風險值之應用-外匯投資組合實證研究

VaR Application-Foreign Exchange Investment Portfolio Research

蔡秀霞(Hsiu-Hsia Tsai)

指導教授 ： 李進生 ； 林允永

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00058

摘要

本文以六種幣別對美元匯率之日資料組成投資組合，利用指數加權移動平均（Exponential Weighted Moving average，EMWA）估算風險值，計算組成成份之個別風險值、增量風險值，探討如何調整手中各部位以降低投資組合之風險值，以使投資組合風險管理更具效率。

實證結果證明：1.減少個別風險值最大的外幣部位，將會使得投資組合風險下降較具效果。2.增量風險值為負之外幣部位，對於投資組合風險具有避險效果。

投資人應運用動態調整法，設定一個可以承擔的風險值，毎隔一段時間調整部位將風險限制在投資人願意承擔的範圍。

關鍵字

指數加權移動平均 ； 個別風險值 ； 增量風險值

並列摘要

This article regards a foreign exchange portfolio with six currencies against US Dollar as the research object. We apply the Exponential Weighted Moving average（EMWA）approach to compute the portfolio’s VaR, then calculate the individual and incremental VaR of each currency. By using the incremental and individual VaR, we investigate how to adjust the currency position to find the portfolio’s VaR most effectively.
The evidence shows that：1.By cutting the greatest individual VaR position will reduce the portfolio VaR more effectively 2. The incremental VaR is negative would reduce the portfolio’s VaR with hedge effect.
Investors can apply the dynamic adjustment approach and set an acceptable limit of VaR to modify the currency position to control the risk within the limit for the investment horizon.

並列關鍵字

Exponential Weighted Moving Average ； Individual Var ； Incremental VaR

參考文獻

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