碩士 / 開南大學 / 財務金融學系 / 98 / The consideration of core objective in security firms is different from commercial banks. Therefore, bigger security firms have the capacity of larger scale in investment and can bear more potential risk than smaller security companies or general investors. In this paper, we examined the validity by using several VaR model and RAROC ratio to evaluate the performances of security firms in different microeconomic backgrounds.
Empirical results revealed that RAROC can reflect firms’ risk actually; extreme value theory had the most volatility than historical simulation had the lowest than above. In financial tsunami period, security firms had more chance to earn excess returns.
| Identifer | oai:union.ndltd.org:TW/098KNU00304008 |
| Date | January 2010 |
| Creators | CHANG LIEN YING, 張蓮英 |
| Contributors | 高立箴 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 0 |
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