A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.

碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === Because of the fast-developing of finance environment recently, the importance of risk management in banking business has been heightened. This article takes several commercial banks in Taiwan during the period from 1995 to 2009 as example, analyses the tails’ c...

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Main Authors:	Pei-Chen Tsai, 蔡倍禎
Other Authors:	Wo-Chiang Lee
Format:	Others
Language:	zh-TW
Published:	2012
Online Access:	http://ndltd.ncl.edu.tw/handle/40226989103920675150

id	ndltd-TW-100TKU05214027
record_format	oai_dc
spelling	ndltd-TW-100TKU052140272015-10-13T21:27:34Z http://ndltd.ncl.edu.tw/handle/40226989103920675150 A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank. 應用GARCH-極值理論於台灣商業銀行作業風險的評估。 Pei-Chen Tsai 蔡倍禎碩士淡江大學財務金融學系碩士班 100 Because of the fast-developing of finance environment recently, the importance of risk management in banking business has been heightened. This article takes several commercial banks in Taiwan during the period from 1995 to 2009 as example, analyses the tails’ characteristics of operational risk loss event. It measures the fat-tail loss by the POT model of EVT. We further use GARCH-EVT model to capture time varying feature of data, so that we can better understand the characteristic of operational risk. Wo-Chiang Lee 李沃牆 2012 學位論文 ; thesis 44 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === Because of the fast-developing of finance environment recently, the importance of risk management in banking business has been heightened. This article takes several commercial banks in Taiwan during the period from 1995 to 2009 as example, analyses the tails’ characteristics of operational risk loss event. It measures the fat-tail loss by the POT model of EVT. We further use GARCH-EVT model to capture time varying feature of data, so that we can better understand the characteristic of operational risk.
author2	Wo-Chiang Lee
author_facet	Wo-Chiang Lee Pei-Chen Tsai 蔡倍禎
author	Pei-Chen Tsai 蔡倍禎
spellingShingle	Pei-Chen Tsai 蔡倍禎 A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.
author_sort	Pei-Chen Tsai
title	A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.
title_short	A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.
title_full	A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.
title_fullStr	A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.
title_full_unstemmed	A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.
title_sort	garch-extreme value theory approach for modeling operational risk evidence from taiwan commercial bank.
publishDate	2012
url	http://ndltd.ncl.edu.tw/handle/40226989103920675150
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A GARCH-Extreme Value Theory Approach for Modeling Operational Risk Evidence from Taiwan Commercial Bank.

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