經濟因素、避險措施與現金流量風險值

Economic Factors, Hedging and Cash Flow at Risk

曾韻中(Yun-Chung Tseng)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2007年)

https://doi.org/10.6840/cycu200700799

摘要

在金融環境全球化與自由化的衝擊下，企業面對更多的不確定因素，也承擔更多風險。由於傳統衡量風險的風險值(VaR)方法，只考慮短期間投資組合的變動，比較適用於金融業而非非金融產業，故本論文將風險值的觀念應用在非金融產業上，利用現金流量風險值(CFaR)模型進行風險評估，提供非金融業數量化風險管理的依據。

實證上以台灣上市之19家半導體公司為對象，利用2000年第3季至2006年第2季共計23筆季資料之折舊前攤提前稅前息前淨利(EBITDA)作為衡量現金流量的依據，並以新台幣兌美元匯率、消費者物價指數、一銀三個月定存利率、領先指標綜合指數及費城半導體指數等總體經濟指標，估計現金流量估計模型，進而評估現金流量風險值。

首先利用逐步迴歸分析找出影響現金流量之適切的總體因素，並以混合估計法中的固定效果與隨機效果模型求得現金流量估計式，再利用歷史模擬法及蒙地卡羅模擬法預估2006年第3季至2007年第1季之現金流量，並提供其現金流量之可能最大損失（CFaR）及避險之成效。

實證結果顯示，影響半導體廠商現金流量的總體經濟風險因數分別為費城半導體指數、新台幣兌美元匯率及領先指數綜合指標，且由樣本外預測能力比較得知，同一產業內處於不同次產業公司，其所適用估計現金流量的模型及模擬方法不同，與文獻上的結論相左。

關鍵字

蒙地卡羅模擬法 ； 歷史模擬法 ； 避險 ； 現金流量風險值

並列摘要

With the impact of globalization and liberalization on the financial environment, enterprises are facing more uncertain factors and also abiding by much more risks. The traditional method of ponder risks “VaR”, it only concern about shorten variation of the portfolio, but it not adapt to non-financial companies but financial ones,so this discourse wish to apply the concept of VaR in non-financial companies,and also using CFaR model to estimate and manage risks in order to provide numerical chapter and verse as financial companies does.

In empirical study, this research selects 19 listed Semiconductor companies in Taiwan Stock Exchange Market. Sample period spans from the third quarter in 2000 to the second quarter in 2006. Regard EBITDA as the proxy of the cash flow and estimate it with the variables of TWD/USD exchange rate.consumer price index, deposit rate-3 month, composite leading index and Philadelphia semiconductor index. Fianlly use above estimated equations to assess the cash flow at risk.

In order to utilize coming back and analysing that find out the appropriate overall factor which influence the cash flow progressively at first, and by mixing estimating regular result and random result model in the law try to get the cash flow estimating type, and then utilize history to imitate the law and Monte Carlo simulation law and estimate the cash flow of the 1st season from the third season of 2006 to 2007 in advance, offer the greatest loss of possibility of its cash flow and avoid the dangerous effect.

The empirical result shows that the economic risk factors influencing semiconductor company’s cash flow are TWD/USD exchange rate, leading index comprehensive indicator for Philadelphia semiconductor index and new Taiwan dollar respectively overall. From the results of forecasting performance, this research proves that the companies in each semiconductor sub-industry is suitable to adopt different estimate model to estimate and simulation the cash flow. This conclusion is different from that in literatures.

並列關鍵字

Monte Carlo Simulation ； Hedge ； Historical Simulation ； Cash Flow at Risk

參考文獻

陳宏裕（2005），「估計現金流量風險值之比較模型－台灣資料實證」，國立成功大學財務金融研究所碩士論文。

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