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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31711

    Title: 風險值之應用 : 外匯投資組合實證研究
    Other Titles: VaR application : foreign exchange investment portfolio research
    Authors: 蔡秀霞;Tsai, Hsiu-hsia
    Contributors: 淡江大學財務金融學系碩士在職專班
    李進生;Lee, Chin-shen;林允永;Lin, Yun-yung
    Keywords: 指數加權移動平均;個別風險值;增量風險值;Exponential Weighted Moving Average;Individual Var;Incremental VaR
    Date: 2006
    Issue Date: 2010-01-11 01:10:00 (UTC+8)
    Abstract: 本文以六種幣別對美元匯率之日資料組成投資組合,利用指數加權移動平均(Exponential Weighted Moving average,EMWA)估算風險值,計算組成成份之個別風險值、增量風險值,探討如何調整手中各部位以降低投資組合之風險值,以使投資組合風險管理更具效率。


    This article regards a foreign exchange portfolio with six currencies against US Dollar as the research object. We apply the Exponential Weighted Moving average(EMWA)approach to compute the portfolio’s VaR, then calculate the individual and incremental VaR of each currency. By using the incremental and individual VaR, we investigate how to adjust the currency position to find the portfolio’s VaR most effectively.
    The evidence shows that:1.By cutting the greatest individual VaR position will reduce the portfolio VaR more effectively 2. The incremental VaR is negative would reduce the portfolio’s VaR with hedge effect.
    Investors can apply the dynamic adjustment approach and set an acceptable limit of VaR to modify the currency position to control the risk within the limit for the investment horizon.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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