Page 8 - 風險管理小辭典
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市場風險標準法 (Market Risk of Standardized
Approach).......................................................................28
標準法－權益證券風險 (Equity Risk of Standardized
Approach).......................................................................29
標準法－外匯風險 ( 含黃金價格風險 ) (Foreign
Exchange Risk ， Gold Price Risk of Standardized
Approach).......................................................................31
標準法－商品價格風險 (Commodity Risk of
Standardized Ap proach)...................................................33
標準法－利率風險 (Interest Risk of Standardized
Approach).......................................................................35
內部模型法 (Internal Model Approach)..........................38
內部模型法之懲罰乘數 (Penalty Multiplier of Internal
Model)............................................................................42
風險值 (Value at Risk)...................................................44
特定期間 (Time Horizon)...............................................46
信賴水準 (Confidence Level).........................................48
Delta-Normal 法 ............................................................49
歷史移動平均法 (Moving Average Approach).................52
指數加權移動平均法 (Exponentially Weighted
Moving Average ， EWMA)..............................................53
歷史模擬法 (Historical Simula tion Method)...................55
拔靴複製法 (Bootstrap Approach)..................................57
蒙地卡羅模擬法 (Monte Carlo Simulation Method)........60
夏普比率 (Sharpe Ratio)................................................62
