碩士 / 國立高雄第一科技大學 / 金融理財研究所 / 97 / This paper takes Financial Tsunami in 2008, Asia Financial Crisis and
none of pressure events periods as examples to compare the performance of
Value-at-Risk(VaR) model and Stress testing approaches. First, we use four
VaR methods：the variance-covariance method, the historical simulation
method, Monte Carlo simulation method and T-copula method to
estimate the VaR values. Then, we employ accuracy, expected shortfall and
conservatism in the backtesting of VaR models as criteria to choose the
best one. Last, we find the pressure events and examine whether stress test
value can make up the deficient of VaR models when the market suffered
huge loss in Financial Tsunami?
The results reveal that stress value can cover about half of the
exceptions in VaR models in Asia Financial Crisis and none of pressure
events period with 95% confident level. However, both of stress values still
can’t avoid huge loss effectively in Financial Tsunami.
| Identifer | oai:union.ndltd.org:TW/097NKIT5214006 |
| Date | January 2009 |
| Creators | Wan-Ting Yu, 游婉婷 |
| Contributors | Jun-Biao Lin, 林君瀌 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 77 |
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