| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 100 === Since the financial tsunami happened in 2008, risk management has become one important issue in finance area. Many traditional methods such as standard deviation, VaR or CVaR approaches can be used to measure the level of risk. However, some recent studies indicate that a good risk indicator should possess the characteristic of stochastic dominance. The traditional risk measures such as Var or CVaR do not have this feature.
In this paper, we use the method which considers the stochastic dominance and proposed by Aumann and Serrano in 2008 to measure the risk. We use this indicator, called as Riskiness, to measure the risk for the all corporate bonds of listed companies in the United States. In addition, we also compare the results to those calculated by the method of the standard deviation, Value at Risk (VaR), and Conditional Value at Risk (CVaR).
Our empirical evidence shows that the Riskiness performs relatively well in the analysis of credit risk and interest rate risk compared with other methods. Thus, our study finds that this new method does not merely easily implement in the real world, but also have good economic properties. We also discuss some drawbacks of this new method in the study.
We believe that after constantly modifying this indicator, the Riskiness will be able to carry forward in the future.
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