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Student Number 86425018 Author Chiu-Yi Kuo(郭秋怡) Author's Email Address No Public. Statistics This thesis had been viewed 436 times. Download 0 times. Department Finance Year 1998 Semester 2 Degree Master Type of Document Master's Thesis Language zh-TW.Big5 Chinese Title Date of Defense Page Count 59 Keyword Capital Requirement Delta-Normal Historical Simulation Internal Model Monte-Carlo Simulation Standard Model VAR Abstract VaR is a risk measure approach, which is mainly used to control the market risk. This approach has become more and more popular since the proportion of market risk is growing in the total risk of many firms. In short, VaR transfers abstract risk into concrete numbers by probability distribution of statistics. It is easier to control risk through quantifying measurements. Generally, we have three ways to calculate VaR, and they are delta-normal, historical simulation, and monte-carlo simulation. After Dec. 31 1998, all of domestic banks should obey a new capital requirement regulation, which is set by Ministry of Finance in May 1998. According to this new regulation, banks can choose the standard model or the internal model to calculate their minimum capital requirement. The standard model here is refer to the model proposed by BIS in April 1993 and the internal model here is refer to VaR calculation.

Since applying VaR to calculate capital requirement of banks is still new to most domestic banks, the purpose of my thesis is to analyze the effect of this new regulation by a hypothetical balance sheet of a Taiwan’s bank. I compare the bankrupt probability and cost of capital under five capital calculation approaches, those are the old regulation, the standard model, delta-normal, historical simulation, and monte-carlo simulation. In conclusion, banks will have larger capital requirement under new law. As a result, banks will also have smaller probability to bankrupt and higher cost of capital in the future.Table of Content 中文摘要----------------------------------------------------Ⅰ

英文摘要----------------------------------------------------Ⅱ

誌謝詞------------------------------------------------------Ⅲ

目錄--------------------------------------------------------Ⅳ

圖目--------------------------------------------------------Ⅴ

第一章 緒論-------------------------------------------------１

第一節 研究動機與背景---------------------------------------１

第二節 研究目的---------------------------------------------２

第三節 研究架構---------------------------------------------３

第二章 文獻回顧---------------------------------------------４

第三章 風險值模型－參數型-----------------------------------７

第一節 風險值之定義-----------------------------------------７

第二節 Delta-Normal 模型----------------------------------１０

第四章 風險值模型－模擬型---------------------------------２０

第一節 歷史資料模擬法-------------------------------------２０

第二節 蒙地卡羅模擬法-------------------------------------２２

第三節 壓力測試-------------------------------------------２７

第五章 資本適足規定的發展---------------------------------３０

第一節 1988年巴塞爾協議-----------------------------------３０

第二節 標準模式-------------------------------------------３２

第三節 內部模型-------------------------------------------３７

第四節 台灣的銀行資本適足率-------------------------------３９

第六章 虛擬分析-------------------------------------------４４

第一節 樣本資料與計算-------------------------------------４４

第二節 比較分析-------------------------------------------５１

第七章 結論與建議-----------------------------------------５６

參考文獻--------------------------------------------------５７

中文部分------------------------------------------------５７

英文部分------------------------------------------------５７Reference 中文部分

呂自勇（民86），「金融資產投資組合風險值衡量?以台灣股市債市投資組合為例」，中央大學財管所碩士論文。

財政部金融局（民81），「銀行自有資本與風險性資產之範圍、計算方法及未達標準之限制盈分配辦法」。

財政部金融局（民86），「銀行自有資本與風險性資產之範圍、計算方法及未達標準之限制盈分配辦法」修正條文。

財政部金融局（民86），銀行自有資本與風險性資產計算方法說明。

黃少華（民86），「市場風險對資本適足率之影響」，產業金融第九十六期，第84至103頁。

英文部分

Alexander, C. O. and C. T. Leigh, “On The Covariance Matrices Used in Value at Risk Models”, The Journal of Derivatives, Spring 1997, pp. 50-62.

Aussenegg, Wolfgang and Stefan Pichler, “Empirical Evaluation of Simple Models to Calculate Value-at-Risk of Fixed Income Instruments”, 1997, Working Paper.

Basle Committee on Banking Supervision, “Supervisory Framework for the Useof “Backtesting” in Conjunction with the Internal Models Approach to Market Risk Capital Requirements”, January 1996.

Basle Committee on Banking Supervision, “Amendment to The Capital Accord to Incorporate Market Risks”, January 1996.

Basle Committee on Banking Supervision, Technical Committee of the International Organization of Securities Commission (“IOSCO”), “Survey of Disclosures about Trading and Derivatives Activities of Banks and Securities Firms”, November 1996, Join Report.

Beder, Tanya Styblo, ”VAR: Seductive but Dangerous”, Financial Analysts Journal, (September-October), 1995, pp.12-24.

Boudoukh, Jacob, Matthew Richardson and Robert F. Whitelaw , “Investigation of A Class of Volatility Estimators”, The Journal of Derivatives, Spring 1997, pp. 63-71.

Brown, Stephen J. & Philip H. Dybvig, “The Emplicatins of Cox, Ingersoll ,Roll Theory of the Term Structure of Interest Rates”, Journal of Finance, Vol.41, No. 3, July 1986, pp. 617-30.

Bulter, J. S. and Barry Schachter, “Improving Value-at-Risk Estimates by Combining Kernel Estimation with Historical Simulation”, 1996, Working Paper.

Christoffersen, P. F., “Evaluating Interval Forcasts”, Manuscript, Department of Economics, University of Pennsylvania, 1995.

Crnkovic C., Drachman J., “Quality Control”, Risk, Vol. 9, No. 9, September 1996, pp. 138-42.

Dimson, E. and P. R.Marsh, “Capital Requirements for Securities Firms”, Journal of Finance, Vol. 50., No. 3, pp. 821-51.

Duffie, Darrell and Jun Pan, “An Overview of Value at Risk”, The Journal of Derivatives, Spring 1997, pp. 7-49.

Estrella, Arturo, Darryll Hendricks, John Kambhu, Soo Shin, and Stefan Walter, “The Price Risk of Options: Measurement and Capital Requirements”, FRBNY Quarterly Review, Summer-Fall1994, pp.27-43.

Fong, Gifford and Oldrich A. Vasicek, “A Multidimensional Framework for Risk Analysis”, Financial Analysts Journal, July/August 1997, pp. 51-57.

Grundy, Brauce D. and Zvi Wiener , “The Analysis of VAR , Deltas and State Prices: A New Approach”, 1996, Working Paper.

Guerra, Jose Ismael Gonzalez and Karl Peter Rubach Cata, “Market Risk Measurement in the Mexican Financial Market”, 1997, Working Paper.

Harvey, Campbell R., “The Real Term Structure and Consumption Growth,” Journal of Financial Economics 22(1988), pp. 305-33.

Hendricks, Darryll, “Evaluation of Value-at-Risk Models Using Historical Data”, FRBNY Economic Policy Review, 1996, pp. 39-70.

Jackson, P., Maude D. J. and W. Perraudin, “Bank Capital and Value at Risk”, The Journal of Derivatives 4/3, Spring 1997, pp. 73-90.

Jorion, Philippe, “Value at Risk: The New Benchmark for Controlling Market Risk”, IRWIN, 1997.

Linsmeier, Thomas J. and Neil D. Pearson, “Risk Measurement: An Introduction to Value at Risk”, 1996, Working Paper.

Lopez, J. A., “Regulatory Evaluation of Value-at-Risk Models”, Working Paper, September 1996.

Merton, R. C. and A. F. Perold, 1993, “Theory of Risk Capital in Financial Firms”, Journal of Applied Corporate Finance, Vol. 6, No.3, pp. 16-32.

Singh, Manoj K., “Value at Risk Using Principal Components Analysis”, The Journal of Portfolio Management, Fall 1997, pp.101-112.Advisor Pin-Huang Chou(周賓凰)

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