The Study of Robustness of Credit Value at Risk under The One Factor Model
碩士 === 東吳大學 === 商用數學系 === 94 === Although Value at Risk (VaR) is only a simple figure, it can measure the unexpected loss. It also can be the index of the risk control and express various kinds of risks clear. So the Basle Committee on Banking Supervision and many financial institutions place import...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36982833697422623128 |
| Summary: | 碩士 === 東吳大學 === 商用數學系 === 94 === Although Value at Risk (VaR) is only a simple figure, it can measure the unexpected loss. It also can be the index of the risk control and express various kinds of risks clear. So the Basle Committee on Banking Supervision and many financial institutions place importance on Value at Risk. We use the maximum likelihood estimation to estimate Value at Risk under the one factor model. In the real world, the distribution of the default data is unknown. We estimate Value at Risk by using the different distribution of the systematic random effect and error variables and compare with real Value at Risk. If the estimate value is different, we study the robustness of Value at Risk under the one factor model.
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