المؤلفون: 周士偉, Chou, Jacky

مصطلحات موضوعية: 市場風險, 風險值, 經濟價值, 信託基金操作風險, 風險因子, 一般風險值, 壓力風險值, 條件風險值, 增額風險值, 邊際風險值, 變異數-共變異數法, 歷史模擬法, 蒙地卡羅模擬法, 隱含波動度, 厚尾, 順景氣循環, 標準法, 內部模型法, 市場流動性風險, 外生性市場流動性風險, 內生性市場流動性風險, 流動性調整後風險值, 壓力測試, 回溯測試, Market Risk, Value at Risk, Economic Value, Active Management VaR, Tracking Error, Risk Factor, Common VaR, Stressed VaR, Conditional VaR, Incremental VaR, Marginal VaR, Variance-Covariance Approach, Historical Simulation Approach, Monte Carlo Simulation Approach, Fat Tail, Time-Varying Volatility, pro-cyclical, Standardized Approach, Internal Models Approach, Implied Volatility, Generalized Error Distribution, Bernoulli trial test, Likelihood ratio test, Unconditional Coverage Test, Conditional Coverage Test, Backward Looking Model, Forward Looking Model, Forecasting VaR, Pearson Correlation, Cholesky decomposition, Kendall Correlation, Copula method, Future Volatility Disconnection, Market Liquidity Risk, Exogenous Market Liquidity Risk, Endogenous Market Liquidity Risk, Liquidity-adjusted VaR, Stress Test, Backtesting, Net Interest Income, Re-pricing Model, Maturity Model, Duration Model

الاتاحة: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0099932057%22.