| Summary: | 碩士 === 元智大學 === 管理研究所 === 91 === The major risks faced by all securities firms are classified as market risk, credit risk, liquidity risk, operational risk, legal risk and systematic risk. In recent years the market risk exposures of financial institutions have received great concern among regulators after numerous cases of great loss. From the development trend in recent years, the orientation for securities firms in Taiwan will be large-scale, internationalization and diversification. The positions of the securities firms will be increased due to the trend of large-scale and diversification. As a result, it enhances the aggregate business risk of all securities firms and raises another important issue that how a securities firm allocates it’s portfolio adequately with the control system of risk management.
The aim of this thesis is to study the market risk exposures of 24 Taiwan securities firms by analyzing their securities positions, including the value of cost and the market. Adopting two scenario analyses -- the History Scenario and the Worst Scenario, it captures the worse situations to obtain the potential loss of those securities firms. We hope this research not only providing the position loss value to all investors more transparently but also helping them to judge how large the market risk one firm takes.
The analysis in this thesis finds that the securities firms with larger capital shall pay more attention on the risk management. In Taiwan, small size firms did face higher risk restricted within the capital and human resources. Moreover, the analysis also reveals that, in the bear market, the loss exposures of the securities firms are positively associated related with the capital, EPS, the Herfindahl Index, and the income ratio from underwriting and investment, while the mention to the market share of brokerage, fluid ratio and whether it joins the financial holding company and other variables cannot be find significantly effects on the risk exposures of the securities firms.
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