VaR或LEL風險管理限制下之資產配置探討

Abstract

經過許多重大金融事件發生後，風險管理日益重要，尤其是對於金融機構及保險業者，擁有龐大資金的資本市場參與者，在做資產最適化配置時，除了考量效用極大化外，更要搭配風險管理的限制，以因應可能產生的風險，本文採最常被使用的風險值VaR及LEL為風險管理依據，透過Basak與Shaprio (2001)之模型，繪出期末財富圖形，利用靜態複製的概念推敲可能的資產配置，並對於參數變動給予分析，如：可接受的最大損失機率或損失量、風險管理者風險趨避程度、風險市場價格等。對於風險管理者而言，採用不同的管理準則，將會帶來不同的投資決策，以確保組織穩健運作。

In this paper we investigate on asset allocation under risk management constraints like VaR or LEL. Based on the time-T wealth pattern in the research of Basak and Shaprio(2001), we adjust slightly the pattern with terminal price of underlying asset and time-T wealth. We analyze the differences through different parameters to find optimal asset allocation with static replication. Our results show that as a risk manager becomes more risk averse, as the market price of risk decreases, or as given probability rises, the manager invests more in the risk-free assets. Effective risk management strategies allow the participants in the capital market to identify the companies’ potential risks. Our paper provides some suggestions on risk management for those who control enormous amount of capital like financial intermediaries and insurance companies.