頁籤選單縮合
題 名 | 風險值體系運用之探討=Study on the Applications of Value at Risk Models |
---|---|
作 者 | 陳文華; 王佳真; 吳壽山; | 書刊名 | 交大管理學報 |
卷 期 | 18:2 1998.12[民87.12] |
頁 次 | 頁33-64 |
分類號 | 494.7 |
關鍵詞 | 風險值; 資本適足性; 標準模型; 內部模型; 風險涵蓋比率; 效率比率與夏普比率; Value at risk; VaR; Capital adequacy; Standardised model; Internal model; Risk ratio; Efficiency ratio; Sharpe ratio; |
語 文 | 中文(Chinese) |
中文摘要 | 「風險值」(Value at Risk簡稱VaR)代表的是在一定的信賴水準(a confidence level)下,經過一特定期間長度(a specific horizon)後,某一特定投資組合所遭受的最大可能損失值。自從國際清算銀行下之銀行監理委員會,開始主張以風險值觀念衡量銀行的市場風險曝露程度,並且納入新的資本適足性規定中後,這個話題越來越受到重視,同時也有越來越多關於風險值觀念的新用途,在管理實務的領域中被提出與討論。因此,本研究嘗試找出風險值觀念在現代風險管理體系中,所扮演的角色與地位;並且檢視巴賽爾法規系統中,有關於資本適足性規定與風險值觀念間的關係和爭議點。接著,使用建宏福元基金與中華成功基金的實際淨值資料,套用與風險值觀念有關係的三種指標,以績效評估的管理角度,去判斷兩者真實操作績效的優劣。最後再以兩個假設的數字實例,說明一般組織要如何落實風險值觀念於管理工作中。 |
英文摘要 | Increased volatility in the financial markets since the 1970s has spurred new emphasis on risk management. It mainly stems from the collapse of the Bretton Woods Agreement, and the increased volatility of interest rates and commodity price volatility. At the center of recent interest is an approach to risk management called Value at Risk (VaR). In the past threes, both practitioners and regulators have accepted it as the right way to measure market risks. But implementation of VaR is harder than grasping the simplicity of its concept. First, not all VaRs are equal. Second, vast quantities of data and significant modeling or system efforts may be required. Third, organizations must design and implement risk management add-ons to address VaR's limitations and weakness. The main purpose of this research is to investigate the applicability of several well-known VaR models for Taiwan financial markets, especially in terms of the current regulation of the capital requirements for securities firms. Essentially, VaR poses the question: "How much money mighty we lose over the next period of time?" Formally stated, it is to answer "Over a given period of time with a given probability, how much could the value of the portfolio decline?" In this project, we will present VaR's role in the modern risk management system and capital adequacy framework, and demonstrate the applications of the ratio analyses related with VaR using empirical data from some mutual funds. |
本系統中英文摘要資訊取自各篇刊載內容。