Empirical Study of Riskiness Index-Using Taiwan Stock Market Data

• Main Authors: Huei-Fen Chen, 陳慧芬
• Other Authors: Larry Y. Tzeng
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/88282040513923934591

碩士 === 臺灣大學 === 財務金融學研究所 === 98 === Risk management has become important issue since 2008 financial tsunami. One of the most important parts of risk management is how to evaluate risk. This study adopts the method which was demonstrated by Robert J. Aumann and Roberto Serrano in 2008 to calculate the risk index (R index) of Taiwan sector stocks. Value at Risk (VaR) and Conditional Value at Risk of Taiwan sector stocks are calculated to be compared with the risk index. The conclusions are the followings: The result of R index under normal distribution assumption of Taiwan sector stocks is similar to the result of under the original distribution assumption. The rank of R index and the rank of VaR and CVaR are different because these methods evaluate different risks. Finally, the R index can not be used when the mean of the return distribution is negative. Therefore, when financial tsunami happens, the adoption of the R index would be difficult.