Research of Event Risk in Taiwan Financial Market

• Main Authors: I-chun Yuan, 袁懿君
• Other Authors: Dai-bai Shen
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/00614770937829909189

碩士 === 中國文化大學 === 會計研究所 === 90 === In 1988, the Bank for International Settlement’s Subcommittee on Banking Super-vision mentioned risk-based capital adequacy requirements, it suggested financial insti-tution should use VaR (value at risk) to measure risk, but VaR may not predict extreme loss condition which like it can’t measure event risk. As a result, financial institutions should conduct regular stress test, and this concept gradually be valued by most people, besides, we expected financial institution can use stress test to evaluated its ability to absorb loss . This research first put pressure event in order and then use the company’s portfolio to estimate daily VaR and back test . According to the backing test result, we use tradi-tional stress test to examine that when the market suffered huge loss, whether stress test value is good than VaR ? In the end, we find that when the company have loss, traditional stress value is good than VaR and it can protect actual loss. Besides, we also find if the company only use limited scenarios to conduct stress test, it still can’t avoid huge loss effectively