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96年12月4日(二) 10:30 ~11:30 A.M.
演講者姓名： Professor Michael McAleer
演講者服務單位： School of Economics and Commerce University of Western Australia
The Ten Commandments for Optimizing Value-at-Risk
Abstract
For market, credit and operational risk, choose wisely form:
(1) Conditional, stochastic and realized volatility.
(2) Symmetry, asymmetry and leverage.
(3) Dynamic correlations and dynamic covariances.
(4) Single index and portfolio models.
(5) Parametric, semiparametric and nonparametric models.
(6) Estimation, simulation and calibration of parameters.
(7) Assumptions, regularity conditions and statistical properties.
(8) Accuracy in calculating moments and forecasts.
(9) Optimizing threshold violations and economic benefits.
(10) Optimizing private and public benefits of risk managements.
