VaR Evaluation of Bank Portfolio- Conservativeness, Accuracy and Efficiency

銀行投資組合風險值估計－保守性、準確性及效率性

劉美纓(Mei-Ying Liu)

《財務金融學刊》 13卷2期 (2005/08) Pp. 97-128

https://doi.org/10.6545/JFS.2005.13(2).4

摘要

為有效管理交易活動所產生的市場風險，銀行開始採用風險值模型來評估其交易部位的風險，而風險值模型預測風險的準確度在於金融資產級酬機率分配的正確描述。關於企融資產報酬機率分配，一般常假設為常態分配，然而，已有許多實證文獻顯示金融資產的報酬並非常態分配，而是具有高狹峰及厚尾特性的分配，以常態分配為假設來衡量VaR風險值，將會產生風險值被低估的問題。本研究除一般監控單位所建議的三種基本模型外，並引進次方指數分配建構Power EWMA 系列模型，來改進常態分配無法有效掌握金融資產報酬機率分配厚尾的問題。先以國內特定大型商業銀行投資組合為實證樣本進行風險值估計，其次以保守性、準確度、效率性為準則建立系列評估指標，進行風險值模型機效評估，並將績效評估結果應用於金融監理單位與金融機械的最適模型選擇。實證結果顯示：由於次方指數所具備的彈性，基於次方指數分配的Power EWMA 系列估計式的積能改善常態分配無法有效掌握金融資產報酬機率分配厚尾的問題，有效提升預測市場接端風險的準確性。

關鍵字

風險值 ； 厚尾 ； 次方指數分配

並列摘要

The efficiency of bacteria preservation of CMPTM Transtube (Creative Biotechnology Co., Ltd. Taiwan.) was evaluated according to the CLSI approved standard M40-A ＂Quality control of microbiological transport systems＂(2003). The experiments used fastidious clinical bacteria, Neisseria gonorrhoeae and Streptococcus pyogenes, to evaluate the efficacy of CMPTM transtube. After inoculated 106 CFU organisms on the transtube, the transtubes were preserved in room temperature or at 4℃ to simulate how the clinical specimen is transported. The survived N. gonorrhoeae were recovered by saline after 0, 8, 24 hours storage, and S. pyogenes were recovered after 0, 8, 24, 48 hours storage. The recovered bacterial suspensions were performed in a ten-fold serial dilution method, and then plating with spreading method and counting the number of the survival bacteria after incubating at suitable conditions. According to CLSI M40- A statement: ＂In room temperature, there should be no more than a 3 log decline in CFU between the zero-time CFU count and the CFU of the swabs that were stored at different time interval; at 4℃, there should be no more than a 1 log increase in CFU and no more than a 3 log to decline in CFU between the zero-time CFU and the CFU of the swabs that were stored at different time interval.＂ The results of this study showed that CMPTM Transtube can well preserved the S. pyogenes up to 48 hours whether stored in room temperature or at 4℃. It fulfills the CLSI M40-A guideline. The CMPTM Transtube can also well-preserved N. gonorrhoeae up to 24 hours in room temperature, but only last 8 hours at 4℃. The experiment result could be act as reference data when Clinical Microbiology Laboratory choosing their transport device.

並列關鍵字

VaR ； Fat-tail ； Power EWMA ； Power Exponential Distribution

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