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    政大典藏 > College of Commerce > Department of MIS > Theses >  Item 140.119/95166


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95166


    Title: 固定收益資產風險因子的隨機模型研究
    Authors: 許立興
    Contributors: 謝明華
    許立興
    Keywords: 風險管理
    風險因子
    固定收益資產
    Date: 2009
    Issue Date: 2016-05-09 15:18:19 (UTC+8)
    Abstract: 在金融海嘯與次級房貸後，如何有效的進行風險管理已為金融服務業的重要課題。此外我國政府為與國際接軌，正逐步開放金融服務業對外投資的限制。然而對金融服務業而言，既要增加對外投資、又要有效的控制風險，並同時考慮不同國家之間的相關性是困難的。本研究的主要目的是針對我國金融業主要投資的貨幣，建立固定收益風險因子的隨機模型，進而產生隨機模擬情境，最後以該情境做一簡單的應用說明。透過此模擬情境與隨機模擬模型，風險管理者可以依情況需要計算各種所須要的風險指標與投資損益，進而評估避險投資組合整體的績效。
    Effectively controlling risk in investment has become an important issue since the impact of subprime mortgage crisis. On the other hand, government in Taiwan has reduced bundle of investment in foreign countries; however, it’s a tradeoff of financial services companies between increasing investment in foreign country and risk management. It’s also a hard work to concern the correlation between interest rate and foreign exchange rate in different country. In this research, we are trying to construct a risk factor model and generate simulation for currency in Euro, America, and Asia area. The simulation can provide financial services companies as a reference of risk management.
    Reference: 1. Litterman R. and Scheinkman J.(1991). “Common factors affecting bond,” Journal of fix income, 1991, pp. 54-61.
    2. JP Morgan, Reuters P. (1996). “RiskMetrics─Technical Document "
    3. Driessen, J., Melenberg, B. and Nijman, T.(2003). “Common factors in international bond returns,” Journal of International Money and Finance Vol 22, 2003, pp. 629-656.
    4. Gloria M. Soto (2004). “Using principal component analysis to explain term structure movements: Performance and stability,” in Tavidze, A. (Ed.), Progress in Economics Research, Vol 8. Nova Science Publishers, New York.
    5. Buhler, A. and Zimmermann, H. (1996). “A statistical analysis of the term structure of interest rate in Switzerland and Germany,” The Journal of Fixed Income, 1996.
    6. Hiraki, T., Shiraishi, N. and Takezawa, N. (1996). “Cointegration, common factors, and the term structure of yen offshore interest rates”. The Journal of Fixed Income, 1996.
    7. Hua Zhang (1993). “Treasury yield curves and cointegration”. Applied Economics, 1993.
    8. Gilles and Etienne (2005). “Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis”. IMF Working Paper, 2005.
    9. John C. Hull (2002). “Fundamentals of Futures and Options Markets”.
    10. Glyn A. Holton (2003). “Value-At-Risk Theory and Practice”.
    11. 謝明華、梁正德、郭維裕、蔡政憲、李紹華、黃芳文、陳振桐、許立興，「監理機關評估保險業國外投資風險之模型」，行政院金融監督管理委員會保險局九十七年度委託計畫，2009年。
    12. 郭維裕、梁正德、謝明華、蔡政憲、江彌修、黃芳文、陳振桐、李紹華、李淯靖，「產生壽險業負債適足性測試之外匯情境」，財團法人保險事業發展中心九十七年度研究計畫，2009年。
    13. 謝明華、郭維裕、林丹琪、陳育偉、黃雅文、盧姵如，台灣保險監理之利率模型系統，2006年。
    14. 林丙輝與葉仕國，以主成份分析方法計算台灣利率期限結構的風險值，2002年。
    15. 薛立言與劉亞秋，債券市場 Bond Market，2004年。
    Description: 碩士
    國立政治大學
    資訊管理學系
    96356020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096356020
    Data Type: thesis
    Appears in Collections:[Department of MIS] Theses

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