政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/77143
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50815355      Online Users : 883
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77143


    Title: 尾端風險衡量指標：吸納比率在台股上的應用
    An Application of Tail Risk Measure Indicator： Absorption Ratio on TAIEX
    Authors: 游佳勲
    Contributors: 郭維裕
    游佳勲
    Keywords: 吸納比率
    系統風險
    風險衡量指標
    Date: 2015
    Issue Date: 2015-08-03 13:15:39 (UTC+8)
    Abstract: 　　金融市場愈來愈容易發生金融動盪，近年來最嚴重事件的像是全球金融危機，除了造成經濟層面的衝擊外，往往也造成投資人的重大虧損。有鑑於此，政府與投資人更加重視風險管理，若有一可預先衡量系統風險的指標，將能夠使投資人的損失降到最低，甚至能使投資人獲利。此外，政府亦能有效控管風險並預防金融動盪的發生，使金融市場穩定發展。

    　　本研究是利用主成分分析，並使用Kritzman, Li, Page and Rigobon(2010)提出吸納比率(absorption ratio, AR)去衡量系統風險。當吸納比率上升時，對應的是較高的系統風險，此時市場的壓力將會增加，因為隱含著風險的來源較一致。但這不代表必然會造成金融動盪，而是表示市場間的緊密連結的程度較高，當市場面臨衝擊時會較脆弱，導致風險傳遞的更快且更廣。

    　　本研究的實證是應用至台灣的股票市場，將吸納比率及其變動率與台股大盤月報酬率做比較，實證結果顯示當期吸納比率、當期及前一期的吸納比率之變動率與股票大盤月報酬率有顯著相關，意即在前一期時，吸納比率之變動率可做為下一期的預先風險衡量指標。此外，本篇於文末亦提出未來的研究方向，期望能將吸納比率應用至其他市場，例如債市與房市等，亦希望能夠將此應用至台灣股市的交易策略上，有效地降低投資人的損失並使金融市場發展得以更健全。
    Reference: Capuano, C., 2008, “The option-iPoD. The Probability of Default Implied by Option Prices Based on Entropy,” IMF Working Paper 08/194, International Monetary Fund.

    Gray, D., and A. Jobst, 2010, “Systemic CCA – A Model Approach to Systemic Risk,” working paper, International Monetary Fund, Paper presented at conference sponsored by the Deutsche Bundesbank and Technische Universitaet Dresden, 28-29 October 2010.

    Gray, D., and A. Jobst, 2011, “Systemic contingent claims analysis (Systemic CCA)—Estimating potential losses and implicit government guarantees to the financial sector,” Imf working paper, International Monetary Fund.

    Khandani, A. E., A. J. Kim, and A. W. Lo, 2010, “Consumer Credit Risk Models via
    Machine-Learning Algorithms,” Journal of Banking and Finance, 34(11), 2767–2787.

    Khandani, A. E., A. W. Lo, and R. C. Merton, 2009, “Systemic Risk and the Refinancing Ratchet Effect,” MIT Sloan School Working Paper 4750-09, MIT.

    Kritzman, M., and Y. Li, 2010, “Skulls, Financial Turbulence, and Risk Management,” Financial Analysts Journal, 66(5), 30–41.

    Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series.

    Segoviano, M. A., and C. Goodhart, 2009, “Banking stability measures,” Financial Markets Group, Discussion paper 627, London School of Economics and Political Science.

    陳怡君，民國一零零年七月，「CoVaR風險值對金融機構風險值管理之重要性-以台灣控股公司為例」，政治大學金融研究所碩士班論文。

    藍婉如，民國一零一年六月，「CoVaR在資產配置下之應用」，政治大學金融研究所碩士班論文。
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    102351008
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102351008
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

    Files in This Item:

    File SizeFormat
    100801.pdf847KbAdobe PDF2127View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback