臺灣博碩士論文加值系統

風險值主要是用以衡量市場風險，代表在一特定信賴水準下，持有單一資產或投資組合在投資期間內所預期遭受的最大損失值。隨著各種不同的風險值模型被廣泛發展，本研究試圖以適當的評量方法來檢視不同風險值模型的表現。在本研究中，主要探討參數（parametric）及非參數（non-parametric）兩類模型的表現，並將評量方法分為假設檢定（hypothesis testing）及相對表現（relative performance）兩類，實證結果顯示其中以SWARCH-L和調整過歷史模擬法（adjusted historical simulation approach）表現最佳。

Value-at-Risk (VaR) models have been radically developed to measure the market risk. In this paper, we apply both hypothesis-testing and relative performance criteria to evaluate different VaR models. The results suggest that both SWARCH-L model and adjusted-historical simulation model have better performance across all criteria. The strength of SWARCH approach is its efficiency to track the evolution of risk in terms of its highest correlation, only it tends to produce too few exceptions. For future researches, we suggest it may be more accurate to allow for more than two regimes or to add the GARCH term in practice.

CHAPTER 1 INTRODUCTION 1
1.1 RESEARCH BACKGROUND 1
1.2 RESEARCH OBJECTIVE 2
CHAPTER 2 LITERATURE REVIEW 3
2.1 A BRIEF INTRODUCTION OF VAR 3
2.2 APPROACHES TO CALCULATING VAR 5
2.2.1 Parametric Models 6
2.2.2 Nonparametric Models 9
2.3 RECENT DEVELOPMENTS ON VAR MODELS 10
2.3.1 Issues on the Conventional VaR Models 10
2.3.2 Improved Approaches to Calculating VaR 11
2.4 EVALUATION OF VAR 15
2.4.1 Hypothesis-Testing Framework 15
2.4.2 Relative Performance Framework 23
CHAPTER 3 METHODOLOGY 26
3.1 VALUE-AT-RISK MODELS 26
3.1.1 Exponentially Weighted Moving Average Model 26
3.1.2 Threshold GARCH Model 27
3.1.3 SWARCH-L Model 28
3.1.4 Historical Simulation Model 30
3.1.5 Adjusted Historical Simulation Model 30
3.2 EVALUATION OF VALUE-AT-RISK 31
3.2.1 Hypothesis-Testing Evaluation 31
3.2.2 Relative Performance 31
CHAPTER 4 EMPIRICAL RESULTS 35
4.1 DATA DESCRIPTION 35
4.2 CALCULATION RESULTS OF VAR 40
4.3 EVALUATIONS OF VAR ESTIMATIONS 51
CHAPTER 5 CONCLUSION 55
REFERENCES 57
APPENDICES 59
APPENDIX A：ESTIMATION RESULTS OF THE TGARCH (1,1) MODEL 59
APPENDIX B : CUSUM OF SQUARES TEST 67
APPENDIX C：ESTIMATION RESULTS OF THE SWARCH-L MODEL 68

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