| Summary: | 碩士 === 中原大學 === 國際貿易研究所 === 95 === Enterprises face more uncertain factors than before to investigate in risk management; firms have to develop a model to measure their faced risks. This thesis hope to apply the concept of “Cash-Flow-at-Risk, CFaR” to nonfinancial firms, construct and estimate their operating risk.
We fit Cash Flow equation by using four kinds of Macroeconomic indicators, including TWD/USD Exchange Rate, Deposit Rate-3 Month, Philadelphia Semiconductor Index and Composite Leading Index, and further measure individual firms CFaR of Taiwan Semiconductor Industry. We make use of firms of Taiwan Semiconductor Industry as object of study from 4th quarter of 2000 to 2nd quarter of 2006, aim at Fix Effect Model-Common Slopes, Random Effect Model-Common Slopes and Fix Effect Model-Differential Slopes to estimate Cash Flow equation.
In empirical study, we make use of stepwise regression and pooled estimation to understand the relation among four kinds of Macroeconomic indicators and EBITDA of Taiwan Semiconductor Industry. Regardless of in the Fix Effect Model-Common Slopes, Random Effect Model-Common Slopes and Fix Effect Model-Differential Slopes, TWD/USD Exchange Rate, Deposit Rate-3 Month, Philadelphia Semiconductor Index and Composite Leading Index have significantly effects on cash flow.
Through RMSE, MAE, and Theil’s U three kinds of predictperformance indices we know that, most of Taiwan Semiconductor IC Design firms are suitable to adopt Random Effect Model-Common Slopes and Monte Calro Simulation to fit cash flow equation and evaluate CFaR; most of Taiwan Semiconductor IC Manufacturing companies are more suitable to adopt Random Effect Model-Common Slopes and Historical Simulation; most of Taiwan Semiconductor IC Packaging and Testing firms are more suitable to adopt Random Effect Model-Common Slopes and Monte Calro Simulation.
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