Multidimensional risk analysis-demonstration research

• Main Authors: Su,Ailing, 蘇愛鈴
• Other Authors: 陳松男
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/30528510634484756871

碩士 === 國立政治大學 === 應用數學研究所 === 97 === Fong and Vasicek (1997) mentioned that risk analysis should include sensitivity analysis, value at risk (VaR) and stress testing, in order to capture portfolio risk. The calculation of VaR should not only consider the second moment but should also adjust the skewness using the third moment. In this article, we determine VaR by employing three methods, the variance covariance, the historical simulation and the Monte Carlo simulation methods. In addition, we also adjust VaR for the skewness and kurtosis using the methods developed by Fong and Vasicek (1997) and Cornish-Fisher. Then, the likelihood ratio test, back testing and the Z-test are used to verify the VaR model. Our final test results suggest that calculating VaR should be adjusted for the skewness and the kurtosis as shown by the method proposed by Cornish Fisher in the 95% and 99% confidence intervals.