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政大機構典藏 > 商學院 > 經營管理碩士學程EMBA > 學位論文 > Item 140.119/54856

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54856

Title:	市場風險值管理之應用分析以某金融控股公司為例 The analysis of Market Risk VaR management ：the case of financial holding company
Authors:	周士偉 Chou, Jacky
Contributors:	王儷玲 Wang, Jennifer 周士偉 Chou, Jacky
Keywords:	市場風險風險值經濟價值信託基金操作風險風險因子一般風險值壓力風險值條件風險值增額風險值邊際風險值變異數-共變異數法歷史模擬法蒙地卡羅模擬法隱含波動度厚尾順景氣循環標準法內部模型法市場流動性風險外生性市場流動性風險內生性市場流動性風險流動性調整後風險值壓力測試回溯測試 Market Risk Value at Risk Economic Value Active Management VaR Tracking Error Risk Factor Common VaR Stressed VaR Conditional VaR Incremental VaR Marginal VaR Variance-Covariance Approach Historical Simulation Approach Monte Carlo Simulation Approach Fat Tail Time-Varying Volatility pro-cyclical Standardized Approach Internal Models Approach Implied Volatility Generalized Error Distribution Bernoulli trial test Likelihood ratio test Unconditional Coverage Test Conditional Coverage Test Backward Looking Model Forward Looking Model Forecasting VaR Pearson Correlation Cholesky decomposition Kendall Correlation Copula method Future Volatility Disconnection Market Liquidity Risk Exogenous Market Liquidity Risk Endogenous Market Liquidity Risk Liquidity-adjusted VaR Stress Test Backtesting Net Interest Income Re-pricing Model Maturity Model Duration Model
Date:	2011
Issue Date:	2012-10-30 14:00:03 (UTC+8)
Abstract:	2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。謝辭..............................................2 摘要..............................................3 圖目錄............................................4 表目錄............................................5 目錄..............................................6 第一章緒論........................................8 第一節研究背景與動機...............................8 第二節研究範圍與研究方法...........................10 第二章市場風險值要素分析與文獻探討..................15 第一節市場風險之概念介紹...........................15 第二節市場風險值技術類別之概念介紹..................17 第三節各風險值模型差異之介紹.......................20 第四節市場風險值相關文獻探討.......................23 第三章個案金控簡介與目前市場風險管理架構.............30 第一節個案金控簡介................................30 第二節個案金控市場風險管理政策......................31 第三節個案金控市場風險組織架構......................36 第四節個案金控市場風險值系統架構....................37 第四章個案金控市場風險值實證分析....................44 第一節 Time-Varying Volatility問題與解決方式........44 第二節預估前瞻性風險值並與壓力測試結合之議題與解決方式.57 第三節市場流動性風險衡量議題與解決方式...............73 第四節相關係數異常衡量問題與解決方式.................87 第五節多層級及多維度風險值量化架構施行方式............95 第六節市場風險值應用範圍之討論......................102 第五章結論........................................111 第一節結論與建議...................................111 第二節研究貢獻.....................................114 第三節後續研究分析..................................115 參考文獻............................................117
Reference:	1.Anthony, Saunders; Marcia Millon Cornett 2011. Financial Institutions Management A Risk Management Approach. McGraw-Hill. 2.Bank for International Settlements 1996. Supervisory framework for the use of "Backtesting" in conjuction with the internal model approach to to market risk capital requirements. Basel Committee on Banking Supervision. 3.Bank for International Settlements 2004. Supervision.Principles for the Management and Supervision of Interest Rate Risk. Basel Committee on Banking 4.Bank for International Settlements 2006. International Convergence of Capital Measurement and Capital Standards ( A Revised Framework Comprehensive Version). Basel Committee on Banking Supervision. 5.Bank for International Settlements 2009. Revisions to the Basel II market risk framework. Basel Committee on Banking Supervision. 6.Bank for International Settlements 2011. Messages from the academic literature on risk measurement for the trading book (Working Paper No. 19). Basel Committee on Banking Supervision. 7.Beder, and Tanya Styblo 1995. VAR:Seductive but Dangerous. Financial Analysts Journal. 8.Bervas, A 2006. Market liquidity and its incorporation into risk management. Banque de France Financial Stability Review. 9.Chris Marshall and Michael Siegel 1997. Value at Risk：Implementing a Risk Measurement Standard. The Journal of Derivatives. 10.Christoffersen,P. 1998. Evaluating Interval Forecast. International Economic Review 11.Christoffersen,P. 2004. Backtesting Value-at-Risk: A Duration-Based Approach. Journal of Financial Econometrics 12.Elroy Dimson and Paul Marsh 1997. Stress tests of capital requirements. The Journal of Banking and Finance. 13.Fowler, Martin 2002. Patterns of Enterprise Application Architecture. Addison Wesley. 14.Hendricks, and Darryll 1996. Evaluation of Value at Risk Models Using Historical Data. Federal Reserve Bank of New York Economic Policy Review. 15.Jorion, Philippe 2005. Financial Risk Manager Handbook (3rd ed.). Wiley. 16.Jorion, Philippe 2007. Value at Risk (3rd ed.). McGraw-Hill. 17.Kupiec,Paul, 1995. Techniques for Verifying the Accuracy of Risk Measurement Models. Journal of Derivatives. 18.Pritsker, M 2006. The hidden dangers of historical simulation. Journal of Banking and Finance 19.Smith 2010. The level and quality of Value-at-Risk disclosure by commercial banks. Journal of Banking and Finance
Description:	碩士國立政治大學經營管理碩士學程(EMBA) 99932057 100
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0099932057
Data Type:	thesis
Appears in Collections:	[經營管理碩士學程EMBA] 學位論文

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