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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105051

    Title: 商品存貨效應對估計投資組合風險值的影響
    Other Titles: The influence of commodity inventory effect on portfolio value-at-risk estimation
    Authors: 黃鈺仁;Huang, Ju-Jen
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;洪瑞成;Chiu, Chien-Liang;Hung, Jui-Cheng
    Keywords: 風險值;存貨效應;投資組合;市場風險資本;VAR;GARCH;commodity inventory effect;portfolio;MRC
    Date: 2015
    Issue Date: 2016-01-22 14:46:36 (UTC+8)
    Abstract: 在現今亞洲各新興國家經濟高速發展下,石油以及許多工業用金屬的價格也隨之高漲,再加上現今全球投資人皆面臨高通膨時代,許多的投資人也將黃金、白銀等高價金屬作為投資組合的避險資產。而機構投資人除了資產配置外,風險值以及市場風險資本亦是其考慮的重要因素。本論文認為當投資機構若在估計風險值時,納入存貨效應之影響,風險值之準確性與效率性將得到提高,銀行機構依新巴賽爾協定所規定準備之市場風險資本(MRC,market risk capital)將能夠得到降低,機構在資金的準備上也將更加寬裕。
    本論文研究對象與樣本期間擷取2001年1月1日至2013年12月30日間之西德州原油(West Texas Intermediate, WTI)、熱燃油(heating oil, ),黃金(gold)、白銀(silver)、鋁(Aluminum)、鎳(Nickel)、鉛(Lead)、銅(Copper)、錫(Tin)、鋅(Zinc)、玉米(corn)、小麥(wheat)、黃豆(soybean)、咖啡(coffee)、棉花(cotton);參考Lien & Yang(2008)與Carpantier & Samkharadze (2013)分別提出捕捉存貨效應的模型,進行單變量GARCH模型與DCC-GARCH 模型估計,希冀透過存貨效應與基差之非對稱性效果之考量,提供投資人在進行風險值模型建構時,能有更加完善之參考資訊。
    With the rapid economic development in Asia emerging countries, the price of oil and industrial metals are also risen, and investors are facing high inflation era, many investors use gold, silver and other metals as hedge capitals of their investment portfolio. And institutional investors in addition to asset allocation, risk asset value and market risk capital are also important factors to consider. This theory will discuss that if we include the effects of commodity inventory effect when we are estimating VaR of our portfolio, we can improved the performance in both accuracy and efficacy of VaR. The market risk capital (MRC) according to New Basel Accord of the institutional investors will be able to be reduced, institutions in the preparation of funds will also be more comfortable. Accordingly, studied objects and sample periods of the theory cover WTI, heating oil, gold, silver, aluminum, nickel, lead, copper, tin, zinc, corn, wheat, soybean, coffee, cotton during the period of 1 Jan, 2001 to 30 Dec, 2013, and estimate the model of DCC-GARCH and GARCH. That will provide more detailed reference information to investors who are estimating the value at risk, by the concern of asymmetric effect on different stock return and basis conditions.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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