政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/98572

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/98572

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51090204 線上人數 : 940

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜尋範圍

查詢小技巧：

您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果

若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料

進階搜尋

主頁 ‧ 登入 ‧ 上傳 ‧ 說明 ‧ 關於政大典藏 ‧ 管理

到手機版

政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/98572

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/98572

題名:	期貨日內風險之估計:加入流動性之影響 Liquidity-Adjusted Intraday Value-at-Risk : Evidence from Taiwan Futures Markets
作者:	劉正傑 Liu, Cheng Chieh
貢獻者:	陳威光林靖庭 Chen , Wei Kuang Lin, Ching Ting 劉正傑 Liu, Cheng Chieh
關鍵詞:	風險管理日內風險值流動性風險 Risk Management Intraday Value-at-Risk Liquidity Risk
日期:	2016
上傳時間:	2016-07-01 15:01:30 (UTC+8)
摘要:	從VaR概念興起之後，風險值已經成為估計風險的重要指標，而從VaR到日內風險值(IVaR)，風險值的估計越來越精細。雖然風險值在估計大多數商品的隔夜風險值上有顯著的效果，但隨著現代化交易方式的進步，流動性的風險因素在實際交易時往往占有顯著的地位。因此只有估計價格的變動並不足以應付現實的問題。故本文在原有的日內風險值基礎上加上流動性的因素，並比較加入流動性風險的效益。本篇論文引進了布達佩斯交易所的流動性計算方式，並以此計算台股期貨風險值的定義方式。首先我們以此計算流動性風險在日內風險值中所佔的比率，並分析不同交易量的股票期貨的比率。本文也藉由回溯測試計算出實際報酬率超過流動性風險值的次數，並將之定義為穿透事件。在計算這個穿透的結果中，我們分成沒有流動性的日內風險值及有流動性日內風險值。本文於是藉由概似比率檢定檢驗實際穿透機率是不是能符合模型設定的理論穿透機率，並以此判斷日內風險值會不會有低估風險的情況。本文發現在六個股票期貨中，流動性風險比率最低的是台積電，約佔日內風險值的1.1%、而最高的台達電約佔了14%。在穿透比率的部分，我們發現不加入流動性的日內風險值明顯會低估實際上的風險。反之，流動性日內風險值雖然在高穿透機率時會高估風險，在低穿透機率的尾端事件上卻能有效的估計風險值。 With the development of Value-at-Risk(VaR), it has become an important indicator of risk estimation. We define more and more delicate model from VaR to Intraday VaR(IVaR) , even though these indicators do work significantly on overnight-risk estimation of most of products, the liquidity risk is the neglected titanic players on daily trading mechanics. To be more realistic, we modify the old IVaR model by adding liquidity factor, and compare the effect. This paper introduces the liquidity computation algorithm from Budapest Stock Exchange, and proffers a definition of liquidity-adjusted IVaR (LIVaR) of Taiwan futures markets. We first compute the percentage of liquidity risk out of IVaR, finding out the difference between six stock futures that have their own trading volume. Through the back-testing, we calculate the times real rate of return exceeds LIVaR. With the result, we test the performances of this indicator by implying LR-test. We find out that in these six stock futures, the percentages of liquidity go from lowest 1.1% (FRF) to highest 14%(CDF). On the part of percentage of failures, we do realize that computing IVaR without liquidity factor will under-estimate the realistic risk, which can be proved by rejecting the alternative hypothesis. On the other hand, even though LIVaR will over-estimate the risk on high percentage of failures event, it works significantly well on tail event with low failures rate.
參考文獻:	Dionne, Georges, Pierre Duchesne, and Maria Pacurar. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange." Journal of Empirical Finance 16.5 (2009): 777-792. Engle, Robert F., and Jeffrey R. Russell. "Autoregressive conditional duration: a new model for irregularly spaced transaction data." Econometrica (1998): 1127-1162. Groß‐KlußMann, Axel, and Nikolaus Hautsch. "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models." Journal of Forecasting 32.8 (2013): 724-742. Gyarmati, Ákos, Márton Michaletzky, and Kata Váradi. "The Budapest Liquidity Measure and its Application Liquidity Risk in VaR Measures." (2011). Dionne, Georges, Maria Pacurar, and Xiaozhou Zhou. "Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse." Journal of Banking & Finance 59 (2015): 202-219. Qi, Jun, and Wing Lon Ng. "Liquidity adjusted intraday value at risk." Proceedings of the World Congress on Engineering. Vol. 2. (2009):1-7. eas Heinen, Andr. "Modeling Time Series Count Data: An Autoregressive Conditional Poisson Model." (2000). Liu, Shouwei, and Yiu-Kuen Tse. "Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach." Journal of Econometrics 189.2 (2015): 437-446. Hurlin, Christophe, Gilbert Colletaz, and Sessi Tokpavi. "Irregularly spaced intraday value at risk (ISIVaR) models: Forecasting and predictive abilities." (2007). Engle, Robert F., and Simone Manganelli. "CAViaR: Conditional autoregressive value at risk by regression quantiles." Journal of Business & Economic Statistics 22.4 (2004): 367-381.
描述:	碩士國立政治大學金融學系 103352027
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0103352027
資料類型:	thesis
顯示於類別:	[金融學系] 學位論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
202701.pdf	957Kb	Adobe PDF2	32	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

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 © - 回饋