A STUDY OF APPLING VaR TO THE CONTROL OF PORTFOLIO IN FINANCIAL TSUNAMI

• Main Authors: YEN, YUEH-MIAO, 顏月妙
• Other Authors: LIN.CHUANG-YUANG
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/25720492323311340679

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 97 === In recent years, there are more and more significant financial markets crises. Many practitioners and researchers pay a lot of attention to the risk management. As a result, value at risk (VaR) has become a widely used measure of market risk in risk management for enterprise or financial institution. This thesis presents an application of VaR to measure the portfolio of Mutual Fund, and hope to provide the suggestions for the Fund managers. This study uses the portfolio data during the periods of April 1, 2008 to March 27, 2009 and different types of VaR models (Variance-Covariance method, Historical simulation method, Monte-Carlo simulation method) to measure the market risk of Mutual Fund. We also use Back Testing to examine whether each VaR model that can get the exact market risk or not. Finally, we use marginal VaR of individual underlying asset to make risk adjustment and evaluate the performance. The conclusions of this thesis are: The Exponentially Weighted Moving Average approaches of Variance-Covariance method is better than Historical simulation method and Monte-Carlo simulation method. Through adjusting underlying assets with the greatest marginal VaR , we can significantly reduce risk and increase performance.