The Research of Efficiencyof Credit VaR under Factor Model
碩士 === 東吳大學 === 商用數學系 === 94 === Value at Risk (VaR) and its extension Credit-VaR has become the standard tool used by many financial institutions to measure market risk and credit risk after the enforcement of Basel II in June,2006 and the related models in estimating VaR play an important role due...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96995787302916613048 |
| Summary: | 碩士 === 東吳大學 === 商用數學系 === 94 === Value at Risk (VaR) and its extension Credit-VaR has become the standard tool used by many financial institutions to measure market risk and credit risk after the enforcement of Basel II in June,2006 and the related models in estimating VaR play an important role due to the imcomplete market data. We compare the relative efficiency by using the simulated data and default dummy data.
If the estimates are different between the return data and default data, we use the monte carlo simulation to compare the efficiency between the different method and the different data.
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