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題名：次貸風暴前後外匯匯率風險值之比較分析--以美元兌英鎊、歐元、日圓與新臺幣為例
書刊名：企業管理學報
作者：許英麟 引用關係／陳弘吉／徐孟資
作者(外文)：Hsu, Ying-lin／Chen, Horng-chi／Hsu, Meng-zi
出版日期：2012
卷期：93
頁次：頁15-45
主題關鍵詞：次貸風暴；風險值；歷史模擬法；變異數-共變異數模擬法；蒙地卡羅模擬法；ARMA-GARCH模擬法；Sub-prime；Value at risk；Historical simulation approach；Monte carlo simulation approach；Variance-covariance simulation approach；ARMA-GARCH simulation approach
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:6
  • 點閱點閱:43
本文旨在探討次貸風暴對外匯市場風險值（value at risk, VaR）提列，運用不同風險值模型包括歷史模擬法、蒙地卡羅模擬法、變異數－共變異數模擬法與ARMA-GARCH模擬法，計算美元兌英鎊、歐元、日元與新台幣在次貸風暴前後的風險值影響。經實證結果發現，ARMA-GARCH法所估計之匯率最具保守性與準確性，穿透率與條件覆蓋檢定最佳；然而就效率性而言，以蒙地卡羅法所估計出的效率性最佳，可使匯率達到保守的估計。因此本文再以ARMA-GARCH法提列風險值發現，各匯率在次貸風暴後所需計提之風險值皆較次貸風暴前為多，其中以英鎊與日圓的風險值波動幅度與風險值提列幅度最大。
This study applies to the foreign exchange determination of value at risk under Sub-Prime, using different value at risk models such as historical simulation approach, Monte Carlo simulation approach, variance-covariance simulation approach and ARMA-GARCH simulation approach to calculate GBP, EUR, JPY and NTD against USD before and after Sub-Prime. The empirical result indicates that the ARMA-GARCH simulation approach estimates exchange rate conservatism, accuracy, violation rate with better conditional coverage test. For the efficiency, The Monte Carlo estimation performs the best with conservative exchange rate. In this study, we apply ARMA-GARCH again on value and risk determination. All currencies have more values and risks to be considered than before the crisis. Among them, both GBP and JPY have the biggest risk value on fluctuation rate and range.
期刊論文
1.Heynen, R. C.、Kat, H. M.(1994)。Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and EGARCH (1,1) Models。Journal of Derivatives，2(2)，50-65。  new window
2.Beder, Tanya Styblo(1995)。VAR: Seductive but Dangerous。Financial Analysts Journal，51(5)，12-24。  new window
3.Lamoureux, Christopher G.、Lastrapes, William D.(1993)。Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatilities。The Review of Financial Studies，6(2)，293-326。  new window
4.Jorion, P.(1996)。Risk 2: measuring the risk in value at risk。Financial Analysts Journal，52(6)，47-56。  new window
5.Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance Matrices Used in Value at Risk Models。Journal of Derivatives，4(3)，50-62。  new window
6.Hendricks, Darryll(1996)。Evaluation of Value-at-Risk Models Using Historical Data。Federal Reserve Bank of New York Economic Policy Review，2(1)，39-69。  new window
7.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
8.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics，52(1/2)，5-59。  new window
9.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。  new window
10.Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review，39(4)，841-862。  new window
11.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives，3(2)，73-84。  new window
12.Day, T. E.、Lewis, C. M.(1992)。Stock Market Volatility and the 0.000ormation Content of Stock Index Options。Journal of Econometric，52，267-287。  new window
13.West, K.D.、Edison, H.J.、Cho, D.(1993)。A Utility-Based Comparison of Some Models of Exchange Rate Volatility。Journal of International Economics，35，23-45。  new window
14.Linsmeier, T.、Pearson, N. D.(2000)。Value at Risk。Financial Analysts Journal，56，47-67。  new window
研究報告
1.Engel, J.、Gizycki, M.(1999)。Conservatism, Accuracy and Efficiency: Comparing Value-at-Risk Models。Australian Prudential Regulation Authority。  new window
2.Goorbergh, R. V. D.、Vlaar, P.(1999)。Value-at-Risk Analysis of Stock Returns Historical Simulation, Variance Techniques or Tail Index Estimation?。Amsterdmn：Econometric Research and Special Studies Dept. De Nederlandsche Bank。  new window
3.Dornbush.、Rudiger.(1998)。Capital Controls: An Idea Whose Time Is Gone。Cambridge, Mass。  new window
學位論文
1.康健廷(2003)。我國商業銀行風險值(VaR)評價模型之比較分析。國立台北大學。  延伸查詢new window
2.高儷芳(2006)。台灣商業銀行風險值方法的驗證與衡量。輔仁大學。  延伸查詢new window
3.張孟惠(2008)。美國次級房貸危機對共同基金報酬率之影響。朝陽科技大學。  延伸查詢new window
圖書
1.Morgan, J. P.(1995)。Riskmetrics Technical Manual。New York, NY：J. P. Margan。  new window
2.Jorion, Philippe(2000)。Value at Risk: The New Benchmark for Controlling Market Risk。New York, NY：McGraw-Hill Publishing。  new window
3.辛喬利、孫兆東(2009)。次貸風暴：撼動世界經濟的金融危機，剖析次貸的前因後果。台北。new window  延伸查詢new window
 
 
 
 
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