| Summary: | 碩士 === 長庚大學 === 工商管理學系 === 102 === Value at Risk(VaR) is a main tool of risk management, but the traditional VaR measurement model does not take into account the liquidity risk. This study uses a modified Taylor (1999) quantile regression model to measure VaR by incorporating the liquidity risk factors "turnover rate" to measure liquidity-adjusted VaR. We use the OTC stock sample as the research data and select the top 20 companies characterized by high, medium and low turnover rates in an attempt to find a better fit VaR model.
The empirical findings indicate that there exists no big differences for the three empirical model specifications with 99% confidence level. Nevertheless, with 95% confidence level, this study proposes that the quantile regressionmodel incorporating the liquidity risk factor "turnover ratio" outperforms other models, especially in the case of low turnover rates. Thus the study demonstrates that the risk factors "turnover rate" we select should be a good proxy variable of liquidity.
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