An Examination of Liquidity-adjusted Value-at-Risk－Evidence from Over-the-counter Firms in Taiwan
碩士 === 長庚大學 === 工商管理學系 === 102 === Value at Risk(VaR) is a main tool of risk management, but the traditional VaR measurement model does not take into account the liquidity risk. This study uses a modified Taylor (1999) quantile regression model to measure VaR by incorporating the liquidity risk...
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| Format: | Others |
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2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/76379c |