這篇研究應用了四種計算風險值的方法，移動加權平均法、指數加權平均法、歷史模擬法及拔鞡複製法，來衡量十二個不動產投資信託投資組合的市場風險，分別以95%及99%的信賴水準計算持有期間為每日與十天的風險值，同時，運用回顧測試來驗證模型的正確性，研究發現拔鞡複製法在信賴水準為99%產生最正確的風險值，但是四種模型在95%的信賴水準沒有估算出精確的風險值，因此，在99%的信賴水準下，應使用歷史模擬法或拔鞡複製法來估算不同型態的不動產投資信託投資組合的每日風險值，當持有期間是十天時，我們建議移動加權平均法、指數加權平均法使用95%的信賴水準。

This paper employs four VaR methodologies, the equally weighted moving average (SMA), the exponentially weighted moving average (EWMA), historical simulation and bootstrap methods to measure the downside market risk of a total of twelve real estate investment trust (REITs) portfolios. The one-day horizon and two-week holding period VaRs are estimated separately for both 95% and 99% confidence levels. Then, we apply the backtesting of Basel rules to verify these models. We find that the bootstrap method produces the most precise VaRs at the 99% confidence level. In addition, the four models don’t forecast VaRs accurately for each portfolio at the 95% confidence level. For the portfolios formed by different property types or different leverage ratios, we suggest that one-day VaRs should be estimated by the historical simulation or the bootstrap method at the 99% confidence level. Finally, the parametric approaches produce more reliable two-week holding period VaRs at a 95% confidence level.

Table of Contents
1. Introduction-----------------------------------------------------------------01
2. Literatures-------------------------------------------------------------------02
3. Data---------------------------------------------------------------------------04
4. Introduction to Value-at-Risk Models---------------------------------05
4.1 The Delta-Normal Approach------------------------------------------06
4.2 Equally Weighted Moving Average (SMA)-------------------------07
4.3 Exponentially Weighted Moving Average (EWMA)--------------07
4.4 Historical Simulation (HS)--------------------------------------------08
4.5 Bootstrap Method-------------------------------------------------------09
5. Result------------------------------------------------------------------------10
6. Conclusion------------------------------------------------------------------14
Reference----------------------------------------------------------------------- 15

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