不同風險指標之比較與實證研究－以台灣股票市場為例

Abstract

近年來，風險管理已成社會重要議題，尤其在金融風暴之後，更是如此。風險管理工作中重要的一環在於風險量化，亦即藉由某種數據指標衡量風險之大小。本研究旨在以Aumann與Serrano於2008年所提出、有別於傳統VaR (Value at Risk)與CVaR (Conditional Value at Risk)一種稱為Riskiness之新風險指標衡量台灣股票市場十九大類股的風險數值，同時也計算各類股的VaR與CVaR風險指標數值，探討此三種指標與各類股平均日報酬率及各類股財務變數的相關性。研究結果發現，Riskiness風險指標與平均日報酬率呈現負相關，而VaR風險指標及CVaR風險指標與平均日報酬率則呈正相關，此三個風險指標都與平均日報酬率的標準差呈正相關。經分別依據三種風險指標針對十九大類股一一排序後，本研究發現依據三種風險指標所為類股的排序並不一致，表示三者對風險的衡量並不全然相同。對財務變數建立迴歸模型研究結果顯示，類股之股東權益報酬率越高，三種風險指標皆會越低，而類股之股價淨值比越高，則Riskiness風險指標則越高。

Risk management is highly concerned in modern society, especially after the financial storm occurred in 2008. One important issue of risk management is the quantitative risk measurement. In this study, a particular ‘riskiness index’ proposed by Aumann and Serrano is adopted to measure risks of 19 sectors of stock issued in Taiwan. Risk indices based on more traditionally used VaR (Value at Risk) and CVaR (Conditional Value at Risk) of these stocks are also calculated. For each of these three indices, its correlations with the average daily return and other financial variables are investigated. The result indicates that riskiness index is negatively correlated to the average daily return, but both VaR index and CVaR index are positively correlated to the average daily return. All these three indices are positively correlated to the standard deviation of average daily return. The orders of ranking based on different risk indices appear differently. From investigating various financial variables regression model, it is found that higher ROE (Return on equity) of 19 sectors of stocks results in lower risk no matter which of the three indices is employed. It is also found that higher PBR (price-to-book ratio) results in higher riskiness index.