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Title: VaR-x在股票、外匯及投資組合之應用
Authors: 林志坤
Contributors: 沈中華
Keywords: 尾部指數
Date: 2005
Issue Date: 2009-09-14 13:39:49 (UTC+8)
Abstract: 風險值(Value at Risk, VaR)為衡量金融風險最重要之工具,而由於許多文獻皆實證指出金融資產報酬率為厚尾分配,導致傳統上假設報酬率為常態分配將會低估金融資產所面對之下方風險,因此須運用極值理論結合風險值估計來捕捉厚尾,提升風險值估計之準確性。
本研究使用簡單加權移動平均法下之Normal VaR模型與VaR-x模型,及在指數加權移動平均法下之EWMA VaR-x模型來估計股票、外匯及投資組合之風險值,並進行回顧測試及失敗率檢定以評估模型準確性,實證結果指出以VaR-x表現最佳,其模型失敗率皆無顯著異於理論失敗率。然而結果亦指出EWMA VaR-x之模型失敗率過低,可能存在高估風險值的問題,但若投資標的為較厚尾之金融資產時,其失敗率卻相當接近於理論失敗率。
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