| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 87 === In Recently, We see that some financial Institutes fail to investment then cause serious losses. It shows that the financial institutes hold investitive positions , they must to take market risk.. Then these financial institutes and businesses to place importance on how to quantify the risk and control it.
Because of the innovation of financial markets and several deregulation, the safety of banks is getting more and more important. The authorities concern, such as G30 and Basle Committee propose or regulate "VaR" as an approach to quantify the market risk of instruments. Now it becomes an important tool manage market risk .
In general, there are three methodologies to calculate VaR. They are Variance-Covariance method., Historical simulation method, and Monte-Carlo simulation method. This study use Monte-Carlo simulation mainly, and think about the volatility tends to vary over time. Then use GARCH(1,1) model to calculate volatility, simultaneously to adopt SMA and EWMA model estimate the value of VaR. Finally, adopt Loss-Function method(Lopez,1998) to evaluate the effects of different VaR.
From the empirical results, this study finds three points as follows:1. In this study, we can find that skewness effect the result of model .2. In general, EWMA model is superior to SMA model.3. The Monte-Carlo model that adopt GARCH(1,1) model is superior to adopt GBM model.
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