本文探討適合臺灣認購權證發行商採用的涉險值模型(Value-at-Risk model)，我們比較Delta-Normal法與地卡羅模擬法，且分析若考慮Vega風險是否可以提高VaR模型的績效。回溯測試結果發現，臺灣證券商在發行個股型認購權證時，若能考慮VaR風險，其VaR模型對於市場風險估計會有較佳的績效。此外，若是發行深度價外認購權證，蒙地卡羅模擬法的VaR模型較適當；若是發行價平認購權證，則是Delta-Normal法的VaR模型較適當。

This paper focuses on value-at Risk (VaR) models for Taiwan call warrant writers. We consider Vega risk and add it into Delta-Normal Method and Monte Carlo simulation Method. We try to find an appropriate VaR model for the call warrant writers in Taiwan. the results of backtesting show that the VaR model considering Vega risk demonstrates better performance, no mater it is Delta-Normal Method or Monte Carlo simulation Method. Besides, we also find that for the deep-out-of-money call warrants, Monte carlo simulation Method could be better. However, as to the at-the-money call warrants, Delta-Normal Method is a superior VaR model.