[公告] 財風報告順序&題目
12/3 益誠 子育 秉縉 書筠 雅晴 渝慧 小墨 明雅
12/10 阿廖 哲瑄 宏爺 冠儒 建偉 成豫 潘大 阿婆 秀綾
12/17 申牧 欣儒 映汝 佳嘉 小胡 郁雯 韋汝 hesi 瑋庭
12/24 阿吉 朱哥 國禎 月玲 郭子 浩綱 柏毅 怡廷 宗學
12/31 浣熊 坤祐 百庭 心瑜 尚文 暉仁 紀佑 雅儀 陳韋伶
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報告題目
wistar : "Futures-Trading Activity and Stock Price Volatility",
Hendirk Bessembinder; Paul J. Seguin
The Journal of Finance, Vol. 47, No. 5.(Dec. 1992)
秀綾 : "Exposure-Based cash-flow-at-risk: An Alternative to VaR for
industrial Companies",
Niclas Andren, Hakan Jankensgard, and Lars Oxelheim
Hessin : "PriceVolatility,TradingVolume,and Market Depth : Evidence from
Futures Markets",
Hendirk Bessembinder; Paul J. Seguin
The Journal of Financial and quantitative analysis,
Vol.28, No. 1.(Mar. 19 93)
月玲: Exiration day effects of index futures and options:
evidence from a market with a long settlement period.
Applied Financial Economics,2004
坤祐 On the Determinants of Corporate Hedging-Journal of Finance
浩綱 Optimal portfolio selection in a Value-at-Risak framework
Rachel camphell Ronald Huisman Kees Koedijk 2000
成豫 The Risk Effects of Combining Banking,
Securities, and Insurance Activities
Journal of Economics and Business 2000; 52:485–497
柏毅 GARCH v.s stochastic volatility: Option pricing and
risk management
Journal of banking and finance
Alfred Lehar, Martin Scheicher, Christian Schittenkopf and Bo Yi Li
申牧 A guide to choosing absolute bank capital requiremens
Journal of banking and finance
Mark Carey
雅儀: Hedging Performance and Basis Risk in Stock Index Futures
Stephen Figlewski
The Journal of Finance, Vol. 39, No. 3
心瑜 An empirical analysis of multi-period hedges:
Applications to commercial and investment
Hilliard and huang
秉縉 2002 Applied Financial Economics
"Evaluating the hedging performance of the constant
correlation GARCH model"
佳嘉 2003 Applied Economics
"The Hedging performance of electicity futures on the
Nordic power exchange
阿婆 The Risk Management Decision in the Total Business Setting
Robert & Stephen
The Journal of Risk and Insurance
欣儒 Foreign investment with inflation-linked securities: A
natural hedge under Fisher theory?
Anthony F. Herbst, Joseph S.K. Wu
Global Finance Journal(2007)
韋汝: Do banks overstate their value-at-risk ?
Christophe Perignon, Zi Yin Deng, Zhi Jun Wang
Journal of banking and finance, 2007
竣盛：Conditional OLS Minimum Variance Hedge Ratio
Joelle Miffre
朱哥 project risk analysis and management
the association for project management
建偉 The hedging effectiveness of stock index fixtures:
evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK
瑋庭 Interest rate futures and forwards:evidence form the sterling
futures and FRA markets
/Journal of international financial markets,institutions& money
映汝 : Risk management for asset managers: A test of relative VaR
Journal of Asset Management , 2004
紀佑 :Does Hedge Fund Hedge?
Clifford ASness，Robert Krail，John Liew
浣熊 :Using currency futures to hedge currency risk
國禎 :Evidence on Corporate Hedging Policy
Shehzad L.Mian (1996)
阿吉 :Investment, cash flow, and corporate hedging
怡廷 :Value at Risk When Daily Changes in Market Variables Are Not
Normally Distributed
John Hull and Alan White(1998) Journal of Derivatives
尚文：Foreign-exchange trading risk management with
value at risk Case analysis of the Moroccan market
百庭：LTCM CASE C
宗學：LTCM CASE (A)
郭子:To hedge or not to hedge:the performance of simple strategies
for hedging foreign exchange rate
Matthew R.Morey, Marc W.Simpson(2000)
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