Page 10 - 風險管理小辭典

情境模擬分析法－盈餘及經濟價值 (Scenario
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S Earnings and Economic Value).......................115
邊際風險值 (Marginal Value at Risk)...........................116
增額風險值 (Incremental Value at Risk).......................117
成分風險值 (Component Value at Risk)........................119
未分散風險值 (Undiversified Value at Risk).................120
單位風險值 (Unit Value at Risk)..................................121
極值理論 (Extreme Value Theory)................................122
風險調整後績效衡量 (Risk-Adjusted Performance
Measurement ， RAPM).................................................123
風險調整後資本報酬率 (Risk-Adjusted Return on
Capital ， RAROC)........................................................125
市場風險壓力測試 (Market Risk Stress Test)...............127
回顧測試 (Back Testing)..............................................130
市場風險應計提資本 (Market Risk Capital ， MRC).....132
盈餘風險值 (Earnings-at-Risk ， EaR)...........................133
淨值風險值 (Economic Value of Equity at Risk ， EVE) 134

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信用風險

違約機率 (Probability of Default ， PD)........................138
信用評等 (Credit Rating).............................................139