| Summary: | 碩士 === 中國文化大學 === 會計研究所 === 90 === The trends toward globalization and increased international trade have led many companies to face greater and more types of market risks. In the article, we apply Corporate Metrics (1999) model to calculate earnings-at-risk and earnings-per-share-at-risk. Risk measurement in the corporate environment is a complex process that involves specifying the risk measures to be computed, providing corporates inputs on exposures and forecasting methodology, and calculating the risk measures from earnings distributions.
This paper targeted its appraisement of food industry is to study the market risk factors affecting the surplus of the said industry based upon the relevance of edible oil and fat cost to product pricing. The method of this empirical research adopts regression model to implement the forecast and simulation. Firstly, R² is served as the base to choose the predictor variable to decide if the model has an explanatory capacity. F testing and t testing are used to examine if there is any statistical significance in regression coefficient; and the residual analysis is conducted to see if such regression model may be satisfactory to our basic hypothesis. The finally employed Monte Carlo simulation method by assuming each and every variable sample the normal distribution to simulate a chart of probability distribution of price at a certain point of future time by means of random model method. The empirical result concludes that the absolute earnings-at-risk of TA-TUNG-YI COMPANY is NT$318,700,000, which is seen under 90% of confidence level because the cost of imported soybean affects the price fluctuation of soybean oil and powder producing the worst condition for a net business profit. The relative earnings-at-risk is NT$665,270,000 under 90% of confidence level as reflected. In consequence of the price risk, the highest possible loss is approximately NT$4.43 for earnings-per-share-at-risk expressly below 90% of confidence level. The shareholders shall sustain the possible loss in the maximum for each and every share they hold due to price risks.
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