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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ndltd-TW-094SCU053140072015-10-13T16:35:38Z http://ndltd.ncl.edu.tw/handle/96995787302916613048 The Research of Efficiencyof Credit VaR under Factor Model 因子模型下之信用風險值的效率性探討 Chih-duen Yu 游智惇 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. Yi-ping Chang Ming-chin Hung 張揖平 洪明欽 2006 學位論文 ; thesis 28 zh-TW |
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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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author2 |
Yi-ping Chang |
author_facet |
Yi-ping Chang Chih-duen Yu 游智惇 |
author |
Chih-duen Yu 游智惇 |
spellingShingle |
Chih-duen Yu 游智惇 The Research of Efficiencyof Credit VaR under Factor Model |
author_sort |
Chih-duen Yu |
title |
The Research of Efficiencyof Credit VaR under Factor Model |
title_short |
The Research of Efficiencyof Credit VaR under Factor Model |
title_full |
The Research of Efficiencyof Credit VaR under Factor Model |
title_fullStr |
The Research of Efficiencyof Credit VaR under Factor Model |
title_full_unstemmed |
The Research of Efficiencyof Credit VaR under Factor Model |
title_sort |
research of efficiencyof credit var under factor model |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/96995787302916613048 |
work_keys_str_mv |
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