The Empirical Studies of Interbank Overnight Call Loan VaR Model Estimating by Historical Simulation
碩士 === 國立高雄第一科技大學 === 財務管理所 === 90 === Abstract This study according to the data of Taiwan interbank overnight call loan rates from July 21, 1989 to December 7, 2001 to comparing the performances of the value-at-risk model estimated by historical simulation and improving accuracy historical simulat...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/99077319347498112756 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 90 ===
Abstract
This study according to the data of Taiwan interbank overnight call loan rates from July 21, 1989 to December 7, 2001 to comparing the performances of the value-at-risk model estimated by historical simulation and improving accuracy historical simulation methods. (including SMA, EWMA and Robust EWMA)
Following conclusions are drawn from the empirical results of this study:
1. It is important to improve accuracy when incorporating volatility updating into the historical simulation method for value-at-risk.
2. In general, the SMA estimator often outperforms the accuracy of EWMA and Robust.
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