Risk Management on Venture Capital Evaluated by Value-at-Risk (VaR)

• Main Authors: Lai Yi-Chun, 賴怡君
• Other Authors: Liang Shing-Ko
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/te43ke

碩士 === 國立交通大學 === 工業工程與管理系所 === 92 === In the past, the venturing capital companies often couldn’t quantify the risk they must afford, when evaluating the new venturing. This thesis tries to use Value at Risk to assess downside risk without assuming the I/R ratio as normal distribution. In order to provide the investors and the venturing capital company some information, we take the Value at Risk into the I/R evaluation of venturing capital company and use the concept of money loss to represent the risk degree. Our research model takes the traditional Monte-Carlo Simulation as the basis, and also takes the bidirectional jump character into consideration to match the innovation and competition of the science and technology industry. We expect to reasonably assess the value at risk that the venturing capital company may afford. The conclusion is as follows: 1.Taking the jump character into consideration would capture the variation of investing plan of venturing capital company better. 2.When we use the value at risk method to estimate the risk that the venturing capital company invest in the new company, after bringing into the jump character, the estimated value at risk is higher than that from using the expected I/R ratio and the standard deviation of the investing plan. It is the existence of the jump character that causes the total variation degree increased. 3.In fact, the frequency and the impact degree of jump diffusion will differ from the different developing level and industry that the venturing capital companies invest in. But when we evaluate the value at risk of the investing plan, it will underestimate the risk of the investment if we ignore the impact of the jump character.