Liquidity Adjusted Value-at-Risk- Evidence from Taiwan Stock Index Options
碩士 === 長庚大學 === 企業管理研究所 === 93 === This research aims at utilizing a more complete Value at Risk model, not merely measure price risk through traditional Value at Risk, but also include bid-ask spread to measure liquidity risk, let the measurement of the risk be more complete. This research regards...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2005
|
Online Access: | http://ndltd.ncl.edu.tw/handle/53033568210735434219 |