Comparison and Empirical Study of Different Risk Indices with Taiwan Equity Market
碩士 === 國立臺灣大學 === 工業工程學研究所 === 101 === Risk management is highly concerned in modern society, especially after the financial storm occurred in 2008. One important issue of risk management is the quantitative risk measurement. In this study, a particular ‘riskiness index’ proposed by Aumann and Serra...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/14806804914798582046 |
| Summary: | 碩士 === 國立臺灣大學 === 工業工程學研究所 === 101 === Risk management is highly concerned in modern society, especially after the financial storm occurred in 2008. One important issue of risk management is the quantitative risk measurement. In this study, a particular ‘riskiness index’ proposed by Aumann and Serrano is adopted to measure risks of 19 sectors of stock issued in Taiwan. Risk indices based on more traditionally used VaR (Value at Risk) and CVaR (Conditional Value at Risk) of these stocks are also calculated. For each of these three indices, its correlations with the average daily return and other financial variables are investigated. The result indicates that riskiness index is negatively correlated to the average daily return, but both VaR index and CVaR index are positively correlated to the average daily return. All these three indices are positively correlated to the standard deviation of average daily return. The orders of ranking based on different risk indices appear differently. From investigating various financial variables regression model, it is found that higher ROE (Return on equity) of 19 sectors of stocks results in lower risk no matter which of the three indices is employed. It is also found that higher PBR (price-to-book ratio) results in higher riskiness index.
|
|---|