多維風險分析-實證研究

• Main Authors: 蘇愛鈴, Su,Ailing
• Language: 中文
• Published: 國立政治大學
• Subjects: 敏感度分析; 風險值; 壓力測試; 波動度; 變異數共變異數法; 歷史模擬法; 蒙地卡羅模擬法; Cornish-Fisher偏峰態修正法; 概似比檢驗法; 回溯測試百分比法; Z檢定法
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0095751005%22.

Fong與Vasicek（1997）提出風險分析應考慮敏感度分析、風險值及壓力測試，才能完整揭露投資組合的風險狀況。其中風險值的計算，不僅考慮二階風險，並且利用三階動差進行偏態修正。本文除了以變異數-共變異數法、歷史模擬法及蒙地卡羅模擬法此三種方法計算風險值，並利用Fong與Vasicek（1997）偏態修正法及Cornish-Fisher偏峰態修正法來做偏態及峰態的修正。而後再利用概似比檢驗法、回溯測試百分比法及Z檢定法作為驗證風險值模型的評比工具。我們建議在95%及99%的信賴水準下，求算風險值可利用Cornish-Fisher所提出的方法修正偏態及峰態。 === Fong and Vasicek (1997) mentioned that risk analysis should include sensitivity analysis, value at risk (VaR) and stress testing, in order to capture portfolio risk. The calculation of VaR should not only consider the second moment but should also adjust the skewness using the third moment. In this article, we determine VaR by employing three methods, the variance covariance, the historical simulation and the Monte Carlo simulation methods. In addition, we also adjust VaR for the skewness and kurtosis using the methods developed by Fong and Vasicek (1997) and Cornish-Fisher. Then, the likelihood ratio test, back testing and the Z-test are used to verify the VaR model. Our final test results suggest that calculating VaR should be adjusted for the skewness and the kurtosis as shown by the method proposed by Cornish Fisher in the 95% and 99% confidence intervals.