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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Yi-Hua Chen | en |
dc.contributor.author | 陳奕樺 | zh_TW |
dc.date.accessioned | 2021-06-08T05:10:19Z | - |
dc.date.copyright | 2011-07-25 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-07-14 | |
dc.identifier.citation | 1.Jeremy Berkowitz and James O’brien, “How accurate are Value-at-Risk models at commercial banks?”, The Journal of Finance, vol., LⅦ, No.3, June 2002, 1093-1111.
2.Yu Chuan Huang and Bor-Jing Lin, “Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations”, Review of Quantitative Finance and Accounting (2004), 22: 79–95. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23803 | - |
dc.description.abstract | 台灣屬於海島型國家,金融服務業已成為台灣重要的產業之一,近幾年來,各家金控紛紛成立,投資商品日趨多元,對於投資的風險計算方式也不斷改進,如何準確地預估風險,達到有效的風險衡量和控管,是風控部門和政府監理單位關切的重要議題之一。Value-at-Risk是目前廣為使用的一種風險衡量方法,它能估計出企業在某一固定百分比下的損失承載量,並讓企業提前做好準備;衡量VaR的方式有許多,同時VaR也適用在監理機構監控金控的存款準備風險、或是業界的各項投資風險。本篇利用VaR衡量台灣不同產業股價指數的精確性,試驗VaR是否能有效預估風險,以作為金融機構在使用VaR來衡量投資損失準備的參考。
本篇論文使用排序法找出台灣各產業股價指數的VaR,期間為2006~2010年,此區間涵蓋金融海嘯(2007~2008),另一方面,利用每個月的VaR計算出Mean VaR (VaR的平均值),並找出小於Mean VaR的每日報酬率(Violations),計算其個數;最後用適合性檢定,假設為卡方分配,檢定2006~2007年的VaR在2009~2010年的日報酬率上,是否有效,以及相同的VaR在2008年(金融海嘯)的日報酬率上是否有效,並比較兩者的差異;同時觀察各產業間,VaR的有效性是否相同。 結論顯示VaR運用在衡量各產業股價指數的價格風險上,有效性互異;同時,當金融風暴發生時,由於損失程度迥異於以往,使用VaR來避險,顯得避險不足而容易導致重大損失無法用平日的避險水準來規避;另外,各產業股價指數彼此具有連動性,因此當金融風暴發生時,投資人較難靠分散投資標的來減少風險。 | zh_TW |
dc.description.abstract | Taiwan is an island, and financial service has become one of its important industries. Recently, financial holdings are growing and investment tools become various. To control risk accurately, the methods of measuring risk boost gradually, which are also concerned by department of controlling risk and government. Value-at-risk is a widely-used method. It can estimate the amount of loss under certain percentage of return distribution, which makes investors undertake loss and prepare proper reserves. The thesis uses VaR as the method of measuring risk of Taiwan Industry Stock Index, testing its effectiveness, and assessing how accurate VaR is at different periods of returns and different industries.
To find out VaR, I use “sort method” to calculate VaR of 2006~2010. The reason of choosing this period as sample is that it includes the period of financial tsunami (2007~2008). On the other hand, I also calculate Mean VaR by using VaRs of every month, and find out the number of returns which are smaller than Mean VaR. Eventually, I use fitness test to examine the effectiveness of VaR. One is using VaR of 2006~2007 to test the returns of 2009~2010, and the other is using the same VaR to test the returns of 2008. Compare the two different situations and results. On the other hand, I also examine the effectiveness of VaR in different industries. The result shows that the effectiveness of VaR is varied when applied on measuring the price risk of each industry stock index. Simultaneously, because of the unprecedented catastrophe, using VaR as a risk-measuring tool will lead to insufficient reserves and preparation. On the other hand, there are correlations between industry stock indexes. Investors hardly decrease price risk by allocating diverse industries of stock. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:10:19Z (GMT). No. of bitstreams: 1 ntu-100-R97723083-1.pdf: 7271461 bytes, checksum: 0e7fe978e8d52f4d40f379f2645ffce7 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 口試委員審定書 i
謝辭 ii 摘要 iii Abstract iv Ⅰ. Introduction 1 1.Motive and purpose 1 2.Structure 2 Ⅱ. Related literature 4 Ⅲ. Methodology 6 1.Mean, SD, 95% VaR, daily returns distribution plots, violations, mean VaR and XY scatter plots 6 2.Fitness test 21 Ⅳ. Discussion of the results 34 Ⅴ. Conclusions 38 Ⅵ. References 39 | |
dc.language.iso | en | |
dc.title | 測試Value-at-Risk模型衡量台灣不同產業的股價指數報酬率之精確性 | zh_TW |
dc.title | How Accurate Is Value-at-Risk Model at Taiwan Stock Index Returns of Different Industries | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 王仁宏,黃瑞卿 | |
dc.subject.keyword | 衡量風險,Value-at-Risk,VaR,有效, | zh_TW |
dc.subject.keyword | measure risk,Value-at-Risk,VaR,effectiveness, | en |
dc.relation.page | 39 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2011-07-15 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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