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• Main Authors: Shih-ying Pan, 潘蒔瑩
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/64995368329758678080

碩士 === 東吳大學 === 經濟學系 === 99 === The methods of estimating “VaR” are generally applied to the financial assets held by financial companies. Due to the impact of globalization and liberalization environments, non-financial companies often face severe uncertainty and more sources of risk factors. In this study, we use the CorporateMetrics Model developed by J.P. Morgan to estimate the CFaRs faced by manufacturing companies. First, to measure a firm’s operating risk exposure, we collected from the firm’s financial statements the data of three major cash flows, i.e., operating, investing, and financing ones. Second, the relationship between risk factors and CF factors is estimated, using Vector Autoregression Model (VAR). Finally, the five external risk factors included in the estimated VAR model allow us to forecast the three CFaRs by Monte Carlo simulation. This study uses Transcend Information, Inc. as the case for estimation. The firm is a leading one in producing memory for PC and multimedia in Taiwan. The sample period of the firm’s CFs includes from the third quarter in 2003 to fourth quarter in 2009, a period of 28 quarters in total. We also collected for the same period the data of the five external risk factors including the growth rate of Taiwan GDP, the amount of PC exports, TWD/USD exchange rate, the domestic sales of PC and motherboard, and flash price. Given a 5% of significance level, the estimate of the firm’s CFaR is NT $4.7753 in billions, and given a 1% of significance level, the estimate is NT$6.5777 in billions.