| 摘要(英) |
The paper focuses on two things：First, to compare conservation, accuracy, and efficiency of forecast performance of 5 VaR models：historical simulation method, Variance-Covariance method, Monte-Carlo simulation method(Multi-Normal), Monte-Carlo simulation method(Constant Conditional Correlation, CCC), and Monte-Carlo simulation method(Dynamic Conditional Correlation, DCC)；Second, use RAROC to compare stock portfolio performances simulated by different stop-loss methods, and so as foreign exchange portfolios and bond portfolios. Data are derived from Taiwan Economic Journal database, Gre-Tai Market (OTC), and Datastream database；sample period begins from 2001 to 2005.
Conservation, accuracy, and efficiency of five VaR methods perform differently form stock, foreign exchange, to bond portfolios. For stock portfolios, DCC method performs best in accuracy and efficiency. As for foreign exchange portfolios, historical simulation method stands out both in conservation and accuracy； however, variance-covariance method performs best in efficiency. As far as bond portfolios are concerned, Multi-Normal method performs best in conservation, accuracy, and efficiency, whereas forecasts of the other four methods tend to so conservative that number of these model’s exception are zero which may result form selection of sample period. In 2001, yield to maturity of 5 year government bond is around 5% which yield to maturity drops to 2% or so in 2004；nevertheless, yield to maturity of 5 year government bond fluctuates around 1.7%；Therefore, an extremely variable sample period would lead to overestimate variation of bond returns which result in model misspecification. Empirical evidence shows that the optimal VaR method differs from asset returns.
Concerning dynamic simulation portfolios, only stock portfolios have ever touched
hurdle rate and adjusted portfolio holdings. As for RAROC, portfolios observed weekly and hurdle rate is 20% performs best. For sensitivity analysis, CCC method and DCC method’s scores are highest and that means CCC method and DCC method whose capacity of covering loss better than the other three methods. |
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