| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 93 === On the base of the 1998 guidelines of Taiwan securities capital adequacy, the purpose of this study is to compare the standardized measurement method, the variance/covariance method, and the historical simulation method on the measurement of market risk for the security firms in Taiwan. Data is employed from financial statements of a security firm for the period of 2001 t0 2003, which include information of the actual fixed income security and equity security holdings of the very security.
The empirical results show that the value of market risks by the two internal VaR models is substantially less than that by the standardized method. However, if we refer to the proposes of new Capital Accord for banks, the capital charges by the internal models will be higher than that by the standardized measurement method under considering that the value of multiplication factor is at least 3 or the holding period becomes 10 days from one day. This implies that security firms will reduce incentives to develop internal models to measure their market risks due to higher capital charges if we refer to new Capital Accord for banks and use the value of multiplication factor with at least 3 and the 10-day holding period.
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