The applications of VaR Model toward Local Banking Industry in three crash periods

• Main Authors: Yi-Wei Chien, 簡逸威
• Other Authors: 王啟秀
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/92754515104077402398

碩士 === 清雲科技大學 === 經營管理研究所 === 96 === In the past time, the banking industry experienced Asian Financial crisis, The burst of technology stock bubbles and Taiwan credit-card debt crisis etc, However the VaR research which the banks with higher risky loans facing different events is deficient. Especially the discussions of VaR in certain events are much more deficient. Above of all, it reduces the data of operation risk-loss cannot monitor the banking business and difficult risk management will happen. The research of this paper analyzes the difference of market environment change using Normal distribution, T-test, Lognormal distribution, Equally weighted moving average(MA), Delta normal, Generalized ARCH(GARCH), Historical simulation, Monte carlo simulation, Bootstrapping and Kmel Quantile Methods. The contribution is that the T-test method is approved more adative in the research of the banks with higher enterprise loans in 1% obviously. The MA method is approved more adative in the research of the banks with higher consumer loans in 1% obviously and 60days window.