| Summary: | 碩士 === 實踐大學 === 企業管理學系碩士班 === 96 === The purpose of this study is to apply Value at Risk (VaR) to measure the market risk of put warrant. The data were gathered from all the public issuing put warrants during the period form August 01, 2007 through March 31, 2008. It selects three put warrants (including in-the-money put warrant, at-the-money put warrant, and out-of-the-money put warrant). I use two kinds of volatility estimation methods, including implied volatility and historical volatility, together with quantitative analysis approaches, including Delta-Normal Approach and Delta-Gamma approach, and the other method, Monte Carlo simulation, to calculate the VaR of the put warrant.
Based on these calculations, I find that its nonsense to calculate VaR under Delta-Normal approach because the value of VaR is negative. For the Delta-Gamma approach is not well too, it premise for normal distribution but the put warrant is non-linear financial commodity. Monte Carlo simulation is the best result in evaluating put warrant.
Overall, under the method of Monte Carlo simulation is the best method to evaluate the market risk of put warrant.
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