Page 384 - 現代銀行監理與風險管理(增修訂二版)
P. 384
366 現代銀行監理與風險管理
A&B, pp. 1-68.
[10] FDIC, OCC, and FRB (1996), “Risk-based Capital Standards: Market
Risks,” 12CFR Part 325 etc., pp. 1-71.
[11] FDIC, OCC, and FRB (1996), “Risk-based Capital Standards: Market
Risks —— Internal Model Backtesting,” 12CFR Part 3 etc., pp. 1-27.
[12] FDIC, OCC, and FRB (1995), “Risk-based Capital Standards:
[13] Foreign Exchange Committee (1991) Market Risks,” 12CFR Part 3 etc., pp. 1-120. , “Price Risk: The Dollar-at-Risk
Approach to Measurement and Management,”
Committee Annual Report , pp. 16-21. Foreign Exchange
[14] Foreign Exchange Subcommittee (1988), “Price Risk Management,”
Foreign Exchange Committee Annual Report , pp. 19-21.
[15] Global Derivative Study Group (1993), Derivative: Practice and
Principles . Washington, D. C.: Group of Thirty.
[16] Hanweck, Gerald A. and Bernard Shull (1996), Interest Rate
Volatility . New York: Irwin.
[17] Hull, John C. (1993), Options, Futures, and Other Derivative
[18] Jori, Philippe (1996), Securities. New Jersey: Prentice Hall. Value-at-Risk: The New Benchmark for
[19] Longerstaey, Jacques (1994), “Intro Controlling Derivative Risks. New York: Irwin. duction to Risk Metrics,” Market
Risk Research Group of Morgan G uaranty Trust Company, March, pp.
1-8.
[20] Mahoney, M. (1996), “Corre lation Products and Risk Management
Issues,” Federal Reserve Bank of New York Economic Policy Review ,
1:3, pp. 7-20.
[21] Parsley, Mark (1995), “The RORAC Revolution,”
36-40. Euromoney , pp.

