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題名 市場風險值管理之應用分析以某金融控股公司為例
The analysis of Market Risk VaR management ：the case of financial holding company
作者 周士偉
Chou, Jacky
貢獻者 王儷玲
Wang, Jennifer
周士偉
Chou, Jacky
關鍵詞 市場風險
風險值
經濟價值
信託基金操作風險
風險因子
一般風險值
壓力風險值
條件風險值
增額風險值
邊際風險值
變異數-共變異數法
歷史模擬法
蒙地卡羅模擬法
隱含波動度
厚尾
順景氣循環
標準法
內部模型法
市場流動性風險
外生性市場流動性風險
內生性市場流動性風險
流動性調整後風險值
壓力測試
回溯測試
Market Risk
Value at Risk
Economic Value
Active Management VaR
Tracking Error
Risk Factor
Common VaR
Stressed VaR
Conditional VaR
Incremental VaR
Marginal VaR
Variance-Covariance Approach
Historical Simulation Approach
Monte Carlo Simulation Approach
Fat Tail
Time-Varying Volatility
pro-cyclical
Standardized Approach
Internal Models Approach
Implied Volatility
Generalized Error Distribution
Bernoulli trial test
Likelihood ratio test
Unconditional Coverage Test
Conditional Coverage Test
Backward Looking Model
Forward Looking Model
Forecasting VaR
Pearson Correlation
Cholesky decomposition
Kendall Correlation
Copula method
Future Volatility Disconnection
Market Liquidity Risk
Exogenous Market Liquidity Risk
Endogenous Market Liquidity Risk
Liquidity-adjusted VaR
Stress Test
Backtesting
Net Interest Income
Re-pricing Model
Maturity Model
Duration Model
日期 2011
上傳時間 30-Oct-2012 14:00:03 (UTC+8)
摘要 2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。\r\n\r\n個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。\r\n\r\n本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。
謝辭..............................................2\r\n摘要..............................................3\r\n圖目錄............................................4\r\n表目錄............................................5\r\n目錄..............................................6\r\n第一章 緒論........................................8\r\n第一節 研究背景與動機...............................8\r\n第二節 研究範圍與研究方法...........................10\r\n第二章 市場風險值要素分析與文獻探討..................15\r\n第一節 市場風險之概念介紹...........................15\r\n第二節 市場風險值技術類別之概念介紹..................17\r\n第三節 各風險值模型差異之介紹.......................20\r\n第四節 市場風險值相關文獻探討.......................23\r\n第三章 個案金控簡介與目前市場風險管理架構.............30\r\n第一節 個案金控簡介................................30\r\n第二節 個案金控市場風險管理政策......................31\r\n第三節 個案金控市場風險組織架構......................36\r\n第四節 個案金控市場風險值系統架構....................37\r\n第四章 個案金控市場風險值實證分析....................44\r\n第一節 Time-Varying Volatility問題與解決方式........44\r\n第二節 預估前瞻性風險值並與壓力測試結合之議題與解決方式.57\r\n第三節 市場流動性風險衡量議題與解決方式...............73\r\n第四節 相關係數異常衡量問題與解決方式.................87\r\n第五節 多層級及多維度風險值量化架構施行方式............95\r\n第六節 市場風險值應用範圍之討論......................102\r\n第五章 結論........................................111\r\n第一節 結論與建議...................................111\r\n第二節 研究貢獻.....................................114\r\n第三節 後續研究分析..................................115\r\n參考文獻............................................117
參考文獻 1.Anthony, Saunders; Marcia Millon Cornett 2011. Financial Institutions Management A Risk Management Approach. McGraw-Hill.\r\n2.Bank for International Settlements 1996. Supervisory framework for the use of \"Backtesting\" in conjuction with the internal model approach to to market risk capital requirements. Basel Committee on Banking Supervision.\r\n3.Bank for International Settlements 2004. Supervision.Principles for the Management and Supervision of Interest Rate Risk. Basel Committee on Banking\r\n4.Bank for International Settlements 2006. International Convergence of Capital Measurement and Capital Standards ( A Revised Framework Comprehensive Version). Basel Committee on Banking Supervision.\r\n5.Bank for International Settlements 2009. Revisions to the Basel II market risk framework. Basel Committee on Banking Supervision.\r\n6.Bank for International Settlements 2011. Messages from the academic literature on risk measurement for the trading book (Working Paper No. 19). Basel Committee on Banking Supervision.\r\n7.Beder, and Tanya Styblo 1995. VAR:Seductive but Dangerous. Financial Analysts Journal.\r\n8.Bervas, A 2006. Market liquidity and its incorporation into risk management. Banque de France Financial Stability Review.\r\n9.Chris Marshall and Michael Siegel 1997. Value at Risk：Implementing a Risk Measurement Standard. The Journal of Derivatives.\r\n10.Christoffersen,P. 1998. Evaluating Interval Forecast. International Economic Review\r\n11.Christoffersen,P. 2004. Backtesting Value-at-Risk: A Duration-Based Approach. Journal of Financial Econometrics\r\n12.Elroy Dimson and Paul Marsh 1997. Stress tests of capital requirements. The Journal of Banking and Finance.\r\n13.Fowler, Martin 2002. Patterns of Enterprise Application Architecture. Addison Wesley.\r\n14.Hendricks, and Darryll 1996. Evaluation of Value at Risk Models Using Historical Data. Federal Reserve Bank of New York Economic Policy Review.\r\n15.Jorion, Philippe 2005. Financial Risk Manager Handbook (3rd ed.). Wiley.\r\n16.Jorion, Philippe 2007. Value at Risk (3rd ed.). McGraw-Hill.\r\n17.Kupiec,Paul, 1995. Techniques for Verifying the Accuracy of Risk Measurement Models. Journal of Derivatives.\r\n18.Pritsker, M 2006. The hidden dangers of historical simulation. Journal of Banking and Finance\r\n19.Smith 2010. The level and quality of Value-at-Risk disclosure by commercial banks. Journal of Banking and Finance
描述 碩士
國立政治大學
經營管理碩士學程(EMBA)
99932057
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099932057
資料類型 thesis
dc.contributor.advisor 王儷玲zh_TW
dc.contributor.advisor Wang, Jenniferen_US
dc.contributor.author (Authors) 周士偉zh_TW
dc.contributor.author (Authors) Chou, Jackyen_US
dc.creator (作者) 周士偉zh_TW
dc.creator (作者) Chou, Jackyen_US
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 14:00:03 (UTC+8)-
dc.date.available 30-Oct-2012 14:00:03 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 14:00:03 (UTC+8)-
dc.identifier (Other Identifiers) G0099932057en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=62332-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經營管理碩士學程(EMBA)zh_TW
dc.description (描述) 99932057zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。\r\n\r\n個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。\r\n\r\n本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。zh_TW
dc.description.abstract (摘要) 謝辭..............................................2\r\n摘要..............................................3\r\n圖目錄............................................4\r\n表目錄............................................5\r\n目錄..............................................6\r\n第一章 緒論........................................8\r\n第一節 研究背景與動機...............................8\r\n第二節 研究範圍與研究方法...........................10\r\n第二章 市場風險值要素分析與文獻探討..................15\r\n第一節 市場風險之概念介紹...........................15\r\n第二節 市場風險值技術類別之概念介紹..................17\r\n第三節 各風險值模型差異之介紹.......................20\r\n第四節 市場風險值相關文獻探討.......................23\r\n第三章 個案金控簡介與目前市場風險管理架構.............30\r\n第一節 個案金控簡介................................30\r\n第二節 個案金控市場風險管理政策......................31\r\n第三節 個案金控市場風險組織架構......................36\r\n第四節 個案金控市場風險值系統架構....................37\r\n第四章 個案金控市場風險值實證分析....................44\r\n第一節 Time-Varying Volatility問題與解決方式........44\r\n第二節 預估前瞻性風險值並與壓力測試結合之議題與解決方式.57\r\n第三節 市場流動性風險衡量議題與解決方式...............73\r\n第四節 相關係數異常衡量問題與解決方式.................87\r\n第五節 多層級及多維度風險值量化架構施行方式............95\r\n第六節 市場風險值應用範圍之討論......................102\r\n第五章 結論........................................111\r\n第一節 結論與建議...................................111\r\n第二節 研究貢獻.....................................114\r\n第三節 後續研究分析..................................115\r\n參考文獻............................................117-
dc.description.tableofcontents 謝辭..............................................2\r\n摘要..............................................3\r\n圖目錄............................................4\r\n表目錄............................................5\r\n目錄..............................................6\r\n第一章 緒論........................................8\r\n第一節 研究背景與動機...............................8\r\n第二節 研究範圍與研究方法...........................10\r\n第二章 市場風險值要素分析與文獻探討..................15\r\n第一節 市場風險之概念介紹...........................15\r\n第二節 市場風險值技術類別之概念介紹..................17\r\n第三節 各風險值模型差異之介紹.......................20\r\n第四節 市場風險值相關文獻探討.......................23\r\n第三章 個案金控簡介與目前市場風險管理架構.............30\r\n第一節 個案金控簡介................................30\r\n第二節 個案金控市場風險管理政策......................31\r\n第三節 個案金控市場風險組織架構......................36\r\n第四節 個案金控市場風險值系統架構....................37\r\n第四章 個案金控市場風險值實證分析....................44\r\n第一節 Time-Varying Volatility問題與解決方式........44\r\n第二節 預估前瞻性風險值並與壓力測試結合之議題與解決方式.57\r\n第三節 市場流動性風險衡量議題與解決方式...............73\r\n第四節 相關係數異常衡量問題與解決方式.................87\r\n第五節 多層級及多維度風險值量化架構施行方式............95\r\n第六節 市場風險值應用範圍之討論......................102\r\n第五章 結論........................................111\r\n第一節 結論與建議...................................111\r\n第二節 研究貢獻.....................................114\r\n第三節 後續研究分析..................................115\r\n參考文獻............................................117zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099932057en_US
dc.subject (關鍵詞) 市場風險zh_TW
dc.subject (關鍵詞) 風險值zh_TW
dc.subject (關鍵詞) 經濟價值zh_TW
dc.subject (關鍵詞) 信託基金操作風險zh_TW
dc.subject (關鍵詞) 風險因子zh_TW
dc.subject (關鍵詞) 一般風險值zh_TW
dc.subject (關鍵詞) 壓力風險值zh_TW
dc.subject (關鍵詞) 條件風險值zh_TW
dc.subject (關鍵詞) 增額風險值zh_TW
dc.subject (關鍵詞) 邊際風險值zh_TW
dc.subject (關鍵詞) 變異數-共變異數法zh_TW
dc.subject (關鍵詞) 歷史模擬法zh_TW
dc.subject (關鍵詞) 蒙地卡羅模擬法zh_TW
dc.subject (關鍵詞) 隱含波動度zh_TW
dc.subject (關鍵詞) 厚尾zh_TW
dc.subject (關鍵詞) 順景氣循環zh_TW
dc.subject (關鍵詞) 標準法zh_TW
dc.subject (關鍵詞) 內部模型法zh_TW
dc.subject (關鍵詞) 市場流動性風險zh_TW
dc.subject (關鍵詞) 外生性市場流動性風險zh_TW
dc.subject (關鍵詞) 內生性市場流動性風險zh_TW
dc.subject (關鍵詞) 流動性調整後風險值zh_TW
dc.subject (關鍵詞) 壓力測試zh_TW
dc.subject (關鍵詞) 回溯測試zh_TW
dc.subject (關鍵詞) Market Risken_US
dc.subject (關鍵詞) Value at Risken_US
dc.subject (關鍵詞) Economic Valueen_US
dc.subject (關鍵詞) Active Management VaRen_US
dc.subject (關鍵詞) Tracking Erroren_US
dc.subject (關鍵詞) Risk Factoren_US
dc.subject (關鍵詞) Common VaRen_US
dc.subject (關鍵詞) Stressed VaRen_US
dc.subject (關鍵詞) Conditional VaRen_US
dc.subject (關鍵詞) Incremental VaRen_US
dc.subject (關鍵詞) Marginal VaRen_US
dc.subject (關鍵詞) Variance-Covariance Approachen_US
dc.subject (關鍵詞) Historical Simulation Approachen_US
dc.subject (關鍵詞) Monte Carlo Simulation Approachen_US
dc.subject (關鍵詞) Fat Tailen_US
dc.subject (關鍵詞) Time-Varying Volatilityen_US
dc.subject (關鍵詞) pro-cyclicalen_US
dc.subject (關鍵詞) Standardized Approachen_US
dc.subject (關鍵詞) Internal Models Approachen_US
dc.subject (關鍵詞) Implied Volatilityen_US
dc.subject (關鍵詞) Generalized Error Distributionen_US
dc.subject (關鍵詞) Bernoulli trial testen_US
dc.subject (關鍵詞) Likelihood ratio testen_US
dc.subject (關鍵詞) Unconditional Coverage Testen_US
dc.subject (關鍵詞) Conditional Coverage Testen_US
dc.subject (關鍵詞) Backward Looking Modelen_US
dc.subject (關鍵詞) Forward Looking Modelen_US
dc.subject (關鍵詞) Forecasting VaRen_US
dc.subject (關鍵詞) Pearson Correlationen_US
dc.subject (關鍵詞) Cholesky decompositionen_US
dc.subject (關鍵詞) Kendall Correlationen_US
dc.subject (關鍵詞) Copula methoden_US
dc.subject (關鍵詞) Future Volatility Disconnectionen_US
dc.subject (關鍵詞) Market Liquidity Risken_US
dc.subject (關鍵詞) Exogenous Market Liquidity Risken_US
dc.subject (關鍵詞) Endogenous Market Liquidity Risken_US
dc.subject (關鍵詞) Liquidity-adjusted VaRen_US
dc.subject (關鍵詞) Stress Testen_US
dc.subject (關鍵詞) Backtestingen_US
dc.subject (關鍵詞) Net Interest Incomeen_US
dc.subject (關鍵詞) Re-pricing Modelen_US
dc.subject (關鍵詞) Maturity Modelen_US
dc.subject (關鍵詞) Duration Modelen_US
dc.title (題名) 市場風險值管理之應用分析以某金融控股公司為例zh_TW
dc.title (題名) The analysis of Market Risk VaR management ：the case of financial holding companyen_US
dc.type (資料類型) thesisen
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