研究生: |
江柏震 Po-chen Chiang |
---|---|
論文名稱: |
最小投資組合價值應用於風險值領域之實證研究-以台灣股票市場為例 An Empirical Study on Application of Expected Minimum Portfolio Value in Value at Risk - Taiwan stock market as Example |
指導教授: |
莊文議
Wen-I Chuang 林丙輝 Bing-Huei Lin |
口試委員: |
張光第
Guang-di Chang |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
論文出版年: | 2009 |
畢業學年度: | 97 |
語文別: | 英文 |
論文頁數: | 96 |
中文關鍵詞: | 風險值 、極值理論 、最小投資組合價值 、一般化極值分配 、一般化柏拉圖分配 |
外文關鍵詞: | Value-at-Risk(VAR), Extreme Value Theory(EVT), Expected MinimumPortfolio Value(EMPV), Generalized Extreme Value distribution(GEV), Generalized Pareto distribution(GPD) |
相關次數: | 點閱:612 下載:1 |
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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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