| Summary: | 碩士 === 國立中山大學 === 財務管理學系研究所 === 106 === Since the financial crisis broke out in 2008, it has led to a period of global economic recession. Central banks of countries around the world have slashed the interest rate to stimulate the economy. While the economy recovered gradually, the presidential elections were hold in various countries. Political and economic turmoil have affected the fluctuation of foreign exchange rate. Some rate of exchange has reached record highs or lows these years. It has brought great impact on the value of companies. The management of foreign exchange risk seems to be more important for multinational companies. In this paper we adopted our sample period from 2010 to 2016 to investigate Giant Manufacturing Co., Ltd. (stock symbol 9921) and Johnson Health Tech. Co., Ltd. (stock symbol 1736)’s main currency portfolio which contains Japanese yen, RMB, Euro, US dollar and British pound. We observe the correlation between the exchange rates and use the back-testing to detect difference between the actual Value-at-Risk and the expected ones under the 95% and 99% confidence intervals. Then we propose the exposure netting method on the value of the foreign currency asset held by the two companies. Finally, we use the variance-covariance method and ARMA-GARCH method to evaluate the change of VaR of the portfolio before and after netting each year, to see if the foreign exchange exposure reduced accordingly.
|
|---|
