DECLARATION
DEDICATION
ABSTRACT
摘要
TABLE OF CONTENTS
LIST OF FIGURES
LIST OF TABLES
CHAPTER 1 INTRODUCTION
1．1 Background
1．2 Purpose of the Study
1．3 Significance of the Study
1．4 Research Questions and Hypotheses
1．4．1 Research Questions
1．4．2 Hypotheses
1．5 Research Design
1．6 Scope of study
1．7 Our contributions
1．8 Thesis structure
CHAPTER 2 LITERATURE REVIEW
2．1 Previous Study on Value-at-Risk
2．2 Previous study on GARCH
2．3 Review of literature of extreme value theory
2．4 Further work on Copula
CHAPTER 3 RISK MEASURES
3．1 Pre-Markowitz and Markowitz Risk Management Era
3．1．1 Pre-Markowitz Risk Management
3．1．2 Markowitz’s Portfolio Theory(MPT)
3．1．3 Capital Asset Pricing Model(CAPM)
3．2 Value at Risk(VaR)
3．2．1 VaR Risk Measure
3．2．2 VaR Calculations
3．2．3 Interpreting and analyzing VaR
3．2．4 Issues in applying VaR
3．2．5 VaR Implementation
3．3 Coherent Risk Measures
3．3．1 Axioms of Risk Measurement
3．3．2 Coherent Risk Measures
3．3．3 Definition(Expected Shortfall)
CHAPTER 4 FOREIGN EXCHANGE RISK MANAGEMENT
4．1 Definition and types of Foreign Exchange Risk
4．1．1 Definition of foreign exchange risk
4．1．2 Types of foreign exchange risk
4．2 Management of foreign exchange risk
4．2．1 Hedging Strategies
4．2．2 Hedging Benchmarks and Performance
4．2．3 Hedging and Budget Rates
4．2．4 Best practices for foreign exchange risk management
4．2．5 Hedging instruments for managing foreign exchange risk
CHAPTER 5 THEORETICAL FRAMEWORK
5．1 GARCH Models
5．2 Extreme Value Theory
5．2．1 Generalized Extreme Value Distribution
5．2．2 Threshold Exceedances
5．2．3 Modelling Excess Losses
5．2．4 Modelling Tails and Measuring of Tail Risk
5．3 Copula Models
5．3．1 Definition(Copula)
5．3．2 Theorem(Sklar)
5．3．3 Corollary
5．3．4 Theorem(Copula invariance)
5．3．5 Definition(Gaussian or Normal Copula)
5．3．6 Definition(Student t-Copula)
5．3．7 Archimedean Copulas
5．3．8 Dependences Measures
5．3．9 Estimation of Copula Parameters
5．3．10 Simulation form Copulas
5．4 Backtesting method
5．4．1 Kupiec’s Proportion of Failures(POF)Test
5．4．2 Christoffersen’s Tests
CHAPTER 6 EMPIRICAL RESULTS
6．1 Data collection
6．2 GARCH Models：Modeling Marginal Distributions
6．3 EVT Models：Modeling Marginal Distributions
6．4 Copula Model：Modeling Dependence Structure
6．5 Value at Risk Estimation
6．6 Value at Risk Backtesting
6．7 Discussions
6．7．1 Main frictions of the model to derive the main results
6．7．2 Economic intuitions of mechanisms of the model
CHAPTER 7 CONCLUSION
7．1 Conclusion
7．2 Directions for future research
REFERENCES
ACKNOWLEDGEMENTS
LIST OF PUBLICATIONS
