Title page for 944308004


[Back to Results | New Search]

Student Number 944308004
Author Chi-Ming Ma(馬其明)
Author's Email Address No Public.
Statistics This thesis had been viewed 2567 times. Download 0 times.
Department Executive Master of Finance Management
Year 2006
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title Study on the Measurement of Foreign Exchange Risk:
VaR Measurement and Back-testing on New Taiwan Dollar,Japanese Yen,British Pound and Euro
Date of Defense 2007-07-07
Page Count 50
Keyword
  • Exchange rate risk
  • Foreign exchange market
  • Value at Risk
  • Abstract This thesis is focusing on the study of measurement of VaR in the foreign exchange(FX)market. We use four different VaR evaluation models to measure the VaR, and then use three different back-testing methods to verify which the relatively best model will apply for in different FX markets with respective confidence level and window length. 
    We conclude this study as listed below:  
    First, Generally, the EWMA method and MA method are relatively better methods than historical simulation method and monte carlo simulation method, except for the USD against TWD fx market.
    Second, For the EWMA method, it usually performs well for the VaR measurement in the mid-term(150 days)and long-term(250 days)FX markets, due to the presuming that the nearer and farther data in history use different parameter λ, the smaller λ represents coverage of more latest data. We use 0.94 as λ in this study.
    Third, for the historical simulation method, the FX risk will be devaluated or over-valuated in the extreme situations. This is because the outcome of the study depends on what the sampling of the historical data we take. In the section 2 of the chapter 3 in this thesis, we have mentioned two methods to make up or minimize the differences in measuing VaR, those are EWMA method and Bootstrapping method.
    Fourth, For the monte carlo simulation method, the more times we simulate, the more extreme situations will be considered. In this study, we find that the results are very close to MA in JPY, GBP and EUR FX markets. On the other hand, it is very close to EWMA in the USD against TWD fx market .
    Table of Content 中文摘要............................................................................................................................ i
    英文摘要...........................................................................................................................ii
    目錄.................................................................................................................................iii
    圖目錄.............................................................................................................................. iv
    表目錄..............................................................................................................................vi
    一、緒論........................................................................................................................... 1
    1-1 研究背景......................................................................................................... 1
    1-2 研究動機......................................................................................................... 1
    1-3 研究目的......................................................................................................... 3
    1-4 研究架構與流程............................................................................................. 5
    1-4-1 研究架構............................................................................................... 5
    1-4-2 研究流程............................................................................................... 6
    二、文獻回顧................................................................................................................... 7
    2-1 風險值之定義................................................................................................. 7
    2-2 風險值之衡量方法......................................................................................... 8
    2-3 國內外文獻之探討......................................................................................... 8
    2-3-1 國內文獻............................................................................................... 8
    2-3-2 國外文獻............................................................................................. 10
    三、研究方法................................................................................................................. 12
    3-1 變異數-共變異數法..................................................................................... 12
    3-2 歷史模擬法(Historical Simulation Methods)..................................... 14
    3-3 蒙地卡羅模擬法(Monte Carlo Simulation Methods)........................... 15
    3-4 回溯測試....................................................................................................... 17
    四、實證結果................................................................................................................. 19
    4-1 資料來源與說明........................................................................................... 19
    4-2 台幣匯率之實證結果................................................................................... 20
    4-3 日幣匯率之實證結果................................................................................... 26
    4-4 英鎊匯率之實證結果................................................................................... 32
    4-5 歐元匯率之實證結果................................................................................... 38
    五、結論與建議............................................................................................................. 46
    5-1 研究結論....................................................................................................... 46
    5-2 研究建議....................................................................................................... 46
    參考文獻......................................................................................................................... 48
    Reference 國內文獻:
    [1] 王俊懿(2000),「金融組合風險值之研究」,國立臺灣大學國際企業研究所,碩士論文。
    [2] 何中達編譯(2005),國際財務管理(Multinational Business Finance)- David K. Eiteman, Arthur I. Stonehill and Michael H. Moffet原著,初版,
    台北:學富, PP. 155-155
    [3] 宋文仁(1996)「投資組合之關聯度分析與使用 Value-at-Risk 模型衡量其市場風險」,中原大學企業管理研究所,碩士論文。
    [4] 李進生、謝文良、林允永、蔣沼坪、陳達新、盧陽正(2001),風險管理-風險值(VaR)理論與應用,新竹:清蔚科技, PP. 4-3、7-16
    [5] 周忠賢(2000)「風險值衡量方法的比較-匯率之實證研究」,輔仁大學金融研究所,碩士論文。
    [6] 陳木在、陳錦村(2001),商業銀行風險管理,一版,台北:新陸 PP. 40-41、55-56
    [7] 陳佩鈴(2002)「匯率條件風險值之估計與比較」,中原大學國際貿易研究所,碩士論文。
    [8] 陳達新、周恆志(2006),財務風險管理-工具、衡量與未來發展,初版,
    台北:雙葉, PP.138-212
    [9] 彭華櫻(2003),「風險值的衡量與驗證-匯率的實證研究」,淡江大學財務金融研究所,碩士論文。
    [10] 黃冠瑋(1999),「結合蒙地卡羅模擬法與波動性模型之涉險值分析」,淡江大學財務金融研究所,碩士論文。
    [11] 黃達業、張容容譯(2005),風險值(Value at Risk)-金融風險管理的新基準,增修訂二版,台北:台灣金融研訓院,Philippe Jorion原著,PP.4-10、21-27、32-47、103-140、177-245

    國外文獻:
    [1] Alexander, C. and C. Leigh, (1997), “On the Covariance Matrices Used in VaR Models”, Journal of Derivatives, pp.50-62,
    [2] Beder, T. S. (1995), “VaR:Seductive but Dangerous” ,Financial Analysts Journal, Vol. 51, (September-October), pp. 12-24.
    [3] Bollerslev, T., (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, pp.307-327.
    [4] Marrison ,Chris (2002), The Fundamentals of Risk Measurement, McGraw Hill, pp. 96-160
    [5] Danielsson, J. and C. G. de Vries, (2000), “Value-at-Risk and Extreme Returns”, London School of Economics, Financial Markets Group Discussion Paper, no.273.
    [6] Engle, R. F. and S. Manganelli (1999), “CAViaR:Conditonal Autoregressive Value at Risk by Regression Quantiles”, Manuscript, University of California, San Diego.
    [7] Engle, R. F., (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U. K. Inflation”, Econometrica, Vol. 50, pp. 87-108.
    [8] Grabbe, O. J. (1991), International Financial Markets, 2nd Edition. Chapter 1. Elsevier, New York
    [9] Hendricks, D. (1996) , “Evaluation of Value-at-risk Models Using Historical Data”,Economic Policy Review, Federal Reserve Bank of New York, Vol. 2, pp. 39-69.
    [10] Hopper, G. P. (1996) , “Value at risk:A New Methodology for Measuring Portfolio Risk”, Business Review, Federal Reserve Bank of Philadelphia, July, pp.19-31.
    [11] Hull, J. and A. White (1998), “Incorporating Volatility Updating into the Historical Simulation Method for Value-at-Risk” , Journal of Risk , Fall, University of Toronto, pp. 5-19.
    [12] J. P. Morgan, (1996), RiskMetrics-Technical Document, Fourth Edition.
    [13] Jorge, M. and Xiao, Jerry Yi(2001), “Return to RiskMetrics:The Evolution of a Standard” ,New York , NY:RiskMetrics.
    [14] Jorion ,Philippe, (1997a) ,“Value at Risk-The New Benchmark for Controlling Market Risk”, Irwin Professional, Illinois
    [15] Jorion ,Philippe, (1997b), “Risk2:Measuring the Risk in Value at Risk”,Financial Analysts Journal , pp.47-56, November .
    [16] Jorion ,Philippe(2000), Value at Risk:The New Benchmark for Controlling Market Risk, McGraw-Hill, New York.
    [17] Jorion, Philippe(1996), “Risk:measuring the risk in Value at Risk” Financial Analysts Journal 52, November, pp. 47-56
    [18] Khindanova, I., S. Rachev and E. Schwartz(2001), “Stable Modeling of Value at Risk”, Mathematical and Computer Modeling, 34 (2001), pp. 1223-1259.
    [19] Kupiec, P. H, (1995), “ Techniques for Verifying The Accuracy of Risk Measurement Model”, The Journal of Derivatives , Vol. 2, pp. 73-84.
    [20] Venkataraman, S., (1997), “ Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques”, Economic Perspectives, Federal Reserve Bank of Chicago, Vol. 21, No. 2, (March-April), pp. 2-13.
    Advisor
  • Chuan-Chang Chang(張傳章)
  • Files
  • 944308004.pdf
  • disapprove authorization
    Date of Submission 2007-07-17

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have dissertation-related questions, please contact with the NCU library extension service section.
    Our service phone is (03)422-7151 Ext. 57407,E-mail is also welcomed.