簡稱RJP)效果的廣告,其負向訊息比例與重要性對組織吸引力之影響,並探討求職者「對工作的期望」與「對組織的信任」在此關係的中介效果以及「求職者知覺的市場競爭力」在此關係的調節效果。本研究採用二因子受試者間實驗設計,所操弄的獨變項為招募廣告負向訊息佔總訊息量的比例,分為10%、20%、30%、40%、50%五種程度;以及負向訊息的重要性程度(高、低),依變項為組織吸引力。
本研究透過網際網路建置虛擬組織的招募網頁,吸引正欲求職的大學四年級及研究所學生經由網路進行實驗,得到466筆有效的實驗資料。研究結果顯示不同負向訊息比例對整體組織吸引力與各分量表的影響有顯著差異,而其在整體組織吸引力、組織正向情感、與工作吸引力有非線性的影響效果,即負向訊息的比例為20%者,其效果最高;負向訊息的高、低重要性程度會對整體組織吸引力與各分量表有不同的影響效果,越重要的負向訊息導致越高的組織吸引力。研究者並以ANCOVA檢驗工作期望的中介效果,結果顯示整體工作期望、工作內容期望、與一般性期望在負向訊息比例與組織吸引力之間有中介效果,組織信任的中介效果則沒有獲得驗證;負向訊息重要性會透過工作內容期望的中介效果影響組織吸引力,但無法確認組織信任有無中介效果。研究者以二因子變異數分析求職者知覺的市場競爭力的調節效果,結果顯示求職競爭力僅在公司期望與組織吸引力之間的關係有顯著的調節效果。研究者分別就結果加以討論,提出可能的解釋,並說明本研究之限制與貢獻。 / The purpose of this study is to empirically examine the effects of proportion and importance of negative information (having the function of realistic job preview with respect to web recruitment advertisements) on organizational attractiveness. The mediation effects of job expectation and trust toward organization on the previous relationships and the moderation effects of perceived job competitiveness on the previous relationships were examined. The independent variables of this study are proportion of the negative information (10%, 20%, 30%, 40%, or 50%) and importance of the negative information (low vs. high). The dependent variable is organizational attractiveness.
Totally 466 seniors and graduate students who were hunting for a job joined in the experiment through the fictitious organization recruiting webpage. The result reveals that proportion of negative information has non-linear effect on organizational attractiveness. Recruitment ads with 20% of negative information had the strongest effect on organizational attractiveness. Negative information of higher importance induced more organizational attractiveness than that of lower importance.
ANCOVA was used to examine the mediation effects. It shows that the job expectation mediates the relationship between proportion of negative information and organizational attractiveness. However, the mediation effect of trust toward organization on the relationship between proportion of negative information and organizational attractiveness hasn’t been confirmed. Via the mediation effect of job content expectation and trust toward organization, importance of negative information can affect organizational attractiveness.
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在序列相關因子模型下探討動態模型化投資組合信用風險 / Dynamic modeling portfolio credit risk under serially dependent factor model游智惇, Yu, Chih Tun Unknown Date (has links)
獨立因子模型廣泛的應用在信用風險領域,此模型可用來估計經濟資本與投資組合的損失率分配。然而獨立因子模型假設因子獨立地服從同分配,因而可能會得到估計不精確的違約機率與資產相關係數。因此我們在本論文中提出序列相關因子模型來改進獨立因子模型的缺失,同時可以捕捉違約率的動態行為與授信戶間相關性。我們也分別從古典與貝氏的角度下估計序列相關因子模型。首先,我們在序列相關因子模型下利用貝氏的方法應用馬可夫鍊蒙地卡羅技巧估計違約機率與資產相關係數,使用標準普爾違約資料進行外樣本資料預測,能夠證明序列相關因子模型是比獨立因子模型合理。第二,蒙地卡羅期望最大法與蒙地卡羅最大概似法這兩種估計方法也使用在本篇論文。從模擬結果發現,若違約資料具有較大的序列相關與資產相關特性,蒙地卡羅最大概似法能夠配適的比蒙地卡羅期望最大法好。 / The independent factor model has been widely used in the credit risk field, and has been applied in estimating the economic capital allocations and loss rate distribution on a credit portfolio. However, this model assumes independent and identically distributed common factor which may produce inaccurate estimates of default probabilities and asset correlation. In this thesis, we address a serially dependent factor model (SDFM) to improve this phenomenon. This model can capture both dynamic behavior of default risk and dependence among individual obligors. We also address the estimation of the SDFM from both frequentist and Bayesian point of view. Firstly, we consider the Bayesian approach by applying Markov chain Monte Carlo (MCMC) techniques in estimating default probability and asset correlation under SDFM. The out-of-sample forecasting for S&P default data provide strong evidence to support that the SDFM is more reliable than the independent factor model. Secondly, we use two frequentist estimation methods to estimate the default probability and asset correlation under SDFM. One is Monte Carlo Expectation Maximization (MCEM) estimation method along with a Gibbs sampler and an acceptance method and the other is Monte Carlo maximum likelihood (MCML) estimation method with importance sampling techniques.
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變動樣本大小的無母數平均值管制圖之研究 / Study of nonparametric mean control chart with variable sample sizes周遊宇, Zhou, Youyu Unknown Date (has links)
自舒華特發明以管制圖監測製程以來,管制圖在工程的應用日趨重要。在特殊工程中,一個高效的管制圖方法尤為重要。基於此項事實,在文獻中各式各樣的管制圖層出不窮且技術日益完善。但傳統管制圖往往受制于常態分佈,因此在無母數管制圖研究方向仍有大量工作值得探討。於是本文在母體分佈未知情況下,推廣Yang (2015)的無母數平均值管制圖方法建立變動樣本指数加权移动平均管制圖,VSS EWMA-np control chart。新的管制圖將變動樣本大小(VSS)和指數加權移動平均(EWMA)方法結合建立一種新的管制圖方法,並用這種新型管制圖監測未知分佈母體的平均值是否發生變動。而為了監測平均數是否發生變化,也為了減少抽樣損失,本文評估管制圖監測效力的指標為管制圖偵測出異常訊息所需抽樣的樣本數期望值(EN)、平均連串長度(ARL)和平均觀測值總數(ANOS)。從本文的比較結果看出新的變動樣本指數加權移動平均管制圖擁有更好的失控偵測力。 / Since Shewhart invention control chart monitor the process, control charts are increasingly important in engineering applications. In special projects, an efficient control chart is especially important. Based on this fact, the various kinds of control charts in the literature are not poor and the technology is improving. However, traditional control charts are often subject to normal distribution, so there is still a lot of work to be discussed in the direction of the study of non-parametric control charts. So in this paper under unknown distribution in the matrix, Yang (2015) established on the basis of the theory of a non-parametric method of control chart - Exponentially Weighted Moving Average Control Chart with Variable Sampling Sizes (VSS EWMA - np control chart). New control chart will change the sample size (VSS) and exponential weighted moving average (EWMA) method to establish a new control chart, and use new control chart for monitoring the mean of unknown distribution matrix is changed. And whether to monitor the average changes in order to reduce the loss of sampling, this paper mainly evaluate control chart for monitoring the effectiveness of the statistics for the expected value of the sample size (EN), the average run length (ARL) and the average number of observations to signal (ANOS). From the comparison shown in this paper, the new control chart has better detection.
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