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題名 The Risk Management in Currency Market: A Computational Application of CVaR Model
作者 陳威元
貢獻者 毛維凌
陳威元
關鍵詞 風險管理
貨幣市場
Risk Management
Currency Market
CVaR
VaR
ICC
日期 2004
上傳時間 6-May-2016 15:26:23 (UTC+8)
摘要 外匯資產組合的主要風險通常來自於：貨幣風險、市場風險、信用風險、流動性風險以及操作風險。貨幣風險指的是因為匯率波動所造成的資本市場損失。VaR是最常被用來衡量此種風險的指標。然而，由於VaR的某些特性，使得它在用來衡量資產組合風險時有許多限制。
      CVaR則是一較佳的衡量指標。它的好處在於它符合數學的性質。在本文中，我們利用兩階段求解的概念，這使得我們可輕易的將CVaR的概念作更多的延伸。我們導入ICC的概念來計算CVaR，這讓CVaR更為直覺，也因此更易使用。因此，只要確認損失來源，並將隨機變數帶入損失方程式，即可知道該資產組合所需承擔的風險。
      最後，我們利用這個模型，從央行的角度來討論台灣的外匯市場。我們利用CVaRMin來進行討論並歸納一些結論以供後續研究使用。
The main risk of a foreign asset portfolio usually comes from: currency risk, market risk, credit risk, liquidity risk, and operation risk. Currency risk is the risk of capital market losses as a consequence of fluctuations in exchange rate. VaR is the most frequently used concept for measuring market risk and recently is applied to currency risk. However VaR is somewhat restricted when it is used to measure the risk of a portfolio management.
      CVaR is an alternative. The superiority of CVaR lies in its accordance to mathematical properties. In this study, we apply the concept of two-stage recourse model intuition in management of risk and then easily extend the approach of CVaR. We introduce the ICC. This makes CVaR more straightforward. As long as one can identify the source of losses and substitute the random factors into shortage function, he can easily know the risk he will take.
      Finally we discuss Taiwan foreign exchange management from a view point of the Central Bank. We conduct this experiment by a solver called CVaRMin and summarize some points for further researches.
參考文獻 Anderson, F., Rosen, D., Mausser, H. and Uryasev, S. (1999), "Credit Risk Optimization with Conditioal Value-at-Risk Criterion.", Mathematical Programming Series B, 89(2), 273-291.
     Artzner, P., Eber, J.M., Delbaen, F. and Health, D. (1999), "Coherent Measures of Risk.", Mathematical Finance, 9, 203-228.
     Bay, A. K. and Mayer, J. (2005), "Computational Aspects of Minimizing Conditional Value-at-Risk", Tech. rep., Insitute for Operations Research,University of Zurich.
     Branson, W. H. and Katseli, L. (1981), "Currency Baskets and Real Effective Exchange Rates", NBER Working Paper, (666).
     Chang, R. and Velasco, A. (1997), "Financial Fragility and The Exchange Rate Regime", Federal Reserve Bank of Atlanta, Working
     Paper, 97, 6.
     Delaloye, V. and Porchet, A. (2004), Currency Overlay Management,Master`s thesis.
     Drijver, S.J., Klein Haneveld, W.K. and Van der Vlerk, M.H. (2002), "ALM Model for Pension funds: Numerical Results for a Prototype Model.", Research Report, SOM, University of Groningen, (02A).
     Dupacova, J. and Polivka, J. (2003)," Distress Testing for VaR and CVaR", Tech. rep., Dept. of probability and Math. Statistics, Charles University, Orague,Czech Republic.
     Flanders, M. J. and Helpman, E (1979), "An Optimal Exchange Rate
     Peg in A World of General Floating", The Review of Economic
     Studies, 46(3), 533-542.
     Friedman, M. (1953), "The Case for Flexible Exchange Rates", Essays in Positive Economics, 157-203.
     Gan, W.B. (1994), "Characterizing Real Exchange Rate Behaviro of
     Selected East Asian Economics", Journal of Economic Development, 19(2), 67-92.
     Han, Hsiang-Ling (2000), "Choice of Currency Basket Weights and Its Implications on Trade Balance", International Review of Economics and Finance, 9, 323-350.
     Henrard, M. (2002), Value-at-risk: The Delta Normal Approch, chap.6 : Currency Basket as Asset or Base Currency in Value-at-Risk Computation, In preparation.
     Jobst, N. and Zenios,S.A. (2001), "The Tail That Wags The Dog:
     Integrating Credit Risk in Asset Portfolios.", The Journal of Risk Finance, 3(1), 31-43.
     Jorion, P. (1996), "Risk2: Measuring The Risk in Value at Risk",
     Financial Analysts Journal, 52, 47-56.
     Kall, P. and Stein, W. W. (1994), Stochastic Programming, John Wiley and Sons, Chichester.
     Kaut, M. and Stein, W. W. (2003), "Stability Analysis of A Portolio Management Model Based on the Conditional Value-at-Risk
     Measure.", Tech. rep.
     Kenen, P. (1969), "The Theory of optimum currency areas: An Elective View.", In Mundell and Swoboda (Eds), 41-60.
     Klein Haneveld, W.K. and Van der Vlerk, M.H. (2002), "Integrated
     Chance Constraints:Reduced Forms and An Algorithm", SOM Research Report 02A33, University of Groningen.
     Krokhmal, Palmquist, J., P. and Uryasev, S. (2001), "Portfolio Optimization with Conditional Value at Risk Objective and Constraints", Tech. rep.
     Mackinnon, R.I. (1963), "Optimal Currency Area.", American Eco-
     nomic Riview, 53, 717-25.
     Mausser, H. and Rosen, D. (1998), "Beyond VaR: From Measuring
     Risk to Managing Risk.", Alog Research Quaterly, Vol.1, No. 2, 5-20.
     Mentink, A. (2004), "Conditionl Value at Risk Optimization of A
     Credit Bond Portfolio: A Practical Analysis", Erasmus University
     Rotterdam and AEGON Asset Management NL.
     Mundell, R.A. (1969), "Problems of The International Monetary System.", In Mundell and Swoboda (Eds), 21-38.
     Rockafellar, R.T. and Uryasev, S. (2000), "Optimization of Conditional Value-at-Risk.", The Journal of Risk, 2(3), 21-41.
     Rockafellar, R.T. and Uryasev, S. (2002), "Conditional Value-at-Risk for General Distributions",
     Journal of Banking and Finance, 26(7), this issue.
     Topaloglou,N., Vladimirou, H. and Zenios, S. A. (2002), "CVaR Models with Selective Hedging for International Asset Allocation", Journal of Banking and Finance, (26), 1535{1561.
描述 碩士
國立政治大學
經濟學系
92258005
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0922580051
資料類型 thesis
dc.contributor.advisor 毛維凌zh_TW
dc.contributor.author (Authors) 陳威元zh_TW
dc.creator (作者) 陳威元zh_TW
dc.date (日期) 2004en_US
dc.date.accessioned 6-May-2016 15:26:23 (UTC+8)-
dc.date.available 6-May-2016 15:26:23 (UTC+8)-
dc.date.issued (上傳時間) 6-May-2016 15:26:23 (UTC+8)-
dc.identifier (Other Identifiers) G0922580051en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94260-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 92258005zh_TW
dc.description.abstract (摘要) 外匯資產組合的主要風險通常來自於：貨幣風險、市場風險、信用風險、流動性風險以及操作風險。貨幣風險指的是因為匯率波動所造成的資本市場損失。VaR是最常被用來衡量此種風險的指標。然而，由於VaR的某些特性，使得它在用來衡量資產組合風險時有許多限制。
      CVaR則是一較佳的衡量指標。它的好處在於它符合數學的性質。在本文中，我們利用兩階段求解的概念，這使得我們可輕易的將CVaR的概念作更多的延伸。我們導入ICC的概念來計算CVaR，這讓CVaR更為直覺，也因此更易使用。因此，只要確認損失來源，並將隨機變數帶入損失方程式，即可知道該資產組合所需承擔的風險。
      最後，我們利用這個模型，從央行的角度來討論台灣的外匯市場。我們利用CVaRMin來進行討論並歸納一些結論以供後續研究使用。		zh_TW
dc.description.abstract (摘要) The main risk of a foreign asset portfolio usually comes from: currency risk, market risk, credit risk, liquidity risk, and operation risk. Currency risk is the risk of capital market losses as a consequence of fluctuations in exchange rate. VaR is the most frequently used concept for measuring market risk and recently is applied to currency risk. However VaR is somewhat restricted when it is used to measure the risk of a portfolio management.
      CVaR is an alternative. The superiority of CVaR lies in its accordance to mathematical properties. In this study, we apply the concept of two-stage recourse model intuition in management of risk and then easily extend the approach of CVaR. We introduce the ICC. This makes CVaR more straightforward. As long as one can identify the source of losses and substitute the random factors into shortage function, he can easily know the risk he will take.
      Finally we discuss Taiwan foreign exchange management from a view point of the Central Bank. We conduct this experiment by a solver called CVaRMin and summarize some points for further researches.		en_US
dc.description.tableofcontents 1 Introduction 4
     2 Literature Review 6
      2.1 Currency Overlay Management . . . . . . . . . . . . . . 6
      2.2 Conditional Value at Risk . . . . . . . . . . . . . . . 11
     3 Research Method 14
      3.1 The Denition of CVaR . . . . . . . . . . . . . . . . . 14
      3.2 Integrated Chance Constraints: An illustration . . . . 16
      3.3 CVaR and ICC . . . . . . . . . . . . . . . . . . . . . 19
     4 Empirical Analysis 22
      4.1 Algorithm for CVaRMin . . . . . . . . . . . . . . . . . 22
      4.2 Optimization of Portfolio Weights with CVaR Constraint 25
      4.2.1 Numerical Example 1: Bond Index . . . . . . . . . 26
      4.2.2 Numerical Example 2: Currency Overlay Management 29
      4.3 Criticism of SLP-IOR`s Approach . . . . . . . . . . . . 33
     5 Conclusions 35		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0922580051en_US
dc.subject (關鍵詞) 風險管理zh_TW
dc.subject (關鍵詞) 貨幣市場zh_TW
dc.subject (關鍵詞) Risk Managementen_US
dc.subject (關鍵詞) Currency Marketen_US
dc.subject (關鍵詞) CVaRen_US
dc.subject (關鍵詞) VaRen_US
dc.subject (關鍵詞) ICCen_US
dc.title (題名) The Risk Management in Currency Market: A Computational Application of CVaR Modelzh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Anderson, F., Rosen, D., Mausser, H. and Uryasev, S. (1999), "Credit Risk Optimization with Conditioal Value-at-Risk Criterion.", Mathematical Programming Series B, 89(2), 273-291.
     Artzner, P., Eber, J.M., Delbaen, F. and Health, D. (1999), "Coherent Measures of Risk.", Mathematical Finance, 9, 203-228.
     Bay, A. K. and Mayer, J. (2005), "Computational Aspects of Minimizing Conditional Value-at-Risk", Tech. rep., Insitute for Operations Research,University of Zurich.
     Branson, W. H. and Katseli, L. (1981), "Currency Baskets and Real Effective Exchange Rates", NBER Working Paper, (666).
     Chang, R. and Velasco, A. (1997), "Financial Fragility and The Exchange Rate Regime", Federal Reserve Bank of Atlanta, Working
     Paper, 97, 6.
     Delaloye, V. and Porchet, A. (2004), Currency Overlay Management,Master`s thesis.
     Drijver, S.J., Klein Haneveld, W.K. and Van der Vlerk, M.H. (2002), "ALM Model for Pension funds: Numerical Results for a Prototype Model.", Research Report, SOM, University of Groningen, (02A).
     Dupacova, J. and Polivka, J. (2003)," Distress Testing for VaR and CVaR", Tech. rep., Dept. of probability and Math. Statistics, Charles University, Orague,Czech Republic.
     Flanders, M. J. and Helpman, E (1979), "An Optimal Exchange Rate
     Peg in A World of General Floating", The Review of Economic
     Studies, 46(3), 533-542.
     Friedman, M. (1953), "The Case for Flexible Exchange Rates", Essays in Positive Economics, 157-203.
     Gan, W.B. (1994), "Characterizing Real Exchange Rate Behaviro of
     Selected East Asian Economics", Journal of Economic Development, 19(2), 67-92.
     Han, Hsiang-Ling (2000), "Choice of Currency Basket Weights and Its Implications on Trade Balance", International Review of Economics and Finance, 9, 323-350.
     Henrard, M. (2002), Value-at-risk: The Delta Normal Approch, chap.6 : Currency Basket as Asset or Base Currency in Value-at-Risk Computation, In preparation.
     Jobst, N. and Zenios,S.A. (2001), "The Tail That Wags The Dog:
     Integrating Credit Risk in Asset Portfolios.", The Journal of Risk Finance, 3(1), 31-43.
     Jorion, P. (1996), "Risk2: Measuring The Risk in Value at Risk",
     Financial Analysts Journal, 52, 47-56.
     Kall, P. and Stein, W. W. (1994), Stochastic Programming, John Wiley and Sons, Chichester.
     Kaut, M. and Stein, W. W. (2003), "Stability Analysis of A Portolio Management Model Based on the Conditional Value-at-Risk
     Measure.", Tech. rep.
     Kenen, P. (1969), "The Theory of optimum currency areas: An Elective View.", In Mundell and Swoboda (Eds), 41-60.
     Klein Haneveld, W.K. and Van der Vlerk, M.H. (2002), "Integrated
     Chance Constraints:Reduced Forms and An Algorithm", SOM Research Report 02A33, University of Groningen.
     Krokhmal, Palmquist, J., P. and Uryasev, S. (2001), "Portfolio Optimization with Conditional Value at Risk Objective and Constraints", Tech. rep.
     Mackinnon, R.I. (1963), "Optimal Currency Area.", American Eco-
     nomic Riview, 53, 717-25.
     Mausser, H. and Rosen, D. (1998), "Beyond VaR: From Measuring
     Risk to Managing Risk.", Alog Research Quaterly, Vol.1, No. 2, 5-20.
     Mentink, A. (2004), "Conditionl Value at Risk Optimization of A
     Credit Bond Portfolio: A Practical Analysis", Erasmus University
     Rotterdam and AEGON Asset Management NL.
     Mundell, R.A. (1969), "Problems of The International Monetary System.", In Mundell and Swoboda (Eds), 21-38.
     Rockafellar, R.T. and Uryasev, S. (2000), "Optimization of Conditional Value-at-Risk.", The Journal of Risk, 2(3), 21-41.
     Rockafellar, R.T. and Uryasev, S. (2002), "Conditional Value-at-Risk for General Distributions",
     Journal of Banking and Finance, 26(7), this issue.
     Topaloglou,N., Vladimirou, H. and Zenios, S. A. (2002), "CVaR Models with Selective Hedging for International Asset Allocation", Journal of Banking and Finance, (26), 1535{1561.		zh_TW