臺灣博碩士論文加值系統

本研究目的主要為針對外幣資產，建構最適外幣投資組合並驗證該投資組合的匯率風險。為了達到這個目標，本研究採用了三個方法包括：歷史模擬法(Historical Simulation Approach)、變異數－共變異數法 (Variance-Covariance Approach) 以及蒙地卡羅法 (Monte Carlo Simulation Approach) 來計算外幣投資組合的風險值(VaR)，並進而產生了九種建構外幣投資組合的策略。採用從2009年到2015年的台灣外匯市場日資料，並比較此九種外幣投資組合的投資組合風險值的估計結果顯示，以歷史模擬法中的 Exponentially-Weighted Moving Average (EWMA) 策略以及蒙地卡羅模擬法中的 Equally Weighted(EW)策略所建構的外幣投資組合可具有最佳的風險值績效表現。而進一步的回測結果(Backtesting)驗證，在99%的信賴水準效率性下，本研究提出的資產配置策略模型所估算的外幣投資組合風險值具有顯著的統計精確性。

This study deals with selecting the most appropriate technique predicting precisely the exchange rate risk. To gain that aim, we apply three main approaches, namely, the Historical Simulation Approach, the Variance-Covariance Approach and the Monte Carlo Simulation Approach. Covering daily data from 2009 to 2015 on the Taiwan foreign exchange market, our main finding shows that the EWMA (Historical Simulation) along with the Equally Weighted (Monte Carlo Simulation) exhibited the lowest loss as well as beat a benchmark, are the most optimal methods for VaR estimation. Moreover, results on backtesting suggest that seven of nine our proposed models work effectively at 99% confidence level during empirical period.

Abstract......i
摘要......ii
Acknowledgements......iii
Table of Contents......iv
List of Tables......vi
List of Figures......vii
Symbols......viii
Chapter 1 Introduction......1
1.1 Risk and Value at Risk......1
1.1.1 Risk......1
1.1.2 Value at Risk......4
1.2 Portfolio construction and evaluation......5
1.2.1 Portfolio construction......5
1.2.2 Portfolio evaluation......6
1.3 The structure of the study......6
Chapter 2 Literature Review......8
2.1 Value at Risk......8
2.2 Historical Simulation......9
2.3 Variance-Covariance approach......10
2.3.1 Equally Weighted......10
2.3.2 Modified Sharpe ratio Weighted......11
2.4 Monte Carlo Simulation......12
Chapter 3 Methodology......14
3.1 Historical Simulation......14
3.1.1 Equally weighted......14
3.1.2 EWMA......15
3.1.3 GARCH(1,1)......15
3.2.1 Equally weighted......16
3.2.2 Modified-Sharpe-ratio weighted......16
3.3 Monte Carlo Simulation......17
Chapter 4 Empirical Study......20
4.1 Data......20
4.2 Portfolio Construction......23
4.3 Portfolio Evaluation......28
4.4 The VaR exceptions......31
4.5 The accuracy of VaR models......32
4.5.1 Kupiec proportion of failure test......32
4.5.2 Independence test......34
4.5.3 Joint Tests of Unconditional Coverage and Independence......36
Chapter 5 Conclusion......38
5.1 Summary the study......38
5.2 Recommendation for further researches......39
References......41
Extended Abstract......45
Curriculum Vitae......51

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