債券之風險衡量 : Cornish Fisher應用

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 學位論文 > Item 987654321/31638

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题名:	債券之風險衡量 : Cornish Fisher應用
其它题名:	Bond risk measure : the application of Cornish Fisher
作者:	陳儒毅;Chen, Ju-yi
贡献者:	淡江大學財務金融學系碩士在職專班林允永;Lin, Yun-yung
关键词:	風險值;風險管理;變異數-共變異數;法回溯測試法;Value at Risk;Risk management;Delta Normal Method;GARCH Model;Cornish Fisher expansions;Delta Gamma Method
日期:	2006
上传时间:	2010-01-11 01:04:47 (UTC+8)
摘要:	隨著國際金融交易日益頻繁，台灣金融投資環境越見活絡發展，資金流動的速度與規模與日俱增，使各種金融商品的價格波動程度與日俱增，而台灣債券市場近年來在政府積極改善債券交易制度與業者全力發展債券新金融商品之努力下，交易規模日益成長，因此，如何在進行債券交易時同時考量風險的配置及控管便成為當前投資人或是機構法人應當特別重視之部分。本研究擇取2002年1月1日至2006年3月15日間尚未到期之台灣十年期公債為進行實證，以比較分析Delta Normal法與加入Cornish Fisher expansion之Delta Gamma法來估測風險值之準確性。本文之實證研究發現在承擔相同風險下，採用加入Cornish Fisher後之Delta Gamma法可提存之預防損失準備金額較Delta Normal法為低，即表示其在提昇資本計提之有效性上較Delta Normal法為佳；而就報酬率方面，採用加入Cornish Fisher後之Delta Gamma法其效果亦優於Delta Normal法。惟因本文係以單一性質之三檔公債為實證對象，故在採用二種方法進行回溯測試效果上，較無法表現出其差異性。 With the proliferation in the volume of global financial transactions, which has thus given rise to increase in capital flow throughout Taiwan. The fixed income market in Taiwan has grown rapidly in the recent years due to the enhancement of trading system adopted by the regulatory authority and availability of various products provided by the bond industry. Hence, risk management and risk control have become a significant element to institutional investors for trading fixed-income products. Base on the empirical data of 10-year Treasury Notes from January 1, 2002 to March 15, 2006, Delta Normal method and Delta Gamma method linked with Cornish Fisher are adopted to examine the accuracy of VaR measurement. The conclusions driven from this research are as follows,first, base on the same risk exposure, the amount of loss prevention is lower when Delta Gamma linked with Cornish Fisher method is applied. That is, Delta Gamma method provides much efficient consequence than Delta Normal method does when looking up capital requirement.Second, when examining the return ratio, as well, shows that Delta Gamma method is presenting better consequence than Delta Normal approach does. While the three treasury bonds used as empirical data in this research are the same classification, the differentiation from the two backtesting is not significant.
显示于类别:	[財務金融學系暨研究所] 學位論文

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