碩士 / 國立交通大學 / 管理學院財務金融學程 / 100 / Since 1990 years, as United States California Orange County (Orange County) event, and United Kingdom Baring Bank (Baring Bank) event, and Germany metal industrial company (Metallgesellschaft), and Japan Daiwa Bank (Daiwa Bank) event and the United States long-term capital management Fund (Long Term Capital Management Fund), major financial event and recently of financial tsunami, effect global national as Iceland, and Western Europe three nationals and the international financial institutions collapse as Thunder Mann and the Government aid as Citi, and Goldman, and Merrill Lynch, At this point the Chinese mainland's rapid rise, occupies a pivotal position in the global economy, global has been in gradual recovery after the financial tsunami, European debt crisis, global foreign exchange markets is rough, so appropriate of quantitative risk is management risk of important work.
Modern of financial financial literature, scholars Morgan (1976), and Engle (1982), and Bollerslev (1986), and Engle and Manganelli (2000) General agree fluctuations sexual changes has due to every now and then different and has clustering of characteristics, so this research using most can depicting self related conditions different mass variation of GARCH communities model including AR (1)-GARCH model, and AR (1)-GARCH-M model and AR (1)-EGARCH model for stock reward rate of risk value estimated. As regards choice of the sample, because this research is the use of scroll programs (rolling) method to estimate a value-at-risk, observation on the financial fluctuations in exchange rates before and after the tsunami, against higher-yielding currencies -( AUD, NZD, ZAR) , the main trading currencies -( EUR, GBP, JPY ) And the ASIAN currencies -( EUR, GBP, JPY ) New Taiwan dollar, Renminbi, and Singapore currency exchange rate Sample observations, so as to observe Observation before and after the financial tsunami Performance results for value-at-risk models , And finally to cross examination of the model which is more accurate, conservative or efficiency.
Use scroll programs (rolling) method to predict the value-at-risk, and found Research and utilization of this rolling program (rolling) method to predict the value-at-risk, results found for Before and after the financial crisis window of length, , and can't get it to move the window to the estimated coefficients are in compliance with the parameter constraints, and the part of currency rates calculation of value-at-risk losing effectiveness, and value-at-risk model in the same terms of conservative or efficiency, After the financial crisis before the financial tsunami is conservative, and on the efficiency of the financial tsunami in efficiency before and after difference is not obvious.
In addition, the study also found that when using the GARCH models estimated value-at-risk, the mean side program introduced a "risk premium", or variance procedures take the natural logarithm of form, are unable to improve the performance of value-at-risk models.
| Identifer | oai:union.ndltd.org:TW/100NCTU5303005 |
| Date | January 2011 |
| Creators | Liu, Shin-Hsien, 劉士賢 |
| Contributors | Chung, Huimin, 鍾惠民 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 80 |
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