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    政大典藏 > College of Commerce > Department of MIS > Theses >  Item 140.119/35244


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35244


    Title: 市場風險因子情境產生方法之研究
    Methodology for Risk Factors Scenario Generation
    Authors: 陳育偉
    Chen,Yu-Wei
    Contributors: 謝明華
    陳松男
    Hsieh,Ming-Hua
    Chen,Son-Nan
    陳育偉
    Chen,Yu-Wei
    Keywords: 市場風險
    蒙地卡羅
    共變異數矩陣
    主成分分析
    Market Risk
    Monte Carlo
    Covariance Matrix
    Principal Component Analysis
    Date: 2006
    Issue Date: 2009-09-18 14:32:07 (UTC+8)
    Abstract: 由於金融事件層出不窮，控管風險已成為銀行、證券、保險各種金融產業的重要課題。其中Value-at-Risk(VaR)模型為銀行與證券業最常用來衡量其市場風險的模型。VaR模型中的蒙地卡羅模擬法是將投資組合持有部位以適當的市場風險因子來表示，接著產生市場風險因子的各種情境，再結合評價公式以求得投資組合在某一段持有期間內、某一信心水準之下的最低價值，再將最低價值減去原來之價值，便為可能的最大損失(Jorion, 2007)。

    <br>使用蒙地卡羅模擬法產生市場風險因子的各種情境，必須先估計市場風險因子的共變異數矩陣，再藉此模擬出數千種市場風險因子情境。本研究便是將蒙地卡羅模擬法加入隨著時間改變之共變異數矩陣(time-varying covariance matrix)的概念並減少市場風險因子個數，利用蒙地卡羅模擬法配合Constant模型、UWMA模型、EWMA模型、Orthogonal EWMA模型、Orthogonal GARCH模型、PCA EWMA模型、PCA GARCH模型來產生市場風險因子未來的情境並比較各方法對長天期與短天期風險衡量之優劣。結果顯示PCA EWMA模型的效果最好，因此建議各大金融機構可採用PCA EWMA模型來控管其投資組合短天期與長天期的市場風險。
    Reference: Alexander, C.O. (2004), Market Model: A Guide to Financial Data Analysis, John Wiley & Sons Ltd
    Alexander, C.O. (2000), `Orthogonal methods for generating large positive semi-definite covariance matrices`, ISMA Centre Discussion Papers in Finance 2000-06
    Alexander, C.O. & Leigh, C. (1997), `On the covariance matrices used in VAR models`, Journal of derivative 4(3), 50-62
    Bank for International Settlements (1996) `Amendment to the Capital Accord to Incorporate Market Risks`
    Bollerslev, T. (1986), `Generalised autoregressive conditional heteroskedasticy`, Journal of Econometrics 31, 307-327
    Engle, R.F. (1982), `Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation`, Econometric 50, 987-1007
    Golub, B. & Tilman, L. (2000), Risk Management: Approaches for Fixed Income Markets, John Wiley & Sons Ltd
    Jorion, P. (2007), Value at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill
    Morgan, J.P. & Reuters (1996),`RiskMetrics Technical Document, 4th edition`, Technical report, Morgan Guaranty and Reuters
    Singh, M. (1997), `Value at Risk Using Principal Components Analysis`, Journal of Portfolio Management 24, 101-113
    Description: 碩士
    國立政治大學
    資訊管理研究所
    94356021
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094356021
    Data Type: thesis
    Appears in Collections:[Department of MIS] Theses

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