| dc.description.abstract | As international financial transaction being frequent day by day, the domestic financial environment moves towards liberalization and internationalization and develops too, the speed and scale that the fund flows grow up day by day, the degree grow with each passing day to make the prices of different financial goods fluctuate, field participant faced risk more and more obvious, so how evade various kinds of financial goods measurement of risk and manage,will be important subject that must understand for the financial field participant in depth.
The fixed income market generally utilizes the Duration、DV01、PVBP and Value at Risk (VaR ) ,etc., to assess fixed income security, the regular fixed income security that the financial institution holds, do not often include the other regular fixed income security of the same period , different regular fixed income security each have their different storing while continuing, the fluctuation of a interest rate each has its different influence in storing the regular fixed income security price while continuing differently, longer regular influence degree of receiving the interest rate fluctuation of fixed income security is relatively great to exist while continuing, in other words , it is to weigh the index that a interest rate fluctuates to regular fixed income security value influence degree to Duration, the holder can utilize price sensitivity changing and storing and adjusting its investment combination and fluctuating to the interest rate Volatility. As for regard Value at Risk (VaR ) as risk accuse of index that in charge of , a already competent one abroad have annual, domestic in recent years except that more professional scientific paper is studied to some extent, every financial institution is also putting into the construction of the model and studying actively, this research is to probe into the use in regular fixed income security risk management of Value at Risk (VaR ), a real example target during October of 1994 according to January of 1993, is it count to make a variation with comparative analysis - is it count to make a Variance-Conariance Model、Historical Simulation Model and Monte Carlo Simulation Model is it is it examine Value at Risk (VaR ) to estimate to come.
This research carries on the real example to Government Bond、Corporate Bond、Financial Bond and Commercial Paper in the regular income securities field of Taiwan, get the following conclusions:
Make use of risk value model not needed to weigh its risk of investment combination of simulation at first, three kinds of estimation methods prove in real example result that the time limit that the regular fixed income security market risk and regular fixed income security expire has positive correlation, its risk of fixed income security with longer maturity and regular is relatively high.Then withdraw the volume of the capital to compare with the idea of the standardized measurement method , the real example result is in conformity with result of study of real example both at home and abroad, namely the capital weighed in order to use three kinds of internal model counts the volume of proposing and higher than the capital under the standardized measurement method and counts the volume of proposing .
And then count the performance of withdrawing volume and carrying on the Risk-Adjusted Return On Captial (RAROC ) to assess and analyse with the above-mentioned capital, the real example result shows that if acts as the financial surplus of one to comes higher than other periods, if its corresponding capital counts the volume of proposing also relative when being high, the behavior of its Risk-Adjusted Return On Captial (RAROC ) may not be best. And in order to store PVBP、Duration、and VaR-Limit of investment profolio ,etc., in order to the figure estimated and examined of investment profolio that is imitated , carry on Value at Risk (VaR ) and accuse of the real example result analysis in charge of the mechanism.
Value at Risk (VaR ) really contributes to the accusing of being in charge of of the risk, but the calculation because of Value at Risk (VaR ), risk just accuse of one important link that in charge of, light calculate out Value at Risk (VaR ) enough just, the more important thing is how to use Value at Risk (VaR ) to manage risk well. | en_US |