The Analysis on Value-at-Risk of Military Foreign Procurement Expenditure in R.O.C

• Main Authors: Huang, Tung-Lung, 黃東龍
• Other Authors: Chen, Chang-Shang
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/40356662842517944697

碩士 === 輔仁大學 === 應用統計學研究所 === 93 === The empirical research of finance market has improved the method which allow the market participant predict and estimate the risk directly, then adopt the appropriate hedging strategy to decrease the risk. One of the most popular methods is the analysis on Value at Risk (VaR). Due to the foreign exchange operations of Military procurement do not take any risk-averse at all time, the exchange risk may course huge loss although the military has the faultless management system and conscientious control process. This study uses the spot rate of New Taiwan Dollar to develop a procedure by Value at Risk method which could be used as a guideline for foreign exchange operation. The methods to estimate the VaR are Historical Simulation Method、Variance-Covariance Method、Monte Carlo Simulation Method. From the analysis we find the Historical Simulation Method is the best method to estimate the Value at Risk. Further, we applied the process developed by Historical Simulation Method to the real exchange expenditure data which shows that the benefit is great.