VaR Stress Testing for Two-Stage Transmission Stress Events

兩階段傳輸壓力事件之VaR壓力測試

郭震坤(Cheng-Kun Kuo) ； 陳宏(Hung Chen) ； 李志偉(Chih-Wei Lee)

《台灣管理學刊》 2卷2期 (2002/12) Pp. 21-37

https://doi.org/10.6295/TAMJ.2002.0202.02

摘要

本研究應用兩階段條件機率分配計算一種新的壓力事件損失暴露測度值，此源於某一市埸的壓力事件可能對其他市埸造成兩階段式的衝擊。兩階段式的傳輸可能在外資扮演一個顯著性角色的經濟體中發生。
本文應用所導出的新測度值於台灣歷史資料，以測試兩階段傳輸假說。所得的歷史模擬結果顯示，新測度值可改進一般金融機構風險值計算中，壓力測試方法低估或高估投資組合損失的偏差。

關鍵字

壓力測試 ； 風險值 ； 兩階段傳輸

並列摘要

In this paper we use the two-stage conditional probability distributions to compute a new loss exposure measure for stress events that may have two-stage sequential impacts on various markets. The price changes in two-stage transmission could possibly be found in economies where foreign indirect investment plays a prominent role in the domestic financial markets. We test the conjecture of two-stage transmission by applying the new technique to the historical data of Taiwan. The simulated results show that the proposed loss exposure measure improves upon the over- or under-estimation biases commonly found in stress testing conducted by financial institutions in their VaR calculations.

並列關鍵字

Value at Risk ； Stress Testing ； Two-Stage Transmission

參考文獻

Bank for International Settlements(1995).The Supervisory Treatment of Market Risks.Basle, Switzerland:

Bank for International Settlements(2001).A Survey of Stress Tests and Current Practice at Major Financial Institutions.Basle, Switzerland:

Finger, Christopher(1997).A Methodology for Stress Correlation.(RiskMetrics Monitor, fourth quarter).

Kupiec, P. H.(1998).Stress Testing in a Value at Risk Framework.The Journal of Derivatives.Fall,7-24.

McEachern, C.(2000).Stress Testing to Fill Gaps Left by VAR.Wall Street & Technology.18(4),40-46.