臺灣博碩士論文加值系統

The weakness of corporate governance, especially in financial sector, is well-known pointed as one of the most important reasons that caused to two critical crises in 1997 and 2008. After such these events, financial institution and its components have been paid more attentions on risk management than ever to avoid the similarities. However, there are very few regarded studies show the insight on the linkage between corporate governance and risk management. Align with the concern that the good of corporate governance may reduce risk taking behavior, we will base on concept of downsize risk and appropriate methodologies to show clearly the connection of two these fields. In order to illustrate our conceptualization, we device this thesis to three main streams follow as: Firstly, the methodology for risk measurement will be estimated in first stage. Secondly, the role of corporate governance will be analyzed in term of firm performance. Finally, the linkage of corporate governance and risk management will be created which is put inside a tight mechanism environment. Thus, we expect that our study will fulfill the relevant literature and is the first stage for the further research.
This paper shows several interesting findings. First, although the concept of Value at Risk (VaR) is not difficult to understand, its measurement has still been complex. In first stage, we employ three skewed distributions are marked to be good at risk-modelling in Asian region where has gained less attentions from academic field in risk management. The final outcome not only confirm the goodness of fit from skewed distributions for VaR estimation but also the outstanding of Generalized skewed hyperbolic distribution in monitoring market risk and forecast the volatility of empirical return.
Then, the connection between corporate governance and firm performance is analyzed. By using board structure to represent for corporate governance, we show the results that the equity market estimates highly firms with the appearance of women on executive board. However, these results could be argued in the context of increasing of gender balance in boardroom. Moreover, the positive relationship between market-based performance and proportion of female director also implies that market react positive the appointment of female leaders. In additional, while the size of firm market capitalism has the relatively strong positive significance on both firm accounting-based and market-based, the equity market underestimates firms with high asset level.
Eventually, this thesis then continues analyzing the correlation between corporate governance and risk management. Align with the concern that female leadership may help reduce the risk and alleviate damages from financial crisis, we aimed to shed more lights on the role of gender board structure and corporate risk-taking through a unique approach which based on downsize risk in term of rigid corporate governance mechanisms. After controlling for the effect of endogeneity through application of Two-Stage Least Squares (2SLS), as expected, we found evidences for negative relationships between the proportion of women on boards and idiosyncratic as well as systemic risk. In addition, board size significantly increases the market risk.

ACKNOWLEDGEMENTS I
ABSTRACT II
CONTENTS IV
LIST OF TABLES VI
LIST OF FIGURES VII
CHAPTER 1 1
1.1. RESEARCH BACKGROUND 2
1.2. SIGNIFICANCE OF THE STUDY 3
1.3. CONTRIBUTIONS TO THE FIELD 5
1.4. OBJECTIVES OF THE STUDY 6
1.5. DELIMITATIONS OF THE STUDY 7
CHAPTER 2 9
2.1. PARAMETRIC METHOD AND COMPREHENSIVE RISK MEASUREMENT 9
2.1.1. Value at Risk measurements 9
2.1.2. Parametric method and skewed distributions 10
2.2. THE ROLE OF CORPORATE GOVERNANCE AND FIRM PERFORMANCE 11
2.2.1. Role of leadership in corporate governance 12
2.2.2. Female leadership and gender diversity in boardroom 14
2.2.3. Female leadership and firm performance 14
2.3. CORPORATE GOVERNANCE AND CONCEPT OF DOWNSIZE RISK 16
2.3.1. The role of board in firm governance mechanisms 16
2.3.2. Board size and corporate risk taking 18
2.3.3. Female leadership and corporate risk taking 19
2.3.4. Gender diversity and corporate risk taking 19
2.3.5. Female executive and corporate risk-taking behaviors 20
CHAPTER 3 22
3.1. VALUE AT RISK AND EXPECTED SHORTFALL 22
3.2. VAR BASED ON PROBABILITY DENSITIES FUNCTION 25
3.3. THREE DISTRIBUTION APPLIED FOR VALUE AT RISK ACCURACY 26
3.3.1. Generalized hyperbolic distribution 26
3.3.2. Normal inverse Gaussian distribution 27
3.3.3. Skewed student T-distribution 28
3.4. BACKTESTING POINT VAR FORECAST 28
CHAPTER 4 32
4.1. COMPREHENSIVE RISK MEASUREMENT 32
4.1.1. Data analysis 32
4.1.2. Parameter estimation 33
4.1.3. VaR derived from STD, GHD, and NID 35
4.1.4. Expected shortfall derived from STD, GHD, and NID 37
4.1.5. VaR backtesting 37
4.1.6. Discussion 44
4.2. THE RELATIONSHIP BETWEEN CORPORATE GOVERNANCE AND FIRM PERFORMANCE 46
4.2.1. Variables and econometric models 46
4.2.2. Data analysis 48
4.2.3. Two-Stage Least Squares (2SLS) 50
4.2.4 Generalized method of moments (GMM) 53
4.2.5. Fuzzy set/Qualitative comparative analysis 54
4.2.6. Discussion 56
4.3. THE RELATIONSHIP BETWEEN CORPORATE GOVERNANCE AND EXCESSIVE RISK TAKING BEHAVIOR 58
4.3.1. Variables and econometric models 58
4.3.2. Data analysis 62
4.3.3. Empirical analysis 65
4.3.4. Discussion 69
CHAPTER 5 71
BIOBLIOGRAPHY 73

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