A Study on Risk Factors of Banks in Extreme Value Analysis
碩士 === 國立中正大學 === 財務金融研究所 === 102 === In this paper, we first generate market-based measures of banks' Value-at-Risk by using extreme value analysis. Value-at-Risk equals to the individual bank risk which is estimated by the probability of a sharp decline in a banks' stock price. This pa...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/38p4h2 |