碩士 / 靜宜大學 / 會計學系 / 107 / This study used "Liquidity-adjusted VaR" (LVaR) to measure risk for 26 "Taiwanese companies listed overseas for direct listing". We then use "backtesting", and " Corporate Governance Evaluation " issued by the FSC as "stresstesting" indicators to assess the risk caculated. The empirical results show that: (1) By“traditional VaR and“LVaR”models, the“backtesting”shows only 1 company is consist with their theritical traditional VaR, but 25 companies are consist their theritical LaVaR. LaVaR model is more consist than traditional VaR in backtesting. (2) By regressive models, the stresstesting result show all “Corporate Governance Evaluation”could’nt affect the empirical result on all companies data. ( 3 ) The two risk models show the highest and lowest loss expected are “DELTA” and “CPT”, respectively.
| Identifer | oai:union.ndltd.org:TW/107PU000385002 |
| Date | January 2019 |
| Creators | HUANG, YI-HSUAN, 黃伊萱 |
| Contributors | TSAI, CHUI-CHUN, 蔡垂君 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 40 |
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