以修正歷史模擬法估計風險值

Abstract

本研究引用傳統上歷史模擬法，蒙地卡羅模擬法 以及Hull and White (1998)、Boudoukh, Richardson and Whitelaw (1998)模型，以外匯資產的投資組合進行實證研究，再依模型評估指標，做準確性、保守性、效率性分析，並以此標準為評估準則作綜合 性的評比。 本研究結果摘要如下： (1) 蒙地卡羅模擬法在整體而言是相對適合外匯資產的模型。 (2) Hull and White (1998)所提出的HW模型普遍上對於風險值的估計品質優於傳統歷史模擬法。 (3) Boudoukh ,Richardson and Whitelaw (1998)所提出的HY模型在顯著水準越高下，表現比傳統的歷史模擬法好。 (4) 不論各指標顯示如何，隨著顯著水準的改變，模型的績效與品質也會因此變動，在做風險管理的決策時需注意此點。

Abstract This study made comparisons among the two revised historical simulation methods, Boudoukh, Richardson and Whitelaw’s (1998) hybrid method,Hull and White’s (1998) method, traditional historical method ,and Monte Carlo simulation for estimating Value-at-Risk. Using 10 years of 4 foreign exchange rates , the empirical results show that Hull and White’s (1998) method is a relative improvement for three confidence levels,based on the analysis of conservativeness, accuracy and efficiency. The results of the research are as following:

1. Among four models in my research, Monte Carlo model gets the best performance in all dimensions. 2. Changing confidence interval affects models’ performance, from which we should take it into consideration. 3. From the conservativeness point of view, Monte Carlo method performs well than Hull-White model in the average. 4. Hybrid method performs the worst in average, but it may have the best performance from the conservativeness perspective. 5. When performing risk measures such as VaR , it is necessary for portfolio managers to consider the features of underlying assets ,the restrictions of various VaR models ,and the significance level.