碩士 / 南華大學 / 財務金融學系財務管理碩士班 / 97 / This article aims to provide users with applicable Value-at-Risk (VaR) models by accommodating three types of quantiles and volatility estimations, examining VaR model performance at four confidence levels with three criteria—accuracy, efficiency and conservativeness. The sample is composed of Baltic Dry Index (BDI), Baltic Capesize Index (BCI) and Baltic Panamax Index (BPI) constructed by London''s Baltic Exchange.
Based on Kupiec’s (1995) unconditional coverage test in the internal model analysis regularized by the Basel Committee, the VaR model estimated with Student’s T distribution is verified to be the most accurate measurement compared with variance-covariance method and Cornish-Fisher expansions. Furthermore, the empirical evidence shows that the quantile types and volatility proxies influence the accuracy of VaR models significantly.
| Identifer | oai:union.ndltd.org:TW/097NHU05304018 |
| Date | January 2009 |
| Creators | Kuo-cheng Sun, 孫國城 |
| Contributors | Chang-cheng Chang-chien, 張簡彰程 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 39 |
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