碩士 / 東吳大學 / 財務工程與精算數學系 / 102 / This study investigate the effects of the "Encourage Offshore Fund Plan" to the estimation of Value-at-Risk (VaR) for offshore funds and overseas funds. The types of funds are classified into equity funds, high yield bond funds and fixed-income funds three kinds. We use historical simulation and variance-covariance approach as the estimation method. Then, back-testing is used to verify the estimation model. The empirical results show that, after the implementation of the plan, the decreased VaR of offshore funds is greater than overseas funds, and the VaR of equity funds has higher impact. Finally, we found that the result of back-testing of the historical simulation method outperformed the approach of variance-covariance.
| Identifer | oai:union.ndltd.org:TW/102SCU00314005 |
| Date | January 2014 |
| Creators | Yi-Shuan Chen, 陳怡璇 |
| Contributors | Ming-Chin Hung, 洪明欽 |
| 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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