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研究生:紀舒文
研究生(外文):Jih, Su-Wen
論文名稱:VaR風險管理之保守性、精確度與效率性研究
論文名稱(外文):Conservatism, Accuracy and Efficiency: Comparing VaR Models
指導教授:林筠林筠引用關係翁景民翁景民引用關係
指導教授(外文):Lin, YunWeng, Ching-Min
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:商學研究所
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:56
中文關鍵詞:風險管理風險值
外文關鍵詞:Value at RiskVaR
相關次數:
  • 被引用被引用:45
  • 點閱點閱:524
  • 評分評分:
  • 下載下載:100
  • 收藏至我的研究室書目清單書目收藏:7
由於風險衡量模型的複雜性逐漸成長,管理當局便允許金融機構使用其內部的VaR(Value at Risk)模型來計算最低的法定資產準備。然而隨著時間的改變,不同的VaR模型可能會產生不同的表現。但基於金融機構本身成本的考量,不允許一再變更其VaR風險評價模型。而法令同時也限制金融機構不能時常變動風險評估模型。所以金融機構需要找出一個在考慮時間變動下擁有良好表現的最適模型。
本論文的研究目的為運用統計方法,比較四個VaR模型的保守性、精確度、效率性表現,進而提供風險管理者一個評量模型優劣的標準。
主要研究結論如下:
1、使用GARCH分析之變異數-共變異數法在各方面表現相對不理想。
2、歷史資料模擬法與蒙第卡羅模擬法可能存在某些相關互動性。歷史資料模擬法在各方面的表現皆優於蒙第卡羅模擬法。皆隨著信賴水準的下降而表現越好。
3、極端值估計法在99%信賴水準時各項表現都優於其他模型。
4、信賴水準的假設確實可以影響模型的估計結果與表現。以本研究的實證資產組合為例,信賴水準99%時我們必須選擇極端值估計法模型,而在95%與90%信賴水準時便應該選擇歷史資料模擬法模型。
5、比較VaR模型所計算之資本準備與BIS法定模型所計算出資本準備發現,BIS法定模型的計算結果有較保守的傾向。
In line with the growing sophistication of risk management models, supervisors permit financial institutions to use their own VaR models in calculating the required minimum regulatory-capital to be held against those market risks. While the relative performance of different VaR models may change through time, it is expensive for banks to change their VaR model. For regulatory purposes, banks are not permitted to switch between different models frequently. For these reasons, banks need a model that is going to perform well over a prolonged of time.
The purpose of the research is comparing the three dimensions of model performance (conservatism, accuracy, and efficiency) among four VaR models by the statistical methods. Then trying to set a measuring standard for risk management.
The results of the research are as followings:
1.Among four models in my research, GARCH model gets the worst performance in all dimensions.
2.There may exist some interactive performance between historical simulation and Monte Carlo simulation. Historical simulation is better than Monte Carlo simulation in all dimensions.. When the confidence level is decreased, these two models get better performance.
3.Under 99% confidence level, extreme value estimation shows the best performance.
4.Changing confidence level affects the models’ performance. Using portfolio data of this thesis, under 99% confidence level we should choose the extreme value estimation and under 95% or 90% confidence level we should choose the historical simulation.
5.Comparing the required regulatory-capital calculated by VaR models and standard regulatory model, we conclude that BIS model tend to get more conservatism.
第一章、 緒論
第一節、 研究背景與動機 ……………………………………1
第二節、 研究目的與步驟 ……………………………………1
第三節、 研究架構流程 ………………………………………2
第二章、 相關理論文獻探討
第一節、 VaR模型與實證研究文獻 …………………………5
第二節、 VaR模型比較分析 ………………………………13
第三章、 研究模型與實證方法
第一節、 VaR模型 …………………………………………18
第二節、 VaR與資本適足性 ………………………………26
第三節、 模型評估指標 ……………………………………32
第四章、 實證結果分析
第一節、 實證資料介紹與實證步驟 ………………………38
第二節、 實證分析 …………………………………………39
第三節、 VaR風險值與資本適足性分析 ………………45
第五章、 結論與建議
第一節、 結論 ………………………………………………48
第二節、 後續研究與建議 …………………………………52
參考文獻 ……………………………………………………53
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