- 學位論文
市場風險最適資本準備之乘數分析－極值法
The Multiplied Analysis of Capital Requirements for Market Risk ― Extreme Value Approach
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參考文獻
1.Alexander, C.O. and Leigh, C. T. “On The Covariance Matrices Used in Value at Risk Models.” The Journal of Derivatives, Vol. 4, No. 3 (spring 1997), p50-62
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延伸閱讀
- 陳家昌（2006）。投資最佳化組合數學模式中風險值預估方式之研究〔碩士論文，國立臺北科技大學〕。華藝線上圖書館。https://doi.org/10.6841/NTUT.2006.00374
- 林楚雄、高子荃、邱瓊儀（2005）。結合GARCH模型與極值理論的風險值模型。管理學報，22(1)，133-154。https://doi.org/10.6504/JOM.2005.22.01.07
- Lin, T. L. (2006). 極值理論於風險控制下投資組合之研究 [master's thesis, Chung Yuan Christian University]. Airiti Library. https://doi.org/10.6840/cycu200600403
- Hsu, F. C. (2007). Optimal Capital Structure, Firm Risk, and Equity Return--- An Internal Risk Transfer Perspective [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2007.02796
- Siu, K. B. (2006). Expected shortfall and value-at-risk under a model with market risk and credit risk [master's thesis, The University of Hong Kong]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0029-1812201200014580