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...

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Main Authors: Chung-Chi Huang, 黃中奇
Other Authors: 吳文方
Format: Others
Language:zh-TW
Published: 2013
Online Access:http://ndltd.ncl.edu.tw/handle/14806804914798582046
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spelling ndltd-TW-101NTU050300572015-10-13T23:05:30Z http://ndltd.ncl.edu.tw/handle/14806804914798582046 Comparison and Empirical Study of Different Risk Indices with Taiwan Equity Market 不同風險指標之比較與實證研究-以台灣股票市場為例 Chung-Chi Huang 黃中奇 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. 吳文方 2013 學位論文 ; thesis 52 zh-TW
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description 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.
author2 吳文方
author_facet 吳文方
Chung-Chi Huang
黃中奇
author Chung-Chi Huang
黃中奇
spellingShingle Chung-Chi Huang
黃中奇
Comparison and Empirical Study of Different Risk Indices with Taiwan Equity Market
author_sort Chung-Chi Huang
title Comparison and Empirical Study of Different Risk Indices with Taiwan Equity Market
title_short Comparison and Empirical Study of Different Risk Indices with Taiwan Equity Market
title_full Comparison and Empirical Study of Different Risk Indices with Taiwan Equity Market
title_fullStr Comparison and Empirical Study of Different Risk Indices with Taiwan Equity Market
title_full_unstemmed Comparison and Empirical Study of Different Risk Indices with Taiwan Equity Market
title_sort comparison and empirical study of different risk indices with taiwan equity market
publishDate 2013
url http://ndltd.ncl.edu.tw/handle/14806804914798582046
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