高收益債券與新興市場債風險值分析

The Analysis of Value-at-Risk of the High Yield Bond and Emerging Markets Debt

顏俊仁(Chun-Jen Yen)

指導教授 ： 洪振義

朝陽科技大學/管理學院/財務金融系/碩士(2011年)

摘要

高收益債券與新興市場債近年來受到投資大眾的喜愛乃肇因於新台幣存款利率的大幅下降。許多投信公司推出高收益債與新興市場債券來吸引投資者的青睞，投資者認為投資債券型基金是不會賠錢的。然而，高收益類型債券基金的風險介於股票型與債券型基金。

本研究目的是在估計高收益債券與新興市場債券的風險值程度，利用蒙地卡羅模擬法與歷史模擬法作為模擬估算方法，再利用回顧測試法驗證估計模型的準確性高低，以期建構出精確的估計模型。在歷史模擬法中以淨值法為研究方法，蒙地卡羅模擬法則是常態分配作為模擬出樣本的分配。研究得到的結果以歷史模擬法的淨值法所模擬得到的風險值水準較優於蒙地卡羅模擬法。

關鍵字

高收益債券 ； 風險值 ； 新興市場債

並列摘要

High-yield bond and emerging market debt gain a lot of affection because the interest rate is large depreciation in the market. Many invest trusted corporations have introduced high-yield bonds and emerging market debt to attract investors’ eyesight in recent year. At risk of the high-yield bonds is between the stock funds and bond funds. However, many investors think that it can not lost by investing the high-yield bonds.
In this study, we used Historical simulation approach (HS) and Monte Carlo simulation approach (MCS) to evaluate Value-at-Risk (VaR) both High-yield bond and emerging market debt. After estimating, we use backing test to check the feasibility of the model. We use the net assets value by using Historical simulation approach. In MCS, sample distribution is set as normal distribution. We use the real series data as the sample of simulation. This simulate results revealed that Historical simulation approach is superior to Monte Carlo simulation approach.

並列關鍵字

Value-at-Risk (VaR) ； emerging mar ； High-yield bond

參考文獻

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