風險值與流動性風險之股票與匯率實證研究

The Empirical Study on Stock and Foreign Exchange of VaR and Liquidity Risk

蔡佳蓉(Jia-Rong Tsai)

指導教授 ： 張簡彰程

長榮大學/管理學院/經營管理研究所(博)/碩士(2011年)

https://doi.org/10.6833/CJCU.2011.00201

摘要

風險值為衡量風險的重要指標，本文使用Cornish Fisher、T分配和偏斜T分配修正變異數-共變異數法其假設資產報酬率為常態分配造成風險值偏誤的情形；此外，流動性風險亦為影響金融市場的重要因素之一，1998年長期資本管理公司(LTCM)因套利失敗瀕臨破產，因此完整的風險衡量必須加入流動性風險，本文加入Bangia. Diebold, Schuermann and Stroughair (1999)流動性風險模型來測量流動性風險；本文以26檔龍頭股股價、加權指數以及10種匯率為觀察標的物。
經由失敗次數、失敗率與Kupiec檢定法實證結果顯示，在各信賴水準下使用偏斜T，模型最精確，以其計算流動性風險比率占經由流動性調整後之風險值比率，實證顯示若忽略流動性風險，會面臨整體風險低估至少20%。

關鍵字

風險值 ； Cornish-Fisher ； T ； 偏斜T ； 流動性風險

並列摘要

Value at risk (VaR) is important to estimate the risk. This study used Cornish-Fisher, Student T and Skew-T to modify VaR error caused by the variance-covariance method which assumed that Return of Asset was the normal distribution. In addition, liquidity risk plays an important role to influence the financial market. LTCM (1998) was in the edge of bankruptcy due to arbitrage failure .Therefore, a complete risk estimate have to include liquidity risk, we include the liquidity risk model of Bangia. Diebold, Schuermann and Stroughair (1999) to estimate liquidity risk. We obtain price and spread from 26 stocks、TAIEX and 10 foreign exchanges.
The failure rate and Kupiec test show the distribution of Skew-T could estimate the VaR accurately. We used the Skew-T to calculate the liquidity ratio. Finally, it shows that when the liquidity risk was neglected, the entire VaR would be underestimates at least 20%.

並列關鍵字

Value at risk (VaR) ； Cornish-Fisher ； T ； Skew-T ； Liquidity Risk

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