Value at Risk Measurement on A Company’s Foreign Currency Assets and Liabilities – Case Study of Taiwan’s Listed Marine Transport Company

• Main Authors: Hsiao-Hui Wen, 溫小慧
• Other Authors: Kuang-Wen Chang
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/34587918924916172633

碩士 === 東吳大學 === 企業管理學系 === 94 === In view of Value at Risk was used widely by international financial markets, so this paper expand the concept from financial institution to the private company - the case study was foreign currency assets and liabilities of the Taiwan’s listed marine transport company. To establish the applicable model could be referred by manager for controlling foreign currency risk. This paper finds many models which could pass tests at the same confidence level and the same holding days. Based on the accuracy, the better performance model which could measure Value at Risk of netting foreign assets at different parameters were moving window 100 days of Historical Simulation and moving window 250 days of Bootstrap approach. Reconsidering on simple calculated, the moving window 100 days of Historical Simulation was the best model of managerial indicator.