本篇研究主要是在探討透過最小投資組合價值所算出的風險值與一般常見模型所估算出的風險值之間的關係。並且進一步地去分析各種模型所推算出的風險值其所適合風險值使用者的類型。實證對象分為兩大類,第一類是個股,本研究選擇的是台灣50成分股,第二類是投資組合指數,本研究選擇的是台灣50指數、金融指數以及電子指數。結果顯示最小投資組合價值所算出的風險值明顯地比其他模型所推算出的風險值來得保守,這意味著其適合的是風險愛好程度更高的風險值使用者。

This study mainly investigates into relationship between VAR of EMPV and VAR of common models; and further, it wants to know them individually fitting what types of users of VAR. This study chooses two groups of underlyings as empirical objects. One is individual stock. We choose TSEC Taiwan 50 index constituents. The other is index of the portfolio. We choose Taiwan 50 index、Finance Sub-Index and Electronic Sub-Index. The result reports that VAR of EMPV is obviously more conservative than VAR of other common models. It means that VAR of EMPV fits more risk-loving user of VAR.

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