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第 15 章 市場風險 —— 風險衡量與 風險值 365

參考文獻

[1] Alexander, Carol (1997),
Analysis. New York: John Wiley and Sons. The Handbook of Risk Management and

[2] Basel Committee on Banking Supervision (1995), “An Internal Model-

based Approach to Market Risks Capital Requirements,” Basel Report ,
April, pp. 1-19.

[3] Basel Committee on Banking Supervision (1995), “Planned Supplement
to the Capital Accord to Incorporate Market Risks,” Basel Report ,

April, pp. 1-51.
[4] Basel Committee on Banking Supervision (1993), “Measurement of

Banks’ Exposures to Interest Rate Risks,”
Basel Report , April, pp. 1-34. Consulative Proposal of

[5] Basel Committee on Banking Supervision (1993), “The Supervisory
Treatment of Market Risks,” Consultative Proposal of Basel Report ,

April, pp. 1-59.

[6] Basel Committee on Banking Supervision (1993), “The Supervisory
Recognition of Netting for Capital Adequacy Purposes,” Consultative

Proposal of Basel Report , April, pp. 1-5.
[7] Basel Committee on Banking Supervision (1993), “Proposal to Issue a

Supplement to the Basel Capital Adequacy Accord to Cover Market
Risks,” Consultative Proposal of Basel Report , April, pp. 1-7.

[8] Basel Committee on Banking Supervision (1993), “The Prudential

Supervision of Netting, Market R isks and Interest Rate Risks,”
Consultative Proposal of Basel Report , April, pp. 1-4.

[9] Basel Committee on Banking Supervision (1989), “Capital Adequacy
Guideline,” 12CFR208, Appendix A&B and 12CFR225, Appendix