| Summary: | 碩士 === 東吳大學 === 會計學系 === 86 === While the financial market as getting more risky, the risk which is traditionally described by words, but now, is described by a figure. Participators gradually use VAR (value at risk) to measure market risk. This study focuses on the financial storm in the south-east Asia and hopes to provide suggestion for financial statements to disclose market risk.The research adopts exponentially weighted moving average approaches of J. P. Morgan Company. This study analyzes the risk of portfolio in order to understand the appropriate measure period and decay factor various different for every country.We found that no matter which portfolio, the suitable measure period and decay factor are different. Besides, this study suggests that if investors would like to use exponentially weighted moving average approaches, they should pretest for some days. Because the suitable measure period and decay factor are not always the same, they depend on time, country, and events.
|
|---|
