Bond Risk measure-The Application of Cornish Fisher

• Main Authors: Ju-Yi Chen, 陳儒毅
• Other Authors: 林允永
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/34982737669928227492

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 94 === With the proliferation in the volume of global financial transactions, which has thus given rise to increase in capital flow throughout Taiwan. The fixed income market in Taiwan has grown rapidly in the recent years due to the enhancement of trading system adopted by the regulatory authority and availability of various products provided by the bond industry. Hence, risk management and risk control have become a significant element to institutional investors for trading fixed-income products. Base on the empirical data of 10-year Treasury Notes from January 1, 2002 to March 15, 2006, Delta Normal method and Delta Gamma method linked with Cornish Fisher are adopted to examine the accuracy of VaR measurement. The conclusions driven from this research are as follows,first, base on the same risk exposure, the amount of loss prevention is lower when Delta Gamma linked with Cornish Fisher method is applied. That is, Delta Gamma method provides much efficient consequence than Delta Normal method does when looking up capital requirement.Second, when examining the return ratio, as well, shows that Delta Gamma method is presenting better consequence than Delta Normal approach does. While the three treasury bonds used as empirical data in this research are the same classification, the differentiation from the two backtesting is not significant.