Cette thèse établit un cadre d’évaluation des stress tests financiers, en identifiant leurs principales limites. Trois approches ont été proposées pour améliorer les pratiques actuelles à chaque étape du processus. Elles incluent : (i) un modèle semi-paramétrique TVE–copules-paires pour les facteurs de risque financiers, avec un accent particulier sur les valeurs extrêmes, (ii) un modèle d'évaluation pour estimer l'impact de ces facteurs sur un système financier, via des effets directs, indirects et de contagion, en considérant les réactions endogènes publiques et privées, et (iii) une approche bayésienne pour mener une sélection systématique des scénarios de stress pour des portefeuilles non linéaires. Le modèle de risque a montré de meilleures performances par rapport à la plupart des spécifications courantes ; ce qui augmente la crédibilité du test. Le modèle d'évaluation est estimé pour le système bancaire français, révélant ses principales sources de vulnérabilité et le rôle clé des réactions publiques. Enfin, l'approche bayésienne a permis de remplacer les scénarios subjectifs traditionnels et d’inclure les résultats de stress tests dans la gestion quantitative des risques aux côtés des autres outils conventionnels / This thesis has set a comprehensive framework to assess the relevance of financial stress tests, identifying their main drawbacks. Three robust and flexible model frameworks have been proposed to improve current practices in each of the tests’ stages. This is achieved through: (i) a semi-parametric EVT–Pair-copulas model for financial risk factors, with a specific focus on extreme values, (ii) a valuation model to assess the impact of risk factors on a financial system, through direct and indirect effects, contagion channels, and considering private and public response functions, and (iii) a Bayesian-based approach to run a systematic selection of stress scenarios for nonlinear portfolios. The presented risk model has proven to outperform commonly used specifications, hence increasing the test’s credibility. Estimated for the French banking system, the valuation model revealed the related risk profile and the main vulnerabilities. Public responses turned to be of vital interest. Finally, the Bayesian approach allows replacing the traditional subjective scenarios and including the tests’ results in quantitative risk management alongside with other conventional tools

在評量學生的寫作能力時，通常採用直接測驗。然而，四技二專統一入學測驗英文專業考科卻採用間接測驗，來評量應用外語科學生的英文寫作能力。本研究旨在檢視專業考科之效力，並研究如何改進現行的考試方式。 為了達成該研究目的，119位應用外語科三年級學生參與本研究。本研究間接測驗試題採用四技二專統一入學測驗英文專業考科，直接測驗試題採用看圖寫作，以檢視專業考科與直接寫作成績之間的相關性。此外本研究使用問卷以調查學生對直接與間接寫作測驗的看法。 結果顯示，專業考科與看圖寫作之間呈現中度相關，表示該專業考科在某種程度上，能顯示出受試者的直接寫作能力。在四個大題中，段落組成及段落語意不連貫句子挑選與看圖寫作呈現中度相關，因此，這兩個大題較能顯示出受試者的直接寫作能力。 然而，問卷調查結果發現，受試者運用篇章結構的知識來完成間接測驗。但是，卻沒有運用相同的概念於直接測驗中。此種現象可能是因為傳統的寫作教學方式著重在文法分析及單字教學。因此，四技二專統一入學測驗的英文專業考科應同時施測直接與間接測驗，以期對英文寫作教學產生正面的回衝效應。 / Direct writing assessment is usually employed to evaluate students’ writing proficiency. However, the Technological and Vocational Education (TVE) Joint College Entrance Exam adopts indirect writing assessment to assess students from Department of Applied Foreign Languages (DAFL) in English Professional Subject (EPS). The purpose of the present paper is to examine the effectiveness of the EPS indirect writing test and how the current practice can be improved. For serving the purpose, a total of 119 third-year DAFL students participated in the study. The researcher uses indirect writing assessment, the EPS indirect writing test, and direct writing assessment, a picture writing task, as the testing instruments to examine the correlation between the two writing measures. Moreover, questionnaires are used to investigate the participants’ perceptions of the two writing tasks. Results indicated that the EPS multiple-choice writing test and the picture writing task exhibited a moderate correlation, suggesting the indirect test could, at least in part, serve as a good indication of the students’ writing competence in direct writing. Results also showed that sentence insertion (SI) and sentence deletion (SD), among the four subtests, moderately correlated with the direct writing task. The two subtests could thus be depended on as a better indication of the participants’ direct writing proficiency. Nevertheless, questionnaire findings displayed that the students applied discourse-level knowledge in the indirect test. Nonetheless, the same concept was not applied to the direct task probably because of the traditional teaching approach to English writing, focusing on grammar analysis and vocabulary teaching. Therefore, the two writing tasks should be combined in the entrance exam to produce positive washback effect on writing instruction.

No description available.