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  • 學位論文

固定收益證券之巿場風險管理 —風險值之應用

Matket Risk management of Fixed Income Security ─ VaR

指導教授 : 陳錦村
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摘要


隨著國際金融交易日益頻繁,國內金融環境也朝向自由化與國際化發展,資金流動的速度與規模日益成長,使各種金融商品的價格波動程度與日俱增,巿場參與者所面臨的風險愈來愈明顯,因此,如何規避各種金融商品風險的衡量與管理,儼然為金融巿場參與者必須深入了解之重要課題。 固定收益證券巿場風險衡量工具通常採用存續期間(Duration)、DV01、PVBP以及風險值(VaR)等,金融機構所持有的固定收益證券,往往包含不同期別之固定收益證券,不同固定收益證券各有其不同之存續期間,巿場利率的波動對不同存續期間之固定收益證券價格各有其不同影響,存續期間較長的固定收益證券受利率波動的影響程度較大,換言之,存續期間乃衡量巿場利率波動對固定收益證券價值影響程度之指標,持有者可利用改變存續期間來調整其投資組合對利率波動之價格敏感性。至於以風險值作為風險控管的指標,在國外已行之有年,國內近幾年來除了較專業的學術論文有所研究外,各家金融機構亦在積極投入模型的建置與研究,本研究便是探討風險值在固定收益證券風險管理上的使用,根據九十三年一月至九十四年十月期間為實證對象,以比較分析變異數-共變異數、歷史模擬法及蒙地卡羅模擬法來估測風險值。 本研究針對臺灣固定收益證券巿場中的政府債券、公司債、金融債及融資性商業本票進行實證,得到下述結論: 首先利用不用的風險值模型來衡量模擬之投資組合其巿場風險,在實證結果中三種估計方法驗證固定收益證券風險與固定收益證券到期期限具有正相關,期限較長的固定收益證券其風險較高。接著與標準法之計提資本額加以比較,實證結果與國內外之實證研究結果相符,即為使用三種內部模型法所衡量之資本計提額均高於標準法下之資本計提額。 再以上述之資本計提額進行風險資本報酬率(RAROC)之績效評估分析,實證結果顯示若當期之財務盈餘雖較其他時期來得高,若其對應之資本計提額亦相對為高時,其風險資本報酬率(RAROC)之表現未必為最佳。並以存續期間(Duration)、投資組合的PVBP及投資組合的風險限額(VaR-Limit)等等,以模擬之投資組合所估測的數字,進行風險值控管機制之實證結果分析。 風險值的確有助於風險的控管,但是由於風險值的計算,只是風險控管的一個重要環節,光只是計算出風險值是不夠的,重要的是如何應用風險值來做好風險管理。

並列摘要


As international financial transaction being frequent day by day, the domestic financial environment moves towards liberalization and internationalization and develops too, the speed and scale that the fund flows grow up day by day, the degree grow with each passing day to make the prices of different financial goods fluctuate, field participant faced risk more and more obvious, so how evade various kinds of financial goods measurement of risk and manage,will be important subject that must understand for the financial field participant in depth. The fixed income market generally utilizes the Duration、DV01、PVBP and Value at Risk (VaR ) ,etc., to assess fixed income security, the regular fixed income security that the financial institution holds, do not often include the other regular fixed income security of the same period , different regular fixed income security each have their different storing while continuing, the fluctuation of a interest rate each has its different influence in storing the regular fixed income security price while continuing differently, longer regular influence degree of receiving the interest rate fluctuation of fixed income security is relatively great to exist while continuing, in other words , it is to weigh the index that a interest rate fluctuates to regular fixed income security value influence degree to Duration, the holder can utilize price sensitivity changing and storing and adjusting its investment combination and fluctuating to the interest rate Volatility. As for regard Value at Risk (VaR ) as risk accuse of index that in charge of , a already competent one abroad have annual, domestic in recent years except that more professional scientific paper is studied to some extent, every financial institution is also putting into the construction of the model and studying actively, this research is to probe into the use in regular fixed income security risk management of Value at Risk (VaR ), a real example target during October of 1994 according to January of 1993, is it count to make a variation with comparative analysis - is it count to make a Variance-Conariance Model、Historical Simulation Model and Monte Carlo Simulation Model is it is it examine Value at Risk (VaR ) to estimate to come. This research carries on the real example to Government Bond、Corporate Bond、Financial Bond and Commercial Paper in the regular income securities field of Taiwan, get the following conclusions: Make use of risk value model not needed to weigh its risk of investment combination of simulation at first, three kinds of estimation methods prove in real example result that the time limit that the regular fixed income security market risk and regular fixed income security expire has positive correlation, its risk of fixed income security with longer maturity and regular is relatively high.Then withdraw the volume of the capital to compare with the idea of the standardized measurement method , the real example result is in conformity with result of study of real example both at home and abroad, namely the capital weighed in order to use three kinds of internal model counts the volume of proposing and higher than the capital under the standardized measurement method and counts the volume of proposing . And then count the performance of withdrawing volume and carrying on the Risk-Adjusted Return On Captial (RAROC ) to assess and analyse with the above-mentioned capital, the real example result shows that if acts as the financial surplus of one to comes higher than other periods, if its corresponding capital counts the volume of proposing also relative when being high, the behavior of its Risk-Adjusted Return On Captial (RAROC ) may not be best. And in order to store PVBP、Duration、and VaR-Limit of investment profolio ,etc., in order to the figure estimated and examined of investment profolio that is imitated , carry on Value at Risk (VaR ) and accuse of the real example result analysis in charge of the mechanism. Value at Risk (VaR ) really contributes to the accusing of being in charge of of the risk, but the calculation because of Value at Risk (VaR ), risk just accuse of one important link that in charge of, light calculate out Value at Risk (VaR ) enough just, the more important thing is how to use Value at Risk (VaR ) to manage risk well.

並列關鍵字

VaR VaR-Limint market risk fixed income security RAPM

參考文獻


5. 劉美纓、吳俊賢、吳壽山(民92/02),「銀行巿場風險與適足資本之研究-內部模型法」,台灣管理學刊 第3卷第1期,第75至100頁
4. 林劭杰(民92/03),「風險值(VaR)在金融風險管理的角色」,台灣金融財務月刊 第四輯第一期,第39至54頁
3. 曾令寧、黃仁德(民93),風險基準資本指南-新巴塞爾資本協定,財團法人台灣金融研訓院。
2. Hendricks D.(1996),“Evaluation of Value at Risk Models Using Historical Data”,Federal Reserve Bank of New York Economic Policy Review ,Vol2(April),pp.36-69
3. Jackson, P, D. J.Maude. and W. Perraudin,(1997), “Bank Capital and Value at Risk”,The Journal of derivatives, Vol 4(3),pp.73-89

被引用紀錄


馬榕笥(2010)。社會責任指數、邪惡指數與三檔美國大盤指數風險值之比較研究〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201000433

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