An Investigation on Taiwan F-Stock's Liquidity-adjusted VaR, Back Testing, and Stress Testing
碩士 === 靜宜大學 === 會計學系 === 104 === In this study we adopt Bangia et al (1999) liquidity risk model to measure liquidity adjust value at risk (LVaR) on Taiwan Foreign Issuers Stocks. From 1st January 2013 to 31th December 2014, 23 F-stock companies with completely daily transaction records was selected...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/77736419984137931692 |
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