A Value-at-Risk Model for the Financial Underlying Variables of TAIEX

• Main Authors: Tain-Tzu Yang, 楊天賜
• Other Authors: Sheng-Pen Wang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/31862854969990609208

碩士 === 長庚大學 === 企業管理研究所 === 91 === Value at Risk (VaR) is a probabilistic measure of the range of value of a firm's portfolio could lose due to market volatility. Over the last few years, VaR has gained recognition as the primary tool for market risk measurement in financial institutions. VaR can be calculated in may different ways. As a result, firms using different calculating methods can arrive at different value-at-risk numbers for the same portfolio. In the theme, we use the financial underlying variables to forecast the VaR of TAIEX. The variables we choose are rediscount rate, spot exchange rate(USD-NTD) and consumer price index in the period within 1980~2002. The main results in this thesis contain two parts as the follows. 1.Historical simulation method is better than the proposed model in the sense that the former has only 3 over-estimates in the back testing for annual data between 1991 and 2003, while the latter has four. 2.From the adjusted R-square performance we observed, the three variables were more and more ineffective to forecast the value at risk.