加密貨幣風險值與預期損失實證研究;non

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/96241

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/96241

Title:	加密貨幣風險值與預期損失實證研究;non
Authors:	吳宜哲;Wu, Yi-Che
Contributors:	財務金融學系在職專班
Keywords:	加密貨幣;比特幣;乙太幣;風險值;預期損失;Cryptocurrency;Bitcoin;Ethereum;Value at Risk;Expected Shortfall
Date:	2025-01-20
Issue Date:	2025-04-09 17:23:20 (UTC+8)
Publisher:	國立中央大學
Abstract:	儘管加密貨幣的波動性很大，但近年來受歡迎的程度卻逐年飆升，參與加密貨幣市場的投資者從早期的個人投資者逐漸擴大至機構投資人，然而加密貨幣價格的劇烈震盪，對於投資者的資產配置及風險管理顯然造成不小的影響。隨著加密貨幣市場日益擴大，市場參與者與日俱增，各國政府已不得不正視加密貨幣的存在，巴塞爾銀行監理委員會也於2022年發佈相關準則作為銀行風險控管之依據，因此，控管加密貨幣的投資風險至關重要。本文透過研究2018年到2022年共1825個交易日7檔流動性較佳且交易量較大的加密貨幣報酬率作為GARCH(1,1)模型的數據來源，估算特定信賴區間之風險值與預期損失。實證結果顯示在不同信賴水準下，VaR區間的擴張情形與歷史事件相符，表明VaR的估算確實能幫助投資者了解在特定條件下最大可能損失的範圍，而ES則可進一步告訴投資者一旦超出VaR，平均會有多少損失，進而幫助投資者優化投資組合、減少潛在損失，並提高整體投資決策的穩定性。;Despite the high volatility of cryptocurrencies, their popularity has soared year by year in recent years. Investors participating in the cryptocurrency market have gradually expanded from early individual investors to institutional investors. However, the sharp fluctuations in cryptocurrency prices have had a significant impact on investors. This obviously has a significant impact on investors′ asset allocation and risk management. As the cryptocurrency market continues to expand and the number of market participants increases, governments around the world have had to face up to the existence of cryptocurrencies. The Basel Committee on Banking Supervision also issued relevant guidelines in 2022 as the basis for bank risk control. Therefore, it is necessary to control cryptocurrencies. The investment risk is crucial. This paper studies the returns of 7 cryptocurrencies with good liquidity and large trading volume in 1825 trading days from 2018 to 2022 as the data source of the GARCH (1,1) model, and estimates the risk value and Expected losses. The empirical results show that under different confidence levels, the expansion of the VaR range is consistent with historical events, indicating that VaR estimation can indeed help investors understand the maximum possible loss range under specific conditions, and ES can further tell investors what will happen if VaR is exceeded. , how much loss there will be on average, thereby helping investors optimize their investment portfolios, reduce potential losses, and improve the stability of overall investment decisions.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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