碩士 / 淡江大學 / 財務金融學系碩士在職專班 / 92 / Having tremendous fund size, long-term liability, the Taiwan’s life insurance companies are turning their investment from local market to overseas, as governor gradually loosen control on foreign investment limit with a un-favor globally historical low interest rate. Although a higher return from the foreign assets than local, facing a fluctuated market price of equities, interest and foreign exchange rate, the capital for risk affordability became a key point of funds allocation of the insurance companies. As the Basel committee recommended using VaR to measure market risk in April of 1993, most insurance companies in developed countries had developed a Risk-Based Capital system with more flexibility, and accurate reflection of risks from all of aspects.
This paper used VaR concept, by using Variance-covariance Method, Historical Simulation Method, and Monte Carlo Simulation Method to evaluated, compared and made empirical analysis of VaR on each asset in portfolios of Taiwan insurance companies.
This paper found:
1) In order to avoid wrong evaluation and under value the possibility of lost, it must employ different models and various methods to counter check the effectives of the VaR.
2) A tragic discounted on profitability from a wrong investment portfolio and strategies, a result from a mistaken VaR limit setting. Therefore, it should establish a well operational method and data collection that can effectively calculate VaR on risk control.
Expect those complicated calculations and tests; using VaR to control risk is very effective. The most important is a better risk control method by using of a correct VaR.
| Identifer | oai:union.ndltd.org:TW/092TKU01304002 |
| Date | January 2004 |
| Creators | Chu Shang-Pin, 朱祥彬 |
| Contributors | Lin Gin-Chung, 林景春 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 56 |
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