A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange
碩士 === 國立高雄第一科技大學 === 金融系碩士班 === 106 === This study tries to find a better method for estimating the VaR of the foreign currency futures listed in Taiwan Futures Exchange, including RHF, RTF, XEF, and XJF. I use three models to estimate the VaR of the futures, including delta-normal model, which con...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2018
|
Online Access: | http://ndltd.ncl.edu.tw/handle/dwdq25 |
id |
ndltd-TW-106NKIT0667009 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-106NKIT06670092019-05-16T00:00:47Z http://ndltd.ncl.edu.tw/handle/dwdq25 A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange 台灣期交所外匯期貨風險值估算之研究 CIOU,SIAN-SHU 邱嫻淑 碩士 國立高雄第一科技大學 金融系碩士班 106 This study tries to find a better method for estimating the VaR of the foreign currency futures listed in Taiwan Futures Exchange, including RHF, RTF, XEF, and XJF. I use three models to estimate the VaR of the futures, including delta-normal model, which considers the first two moments of the distribution, Cornish-Fisher expansion model, which considers the skewness and the kurtosis of the distribution, and historical simulation method. I use backtests to decide which estimation model is more reliable. I find the Cornish-Fisher expansion model performs better than the other two models for all the four foreign currency futures. And relative to the moving average model, the exponentially weighted moving average model suggests estimation values for the parameters of the models to determine better estimation for the VaR. Finally, setting decay factor equal to 0.94 can get a pretty good estimation for the VaR although there is no consistent result for different foreign currency futures. SZU,WEN-MING 絲文銘 2018 學位論文 ; thesis 63 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 國立高雄第一科技大學 === 金融系碩士班 === 106 === This study tries to find a better method for estimating the VaR of the foreign currency futures listed in Taiwan Futures Exchange, including RHF, RTF, XEF, and XJF. I use three models to estimate the VaR of the futures, including delta-normal model, which considers the first two moments of the distribution, Cornish-Fisher expansion model, which considers the skewness and the kurtosis of the distribution, and historical simulation method. I use backtests to decide which estimation model is more reliable.
I find the Cornish-Fisher expansion model performs better than the other two models for all the four foreign currency futures. And relative to the moving average model, the exponentially weighted moving average model suggests estimation values for the parameters of the models to determine better estimation for the VaR. Finally, setting decay factor equal to 0.94 can get a pretty good estimation for the VaR although there is no consistent result for different foreign currency futures.
|
author2 |
SZU,WEN-MING |
author_facet |
SZU,WEN-MING CIOU,SIAN-SHU 邱嫻淑 |
author |
CIOU,SIAN-SHU 邱嫻淑 |
spellingShingle |
CIOU,SIAN-SHU 邱嫻淑 A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange |
author_sort |
CIOU,SIAN-SHU |
title |
A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange |
title_short |
A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange |
title_full |
A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange |
title_fullStr |
A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange |
title_full_unstemmed |
A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange |
title_sort |
research about the var of foreign currency futures in taiwan futures exchange |
publishDate |
2018 |
url |
http://ndltd.ncl.edu.tw/handle/dwdq25 |
work_keys_str_mv |
AT ciousianshu aresearchaboutthevarofforeigncurrencyfuturesintaiwanfuturesexchange AT qiūxiánshū aresearchaboutthevarofforeigncurrencyfuturesintaiwanfuturesexchange AT ciousianshu táiwānqījiāosuǒwàihuìqīhuòfēngxiǎnzhígūsuànzhīyánjiū AT qiūxiánshū táiwānqījiāosuǒwàihuìqīhuòfēngxiǎnzhígūsuànzhīyánjiū AT ciousianshu researchaboutthevarofforeigncurrencyfuturesintaiwanfuturesexchange AT qiūxiánshū researchaboutthevarofforeigncurrencyfuturesintaiwanfuturesexchange |
_version_ |
1719159612706390016 |