| Chapter 1 Introduction | 第1-23页 |
| ·Financial Market Risk Management Measures | 第13-17页 |
| ·Financial Market Downside risk management | 第17-23页 |
| Chapter 2 Single Asset Portfolio Downside Risk Measured by Univariate Extreme Value Theory Methods | 第23-58页 |
| ·Introduction | 第24-25页 |
| ·Data | 第25-31页 |
| ·Univariate Extreme value theory | 第31-41页 |
| ·Fisher-Tippett theorem | 第32-33页 |
| ·Generalized Pareto distribution | 第33-34页 |
| ·Extremal index | 第34-35页 |
| ·Extreme value data analysis by generalized Pareto distribution | 第35-41页 |
| ·Quantile estimation | 第35-36页 |
| ·Tools of preliminary data analysis | 第36-38页 |
| ·Modeling threshold excesses | 第38-41页 |
| ·Extreme value data analysis of MSCI daily equity price return and SAFE exchange rate return | 第41-50页 |
| ·Chinese MSCI equity index modeling | 第41-46页 |
| ·Summary of MSCI equity index returns modeling | 第46-48页 |
| ·Summary of SAFE exchange rate returns modeling | 第48-50页 |
| ·Holding period variation effect | 第50页 |
| ·Downside Measures of a single asset Portfolio | 第50-55页 |
| ·The Value-at-Risk (VaR) | 第51页 |
| ·Single asset portfolio VaR | 第51-52页 |
| ·Single asset portfolio VaR determination from different holding period | 第52-53页 |
| ·GES (Generalized expected shortfall) of single asset portfolio. | 第53-54页 |
| ·Single asset portfolio GES (T, q) determination from different holding period | 第54-55页 |
| ·The Capital-at-Risk | 第55-56页 |
| ·Conclusion | 第56-58页 |
| Chapter 3 International Equity Markets Portfolio Risk Measure by Multivariate Extreme Conditional Correlation | 第58-85页 |
| ·Introduction | 第59-62页 |
| ·Theory on conditional correlation of extreme returns | 第62-63页 |
| ·Estimation procedure of conditional correlation of extreme returns | 第63-64页 |
| ·Correlation of extreme returns: Empirical evidence | 第64-70页 |
| ·Downside risk measure of bivariate portfolio | 第70-83页 |
| ·Conclusion | 第83-85页 |
| Chapter 4 Portfolio Downside Risk Measure by Multivariate Maxima of Moving Maxima Process Under Value-at-Risk Constraint | 第85-121页 |
| ·Introduction | 第85-90页 |
| ·VaR methods for portfolio risk measures | 第90-95页 |
| ·Variance-Covariance approach | 第90-92页 |
| ·Copula approach | 第92-93页 |
| ·Historical simulation approach | 第93-94页 |
| ·Monte-Carlo simulation approach | 第94页 |
| ·Extreme value approaches | 第94-95页 |
| ·Optimal portfolio theory | 第95-96页 |
| ·Capital-at-Risk for a Portfolio | 第96-97页 |
| ·Multivariate maxima of moving maxima process | 第97-100页 |
| ·Characterization of multivariate maxima of moving maxima processes | 第97-98页 |
| ·Estimation of multivariate maxima of moving maxima processes and determination of tail dependence index | 第98-100页 |
| ·Computing coefficient of loss of capital-at-risk of international equity portfolio by multivariate maxima of moving maxima process | 第100-111页 |
| ·Empirical selection of the M4 model | 第101-103页 |
| ·Empirical estimation of the M4 model from equity data | 第103-107页 |
| ·Application of M4 model to international equity portfolio capital-at-risk determination | 第107-111页 |
| ·Measured Exchange Rate Exposure of Asian equity portfolio | 第111-119页 |
| ·Currency market return and equity stock market return combination | 第111-113页 |
| ·Empirical estimation of the M4 model from equity and exchange rate data | 第113-119页 |
| ·Conclusion | 第119-121页 |
| Chapter 5 Summary of Findings and Contributions | 第121-124页 |
| ·Main findings | 第121-122页 |
| ·Main contributions | 第122页 |
| ·Innovations | 第122-123页 |
| ·Directions of future researches | 第123-124页 |
| Bibliography | 第124-134页 |
| Situation of Published PaPers | 第134-135页 |
| ACKNOWLEDGEMENTS | 第135页 |
