本文以風險值的觀點探討授信機構在現行最低擔保維持率為120%之風險控管能力及其是否能保障其債權。本文實證分析2000年1月10日到2002年12月18日750 筆電子類股指數、金融類股指數、塑膠類股指數三大指數。實證結果顯示EWMA模型風險控管的能力和GARCH-t模型、GARCHB-t模型差不多,但其資金使用效率為最佳。再者,本文根據EWMA模型進一步分析現行最低擔保維持率的適合度。結果顯示在不同的的信心水準下(99%、95%及90%),現行最低擔保維持率為120%之規定是足以擔保授信機構之債權的。
This study aims at investigating the risk management competence and the capability of assuring the legal right of creditors under the current minimal margin ratio of 120% utilized by local credit institutes using VaR. Empirical data analysis included 750 observations of three major local stock indexes, namely, index of the electronic sector, index of the monetary sector, and index of the plastic sector, ranging from January 10, 2000 till December 18, 2002. The examined results reveal that the risk management competence of the EWMA test almost coincided with the tests of the GARCH-t model and the GARCHB-t model, but with better capital utilization efficiency. This study also utilizes the EWMA model to carry out feasibility studies under the currently facilitated lowest margin. The results reveal that the legal right of creditors can be assured under the current minimal margin ratio of 120% after tests of different confidence levels, i.e. 99%, 95%, and 90%.