The application of deposit insurance at VaR

• Main Authors: Lan-Chi Kuo, 郭蘭慶
• Other Authors: Yun-Yung Lin
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/30206614404764778280

碩士 === 淡江大學 === 保險學系保險經營碩士班 === 90 === It is essential that protecting depositor claim and stabilizing financial market. Recently in order to make finance toward liaberalization and internationalization , diversification is the tendency but the risk is more cluttered. In accordance with Capital Adequacy and inspect synthesize point, CDIC gain a total point. The front is based on credit risk, rate risk,foreign exchange rate ;the latter is based on CAMEL but this is subjective. We assume all risks of banks to react the stock price. We confer the topic is based on value of risk , the methods is historical simulation、delta-normal、Monte Carlo Simulation but just using historical simulation to fining the result. We can use of those of 25 banks in Taiwan and find: 1. ICBC、TAN-DON bank、Chinatrust、S-HA bank average of value at risk equal 0.05. These belong to high risk so must think over to add rate. 2. HA-NAN、TA-NAN、TA-SOU、HWN-TON、…..average of value at risk equal 0.03.LAN-BON、HA-SEN…belong to low risk and the highest value equal 0.07 not enough. The average of Taipei bank minimize 0.016 and maximize 0.05. These belong to low risk so must think over to subtract rate. Accord to the result, we induce these proposition: 1. Except credit risk、rate risk、forgion exchange rate risk , banks face liquidity risk、operation risk、and derivative risk. When we measure the value at risk, we can think of every risk item. The value will be objectivity. Follower can analysis the aspect. 2. Follower could compare VaR that before holding company established and latter holding company established. We can know the changing so that confer the rationality. 3. CDIC should conform the tide of world and change CAMEL into ROCA. We should strengthen the importance. 4. It is major that stability of insurance rate. We should count the average and avoid the fluctuation.