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研究生:翁玉芳
研究生(外文):Yu-Fang Weng
論文名稱:風險值衡量模型之研究-以農企業投資組合為例
論文名稱(外文):An Empirical Study of Value at Risk Measurement Model --The Case of Agribusiness Portfolio
指導教授:洪仁杰 
指導教授(外文):Rern-Jay Hung
學位類別:碩士
校院名稱:國立屏東科技大學
系所名稱:農企業管理系
學門:農業科學學門
學類:農業經濟及推廣學類
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
中文關鍵詞:農企業投資組合風險值變異數/共變數法歷史模擬法蒙地卡羅模擬法
外文關鍵詞:Agribusiness PortfolioValue at RiskVariance/CovarianceHistorical Simulation MethodMonte Carlo Simulation
相關次數:
  • 被引用被引用:8
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  台灣的農業發展,已從早期的繁盛時期步入衰退式微的產業,因此隨著經濟型態的改變,農企業已經取代傳統農業成為目前農業經營的主流,而目前已上市上櫃的農企業機構以食品產業為最多,但近年來因食品產業類股股價偏低,加上政府獎勵農業生物科技的投資,及受美國生物科技類股持續飆漲等情勢的影響,許多食品廠商紛紛投入農業生物科技的行列,且市場投資者也相當看好未來生物科技及農企業類股的成長,因此預期未來投資於農企業相關類股的投資者勢必會增加許多,也因此投資者所面臨的市場風險即為一需重視的課題。
  為瞭解農企業投資者所面臨的風險狀況,本研究即建構一農企業投資組合做為研究對象,並利用目前最被廣為接受的風險值技術,以風險值衡量方法中較常用的變異數/共變數法、歷史模擬法及蒙地卡羅模擬法等三種方法來估算農企業投資組合的風險值,比較此三種模型的估計能力,希望藉此找出農企業投資組合所適用的風險值衡量方法,以提供給農企業相關投資者作為風險管理的參考。
  結果發現在標準差法中以GARCH模型所得之估計結果較好,而在分位數法中以歷史模擬法所得之估計結果較好,然總體而言,以歷史模擬法所得之估計結果較好,故在衡量農企業投資組合的風險值以歷史模擬法較為適合。而以較保守的估計,在2001年1月2日至2001年12月31日,信賴水準99%之下,持有100萬元的農企業投資組合,每日需承受62,214.24∼62,629.24元的極端損失,與其它研究比較後發現農企業投資組合的風險比金融投資組合高,但比電子投資組合低,即其風險介於二者之間。
In history of Taiwan agriculture development, agriculture industry declined even though it had a prosperous period in past days. With the change of the economic style, agribusiness has replaced the traditional agriculture and played a predominant role in agriculture management recently. At the present day, most of the listed and over-the-counter agribusiness companies in Taiwan are food industries. Due to the low stock the prices of the listed food companies in the past few years, government’s encouragement to invest in agriculture biotechnology, and the soaring price of the securities in biotechnology industry in USA, many of the food companies joined the agriculture biotechnology research, and investors hold positive viewpoints in biotechnology and the growth of the securities in agribusiness in the future. Therefore, we can expect that the number of the investors will increase to invest relevant agribusiness securities in the future. Thus the risk which investors may encounter in the market becomes a crucial subject.
In order to comprehend the risk condition that agribusiness investors may face, the study constructed an Agribusiness Portfolio as a study subject and used the most accepted technique — Value at Risk technique — to measure the value of risk. The risk value of the Agribusiness Portfolio was estimated by three of the most used models — Variance/Covariance, Historical Simulation Method, and Monte Carlo Simulation. By using the estimated abilities of three models, we attempt to find out the optimal measured one to measure the risk value of Agribusiness Portfolio so that we can provide the reference of the risk management to the Agribusiness Portfolio investors.
We can get the best-estimated result in Standard Variance Method by using GARCH Model, and get best-estimated one in Percentile Method by using Historical Simulation Method Model. In general, we can get the best-estimated result by using Historical Simulation Method Model, since that it is suitable to measure the Value at Risk of Agribusiness Portfolio by the above model. According to the conventional estimation, one holds one million dollars in Agribusiness Portfolio will bear 62,214.24 to 62,629.24 dollars extreme loss daily under 99% confidence level from Jan. 2, 2001 to Dec. 31, 2001. After comparing with the other studies, we can find that the risk of the Agribusiness Portfolio is higher than that of the portfolio of the financial related stocks, but less than the risk of the portfolio of the electronic related stocks. The risk of Agribusiness Portfolio is between the former two portfolios.
目  錄
中文摘要…………………………………………………………Ⅰ
英文摘要…………………………………………………………Ⅱ
誌  謝…………………………………………………………Ⅲ
目  錄…………………………………………………………Ⅳ
圖表索引…………………………………………………………Ⅵ
壹、緒論…………………………………………………………1
一、研究背景與動機…………………………………………1
二、研究目的…………………………………………………3
三、研究架構…………………………………………………4
貳、文獻探討……………………………………………………6
一、農企業的意義及範圍……………………………………6
二、風險管理…………………………………………………9
三、風險值的概念與定義…………………………………. 11
四、風險值的實證研究……………………………………. 13
參、研究方法………………………………….………………22
一、風險值的衡量方法…………………………………….22
二、估算未來風險值……………………………………….32
三、風險估計值的驗證…………………………………….33
肆、實證分析結果……………………………………………35
一、建構投資組合………………………………………….35
二、資料來源……………………………………………….35
三、變異數/共變數法………………………………………36
四、歷史模擬法…………………………………………….39
五、蒙地卡羅模擬法……………………………………….40
六、VaR風險估計值之驗證……………………………….41
伍、結論與建議………………………………………………49
一、結論…………………………………………………….49
二、後續研究建議………………………………………….51
參考文獻……………………………………………………….52
附錄…………………………………………………………….58
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