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研究生:葉珮如
研究生(外文):Pei-Ju, Yeh
論文名稱:公司風險值─J.P.Morgan''''sCorporateMetrics之模型與探討
指導教授:莊益源莊益源引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:95
中文關鍵詞:公司風險值盈餘風險值現金流量風險值單根共整合誤差修正Cholesky分解法蒙地卡羅模擬法
外文關鍵詞:CorporateMetrics
相關次數:
  • 被引用被引用:14
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論文摘要
過去對於公司風險管理均採用傳統公司敏感性分析法來衡量公司所面臨之風險,然而由於僅對單一風險來源去考慮其變動之影響,無法加總不同型式之風險,使得不同種類資產間的風險無法進行比較。雖然當時VaR相當盛行,有許多人試著將風險值觀念應用在非金融公司,但由於VaR僅考慮短期間投資組合價值之變動,然而非金融公司卻重視長期間盈餘與現金流量之風險,因而造成VaR並不適用於非金融公司。在此情況下,許多學者便紛紛提出公司風險管理之觀念,如:Hayt and Song、Stulze、Shimko等學者,但卻沒有一個具體而又明確的方法衡量非金融公司之風險,因此在企業迫切需要下,於是J.P. Morgan便提出CorporateMetrics模型與觀念,有助於公司現金流量與盈餘風險管理,有效幫助企業數量化市場風險,使公司能更有效管理企業之風險。
CorporateMetrics主要在衡量企業組織在總體環境下,當市場風險因子(如:利率、匯率等)變動時導致公司財務因子(如:盈餘、現金流量等)產生變動,將其風險予以數量化之方法表達。CorporateMetrics主要分為四個步驟:一為Metrics specficiation,界定公司所面臨市場風險與公司財務因子。二為風險描繪,即將市場風險如何影響公司財務因子以方程式或數學式表示。三為情境模擬,本研究採用J.P. Morgan所提供之一套表期估計之計量方法-LongRun Data Set,找出市場風險因子在未來估計期間內可能發生之情境與機率,以求出市場風險因子在未來可能之機率分配,在此步驟中,本研究將採用單根檢定,以得知變數是否為恆定狀態與是否具有相同整合級次,而後採用共整合檢定,以得出變數間長期均衡關係,並採用誤差修正模型作為短期間動態調整過程,因而得出預測模型,最後再利用Cholesky分解法與蒙地卡羅模擬法以模擬出未來價格可能之機率分配。四則為評價與風險衡量之計算,即將所預測出未來市場風險因子可能之機率分配代入風險描繪方程式中,以求出公司未來財務因子可能之分配,並以之求出公司風險值。本研究將採用電子業-源興科技股份有限公司作為研究樣本,實證結果發現該公司在95%信賴區間下盈餘風險值為新台幣一百零三億元,表示在95%信心下因匯率與商品價格變動造成公司盈餘最大可能損失金額為新台幣一百零三億元,而每股盈餘風險值為1.18631,表示在95%信賴區間下,因市場價格變動將使股東遭受之最大每股損失金額。
目 錄
第一章 緒 論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻探討 4
第一節 公司市場風險之探討 4
第二節 風險值之觀念與方法 10
第三節 CorporateMetrics之發展與觀念 14
第四節 CorporateMetrics與其他衡量風險方法之比較 17
第五節 CorporateMetrics之運作流程 27
第三章 研究方法 37
第一節 根據計量模型來作預測 38
第二節 情境模擬(Scenario simulations)─蒙地卡羅模擬 51
第四章 實證結果分析 53
第一節 資料來源與樣本描述 53
第二節 電子產業概況-監視器 54
第三節 實證結果 57
第五章 結論與建議 80
第一節 研究結論 80
第二節 後續研究建議 81
附 錄 82
附錄A Analytical approaches之模擬方法 82
附錄B 盈餘構成要素(Components of earnings) 84
附錄C 競爭風險 87
附錄D VECM之估計與檢定 88
附錄E 源興科技股份有限公司之預測財務報表 90
參考文獻 92
國外部份 92
國內部份 95
參考文獻
國外部份
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國內部份
陳達新、林允永、邱智偉,民89.07,「公司市場風險管理:J.P. Morgan CorporateMetrics的模型與應用」,證券金融(復華季刊),卷期66,頁.91-102.
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