風險值計算誤差之研究

Abstract

1996年巴賽爾資本協定建議金融機構使用風險值來當作資本適足度的決定指標，風險值能否計算正確，成為企業控制內部資本而避免破產的重要關鍵。然而，風險值估算難免會有誤差，我們感興趣的是風險值誤差受何種因素影響，影響的程度如何，計算風險值要注意到哪些限制問題。

In 1996, Basel implementation suggests financial institution to use Value at risk (VaR) to determine regulatory capital requirements or internal capital allocations. The correction of VaR calculated has become the key point to decide whether the bank will get bankrupt or not. However, VaR is hard to avoid the errors of estimation, so we want to know what factors cause VaR to be biased, what level they affect VaR, and what limitations VaR has.