臺灣博碩士論文加值系統

風險值（VaR）是一種風險管理的技術，主要是用來控管因市場價格波動而產生的市場風險，由於市場風險在企業投資組合的總風險中所佔的比率愈來愈重，所以這項技術也漸漸成為一種潮流。簡單地來說，風險值是運用統計上機率分配的概念，將抽象的風險量化成具體的數值，要直接控管抽象的風險並不容易，經由風險值的這項技術，可以將抽象的風險轉變成具體的風險值數字，我們便可以很容易地採取各種防範措施來因應市場風險的衝擊了。在給定的信心水準下，風險值表示投資組合於固定期間內最大可能損失金額。
就郵政資金目前之運用途徑可知，其資金運用所面對的風險，包括信用風險、流動性風險、作業風險、法律風險、市場風險等，本研究只針對市場風險作探討。郵政儲金匯業局之管理者若能夠每日或每星期計算所持股市部位的風險值，將較能掌握目前所擁有股票資產的風險暴露程度，若算出風險值過大，自身認為不能負荷，也能早一步作「避險」的動作，免遭受更大的損失。
本研究以郵匯局股市投資組合作分析，估算其風險值，方法包括變異數-共變異數法、歷史模擬法、拔靴法以及壓力測試，除了比較以上各方法的優缺點，並以回溯測試來檢定以上之方法的可信度。最後，依產業類別與期間做進一步的細部分析，包括個別產業之風險值、各產業對整體投資組合風險值的貢獻程度與風險值之趨勢分析，並以投資個別產業類股之風險值與郵匯局股市投資組合做比較。

Value at Risk (VaR) is a kind of technique in management, which is used to control market risk caused by vibration of market price. This technique is going to become a trend because the proportion of market risk in business portfolio is rising. Simply speaking, VaR adopts the concept of probability distribution; that is to qualify abstract risk into concrete value. Thus, we can take measures to defense shocks from market risk much easily. About the definition of VaR, it means the largest possible lost in a portfolio under conditions of a given period and confident level.
With reference of approaches of using postal risk funds, riskes in using fund include credit risk, liquidity risk, operational risk, legal risk, market risk and so on. Among them, this research is going to investigate market risk. If managers in Postal Remittances Savings Banks can count VaR from position of holding stock every day or every week, they will control the degree of exposure risk in capital of stock. Once the counted VaR is too large, they can take action of hedge in advance.
The research is doing analysis from stock portfolio and measuring VaR. The approaches include variance and covariance, historical simulation, bootstrapping methods and stress test. We are going to compare advantages and drawbacks of these methods as well as to test their reliability by back-test. At last, the study is further doing analysis based on categories of industries and given periods, including VaR of individual industry, contribution degree of overall portfolio in each industry and trend analysis of VaR. In addition, this research also compares VaR of individual industry with stock portfolio of Postal Remittances Savings Banks.
Keywords: Vale at Risk, Postal Remittances Savings Banks, variance and covariance method, historical simulation method, bootstrapping methods, stress test, back-test.

第一章 緒論…………………………………………………………………1
第一節 研究背景………………………………………………………1
第二節 研究目的………………………………………………………6
第三節 研究範圍與限制………………………………………………6
第四節 研究架構………………………………………………………7
第二章 文獻探討……………………………………………………………8
第一節 風險值之定義…………………………………………………8
第二節 金融商品之風險來源…………………………………………10
第三節 風險值的應用層面……………………………………………12
第四節 風險值的計算方法……………………………………………14
第五節 報酬不為常態分配時VaR的計算方法………………………22
第六節 波動性與相關係數之預測……………………………………24
第七節 有關風險值之討論……………………………………………27
第三章 風險值模型---執行流程及步驟…………………………………33
第一節 變異數與共變異數法…………………………………………33
第二節 歷史模擬法……………………………………………………36
第三節 蒙地卡羅模擬法………………………………………………37
第四節 壓力測試………………………………………………………41
第五節 回溯測試………………………………………………………42
第四章 研究模型設計………………………………………………………43
第一節 郵匯儲金及壽險準備金操作股票部位之配置………………43
第二節 股票投資組合風險值分析……………………………………44
第三節 個別產業風險值分析…………………………………….……58
第四節 風險值百分比之趨勢分析……………………………………61
第五節 風險值百分比檢定…………………………………….………64
第五章 結論與建議…………………………………………………………65
第一節 研究結論………………………………………………………65
第二節 研究建議………………………………………………………67
參考文獻………………………………………………………………………68
中文部分…………………………………………………………………68
英文部分…………………………………………………………………69

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