| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 98 === The outbreak of Collateralized Debt Obligation beginning in mid 2007 triggered a series of liquidity crisis and generally highlighted the public’s inadequate capability in risk control. The beginning of 2008 financial tsunami started to get out of control and led to the collapse or taking over by governments of several large financial institutions (such as Lehman Brothers), which also affect various industries and caused comprehensively global economic downturn.
In reality, most countries in Europe already actively pursued on regional monetary stability and economic integration projects early in post World War II. In addition to establishing a currency unit based on economic and monetary union, they attempt to achieve a balanced and permanent economic and social environment. On the other hand, Asia-Pacific countries or economies started committing to rectification of domestic financial system after the currency crisis in Asian in 1997. In 2008, financial stabilization funds were established to expand ASEAN bilateral exchange mechanism into multinational exchange mechanism, which is regarded as a great step forward to establishing Asian International Monetary Fund (IMF).
In view of various active financial activities and innovation in new financial products, risk control becomes the main objective in financial institutions while Value at Risk (VaR) quickly gains public’s attention and becomes one of the new risk management tools. The study uses weighted composition of currency basket to construct a central exchange rate for Asian Currency Unit (ACU), the historical daily currency exchange rates of Taiwan, Hong Kong, Japan, South Korea, Malaysia, Philippines, Singapore, Thailand, China and Indonesia currencies to the United States Dollars and using 13 Asian countries exchange rates weighted by Japan Economic Institute to calculate the daily data on Asian Monetary Unit (AMU), in order to estimate the current level of risk exposure of various currency units and the expected loss bearable in the future. The study further analyzes whether the construction of Asian Currency unit can reduce the probability of value at risk.
The study discovers that Historical Simulation can comparably exhibit a track showdown due to the more sensibility in historical simulation to extreme value; whereas Monte Carole Stochastic Simulation is not applicable in estimating currency exchange rates. To avoid the prediction bias, the selection of Stress Testing method should be evaluated on a regular basis regardless of long-term assessment.
In addition, the study results show that integration of currency units may indeed reduce the impacts of financial crisis to exchange rates. The exchange rates of Asian countries are linked while the performance of ACU and AMU is relatively defensive, which implies that the implementation of ACU may enhance ability to take pressure testing. If backward search is used in pressure testing for risk value to find out sampling of rate of changes exceeding required standards, then a reverse analysis on the event will more effectively control risk value and avoid the risks and impacts caused by financial crisis. Such conclusion is an important reference for Asian economies integration and prevention of financial risks.
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