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外文摘要
引文資料
題名:
風險值體系運用之探討
書刊名:
交大管理學報
作者:
陳文華
/
王佳真
/
吳壽山
作者(外文):
Chen, Wun-hwa
/
Wang, Jai-jang
/
Wu, Soushan
出版日期:
1998
卷期:
18:2
頁次:
頁33-64
主題關鍵詞:
風險值
;
資本適足性
;
標準模型
;
內部模型
;
風險涵蓋比率
;
效率比率與夏普比率
;
Value at risk
;
VaR
;
Capital adequacy
;
Standardised model
;
Internal model
;
Risk ratio
;
Efficiency ratio
;
Sharpe ratio
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
2
) 博士論文(
2
) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:0
點閱:30
「風險值」(Value at Risk簡稱VaR)代表的是在一定的信賴水準(a confidence level)下,經過一特定期間長度(a specific horizon)後,某一特定投資組合所遭受的最大可能損失值。自從國際清算銀行下之銀行監理委員會,開始主張以風險值觀念衡量銀行的市場風險曝露程度,並且納入新的資本適足性規定中後,這個話題越來越受到重視,同時也有越來越多關於風險值觀念的新用途,在管理實務的領域中被提出與討論。因此,本研究嘗試找出風險值觀念在現代風險管理體系中,所扮演的角色與地位;並且檢視巴賽爾法規系統中,有關於資本適足性規定與風險值觀念間的關係和爭議點。接著,使用建宏福元基金與中華成功基金的實際淨值資料,套用與風險值觀念有關係的三種指標,以績效評估的管理角度,去判斷兩者真實操作績效的優劣。最後再以兩個假設的數字實例,說明一般組織要如何落實風險值觀念於管理工作中。
以文找文
Increased volatility in the financial markets since the 1970s has spurred new emphasis on risk management. It mainly stems from the collapse of the Bretton Woods Agreement, and the increased volatility of interest rates and commodity price volatility. At the center of recent interest is an approach to risk management called Value at Risk (VaR). In the past threes, both practitioners and regulators have accepted it as the right way to measure market risks. But implementation of VaR is harder than grasping the simplicity of its concept. First, not all VaRs are equal. Second, vast quantities of data and significant modeling or system efforts may be required. Third, organizations must design and implement risk management add-ons to address VaR's limitations and weakness. The main purpose of this research is to investigate the applicability of several well-known VaR models for Taiwan financial markets, especially in terms of the current regulation of the capital requirements for securities firms. Essentially, VaR poses the question: "How much money mighty we lose over the next period of time?" Formally stated, it is to answer "Over a given period of time with a given probability, how much could the value of the portfolio decline?" In this project, we will present VaR's role in the modern risk management system and capital adequacy framework, and demonstrate the applications of the ratio analyses related with VaR using empirical data from some mutual funds.
以文找文
期刊論文
1.
Golub, B. W.、Tilman, L. M.(1997)。Measuring Yield Curve Risk Using Principal Components Analysis, Value at Risk, and Key Rate Durations。Journal of Portfolio Management,23(4),72-84。
2.
Venkataraman, S.(1997)。Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques。Economic Perspectives,21(2),2-13。
3.
Beder, Tanya Styblo(1995)。VAR: Seductive but Dangerous。Financial Analysts Journal,51(5),12-24。
4.
Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。
5.
Jorion, P.(1996)。Risk 2: measuring the risk in value at risk。Financial Analysts Journal,52(6),47-56。
6.
Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance Matrices Used in Value at Risk Models。Journal of Derivatives,4(3),50-62。
7.
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。
8.
Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。
9.
Beder, T. S.(1996)。Derivatives Under Control. Calculate and Apply Value-at-Risk (VAR) Measures so They Fit Your Company。Corporate Cashflow,17(1),26-28。
10.
Fong, G.、Vasicek, O. A.(1997)。A Mutidimensional Framework for Risk Analysis。Financial Analysts Journal,July/ Aug,49-120。
11.
Jackson, P.、Maude, D. J.、Perraudin, W.(1997)。Bank Capital and Value at Risk。The Journal of Derivatives,4,73-90。
12.
Simons, Katerina(1996)。Value at Risk - New Approaches to Risk Management。New England Economic Review,Sep/Oct,3-13。
13.
Estrella, A.、Hendricks, D.、Kambhu, J.、Shin, S.、Walter, S.(1994)。The price risk of options positions: Measurement and capital requirements。Federal Reserve Bank of New York Quarterly Review,19(2),27-43。
14.
Eng, F. H. T.、Ho, T. S. Y.、Chen, M. Z. H.(1996)。VAR Analytics: Portfolio Structure, Key Rate Convexities, and VAR Betas: A New Approach to Determining the VAR of a Portfolio。The Journal of Portfolio Management,23(1),89-98。
15.
Hopper, G. P.(1996)。Value at Risk: A New Methodology for Measuring Portfolio Risk。Federal Reserve Bank of Philadelphia Business Review,July/ Aug.,19-30。
16.
Singh, M. K.(1997)。Value at Risk Using Principal Components Analysis - For Term Structure-dependent Securities and FX Derivatives。The Journal of Portfolio Management,Fall,101-112。
17.
Uyemura, D. G.(1997)。EVA: A Top-Down Approach to Risk Management。The Journal of Lending & Credit Risk Management,79(6),40-47。
18.
Barrett, Binder F.(1997)。Managing Financial Risk Into 21st Century。Management Accounting Magazine,71(3)。
19.
Dimson, E.、Marsh, P.(1995)。Capital Requirements for Securities Firms。The Journal of Finance,50(3),821-851。
20.
Eller, G. E.、Edwards, G. A., Jr.(1996)。Derivatives Disclosures by Major U. S. Banks, 1995。Federal Reserve Bulletin,82(9),791-801。
21.
Estrella, A.(1995)。A Prolegomenon to Future Capital Requirements。FRBNY Economic Policy Review,July,1-12。
22.
Gamble, R. H.(1996)。Treasury-friendly Systems Arrive for Managing Derivatives。Corporate Cashflow Magazine,17(4),12-113。
23.
Kopcke, R. W.(1996)。Risk and the capital of Insurance Companies。New England Economic Review,July/ August,27-42。
24.
Spinner, K.(1997)。The Next Generation。Wall Street & Technology,15(5),46-47。
25.
Smith, C. R.(1995)。From Risk to Profit with VAR。Wall Street & Technology,12(15),36-37。
26.
Spinner, K.(1996)。The VAR Explosion。Wall Street & Technology,14(6),8-11。
研究報告
1.
Dimson, E.、Marsh, P.(1997)。Stress Tests of Capital Requirements。Wharton School Center for Financial Institutions。
2.
Froot, K. A.、Stein, J C.。Risk Management, Capital Budgeting and Capital Structure Policy For Financial Institutions: An Integrated Approach。0。
3.
Oldfield, G. S.、Santomero, A. M.。The Place of Risk Management in Financial Institutions。0。
4.
Phelan, M. J.(1995)。Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of JP Morgan's RiskMetrics。0。
學位論文
1.
蔡維溢(1997)。以VAR風險計量模型衡量衍生性金融商品之市場風險(碩士論文)。中原大學。
延伸查詢
2.
吳友梅(1996)。衍生性商品市場風險管理之研究,0。
延伸查詢
圖書
1.
Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。
2.
Garman, M. B.(1997)。Ending the Search for Component VaR。Ending the Search for Component VaR。沒有紀錄。
3.
Group of Thirty(1993)。Derivatives: Practices and Principles。Washington, DC:Group of Thirty。
4.
Garman, M. B.(1996)。Making VaR Proactive。Making VaR Proactive。沒有紀錄。
5.
Securities and Exchanges Commission(1995)。Securities and Exchanges Commission's proposal。Securities and Exchanges Commission's proposal。沒有紀錄。
其他
1.
Basle Committee on Banking Supervision(1995)。An Internal Model-Based Approach to Market Risk Capital Requirements,Basle, Switzerland。
2.
Morgan, J. P.(1995)。RiskMetrics,0。
3.
Zangari, Peter(1995)。An improved methodology for measuring VaR,0。
4.
Basle Committee on Banking Supervision(1997)。Compendium of documents produced by the Base Committee on Banking Supervision,0。
5.
Basle Committee on Banking Supervision(1995)。Planned Supplement to the Capital Accord to Incorporate Market Risk, Basle, Switzerland,0。
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