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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Os sistemas financeiros e a evolução das regras de supervisão bancária

Silva, Helom Oliveira da January 2010 (has links)
Financial systems are today one of the most heavily regulated sectors of the world and whose role has been widely discussed in the economic debate, considering the route of infection they pose to the economy, as presented in the recent international financial crisis. Thus, this study aimed at reviewing the theoretical framework pertaining to the economic theories of regulation, the role of financial systems in the economy and the rationale for state intervention in these markets, as well as changes the rules on supervision of the sector financial. It also presented a brief discussion of the international financial crisis and the new role of emerging economies in global economic scenario. / Os sistemas financeiros constituem-se hoje um dos setores mais intensamente regulados do mundo e cujo papel tem sido amplamente discutido no debate econômico, haja vista a via de contágio que estes representam para a economia, como apresentado na recente crise financeira internacional. Dessa forma, este trabalho teve como objetivo apresentar uma revisão do arcabouço teórico referente às teorias econômicas da regulação, do papel dos sistemas financeiros na economia e das bases racionais para a intervenção do Estado nestes mercados, bem como da evolução das regras de supervisão do setor financeiro. Apresentou-se ainda, uma breve discussão da crise financeira internacional e do novo papel das economias emergentes no cenário econômico mundial.
2

衡量銀行市場風險-VaR與ETL模型的應用

陳嘉敏, Chen, Jia Min Unknown Date (has links)
本文提出了一個新興風險衡量的工具的概念-期望尾端損失值(ETL),其有別於風險值為百分位數且未考慮報酬分配的尾部風險(Tail Risk),本研究期望能透過ETL的估計可以更完整表達投資組合所有可能面臨的風險,對於市場風險能更有效控管。 本文實證討論有關VaR與ETL穩定度的部分,VaR雖然在理論上證明無法滿足次可加性這個條件,但是在本研究實證中,即使在分配具厚尾狀況下,VaR仍滿足次加性的性質。這也表示,我們在現實生活中很難因VaR理論上缺乏次可加性,而捨棄VaR這個風險衡量工具,然ETL也有其貢獻性,其較VaR多考慮尾部資訊,可視為風險值外另一參考指標,此為本文貢獻一。 本文實證也探討移動窗口中歷史資料長度的不同,是否造成VaR與ETL估算準確性的差異,本文由實證結果發現:在歷史窗口的資料長度越長(1000日)下,並沒有正確預估VaR與ETL,而本研究中以移動窗口為500日下,使用內部模型較具正確性,故在使用風險值模型時,應謹慎選擇移動窗口之長度,此為本文貢獻二。

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