Summary: | 碩士 === 輔仁大學 === 金融研究所 === 93 === Abstract
Title of Thesis:The research of Integrating VaR and CaR Risk management
Name of Institute:Graduate Institute of Finance, Fu-Jen Catholic University
Name of Student:Hsin-Hui Wang
Advisor:Dr. Shang-Chi Gong
Pages:62
Keyward:Market Risk、Credit Risk、Monte Carlo Simulation、KMV Approach
Content of Abstract:
In the case of study, we are going to discuss the market risk and the credit risk that are existed between the two companies at the same group. There are company A and company B. Company A has many company B’s shares, and the percentage of company A’s investment dividing into its total assets is very high. When the stock price of company B drops ,it will affect company A and will cause the market risk to company A .At the same time, the credit rating of company A or the market value of company A’s assets will decline. This is what we called the credit risk.
There are two topics in this research:
1.In our opinion, there are some relations between the book value and the market value of company A’s assets. We are going to find them out by Box-Cox Model.
2.We try to measure correlation coefficient between company A’s VaR and CaR to know what the level of the relations between them is.
The conclusions are following:
1.About the book value and the market value of company A’s assets:the level of the relations between them is middle-high. The types of the functions at most companies are linear.
2.About the VaR and CaR:the correlation coefficient of the electrical industry is higher than the traditional industry, but the relations between them are not strong. The types of the functions at most companies are semilog.
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