標題 99N17-共同基金下方風險衡量兼論銀行財富管理業務之研究 The measurement of downside risk for mutual funds and banking wealth management
姓名 鍾裕瑯
指導教授 李政峰 老師
畢業日期 2011/06
附件檔案 99N17Adobe PDF
參考連結
摘要 共同基金原本為金融市場中最具長期投資特性的資產之一，然而在這次金融風暴卻因其風險大幅改變，而成為市場極大的隱憂。此一情況告訴我們：即使債劵基金被視為傳統的低風險投資資產，投資人仍需適時的評估及掌控債劵價格變動的風險(例如高收益債劵基金)，以避免未預期重大的損失。因此，合適且正確的評估各種基金的價格風險，有其實務上的必要性。因此，本文從投資者的角度，探討股票及債劵基金的價格風險，透過涉險值(Value at Risk)的估計來觀察價格下探的可能性，以求完整的評估股票及債劵基金的下檔風險；再者，藉由比較各基金
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