The Research of Efficiencyof Credit VaR under Factor Model

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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Main Authors: Chih-duen Yu, 游智惇
Other Authors: Yi-ping Chang
Format: Others
Language:zh-TW
Published: 2006
Online Access:http://ndltd.ncl.edu.tw/handle/96995787302916613048
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spelling 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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language zh-TW
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description 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.
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
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