Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/20615
標題: 台灣主要的外幣匯率風險評估-DSFM模型之應用
The Evaluation of Exchange Rate Risk of Main Foreign Currencies in Taiwan-An Application of DSFM Model
作者: 許書維
Hsu, Shu-Wei
關鍵字: Invariant Currency Value Index (ICVI)
不變貨幣價值指數
Dynamic Single Factor Model (DSFM)
Value at Risk (VaR)
Expected Tail Loss (ETL)
Full Valuation Method
動態單一因素模型
風險值
期望尾端損失值
全面風險評價法
出版社: 企業管理學系所
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摘要: This research evaluate the main currency exchange rate risk of Taiwan using exchange rates between Taiwan and main trading counterparties. The base currency of exchange rates were transformed from USD into NTD and ICVI, then using ARCH model, full valuation methods and backtesting to evaluate VaR and ETL. The value of VaR were adjusted according to the capital multipliers announced by 1996 Basel Accord. Our research is concluded as follows: 1.According to the bilateral trading amount, the impotent currencies are CNY and YEN. According to the cumulative dynamic multipliers, the important currencies are USD and HKD. 2.When using NTD as base currency, through backtesting procedures the optimal full valuation VaR method of CNY and HKD is Bootstrap VaR approach, the optimal full valuation VaR method of JPY is Historical simulation VaR approach, the optimal full valuation VaR method of USD is Monte Carlo simulation VaR approach. When using ICVI as base currency, through backtesting procedure the optimal full valuation VaR method of CNY, HKD and USD is Bootstrap VaR approach, the optimal full valuation VaR method of JPY is Historical simulation VaR approach. 3.The full valuation VaR methods of two DSFM indices generate from exchange rates using NTD and ICVI as base currency, are both Bootstrap VaR approach, and their VaR and ETL are significant low than other four main currencies. 4.Using NTD as base currency, according to the adjusted VaR, the order from low to high of four main currencies is HKD, USD, CNY and JPY; according to the ETL, the order from low to high of four main currencies is CNY, HKD, USD and JPY. 5.Using ICVI as base currency, according to the adjusted VaR, the order from low to high of four main currencies is CNY, JPY, HKD and USD; according to the ETL, the order from low to high of four main currencies is CNY, JPY, HKD and USD.
本研究以台灣主要貿易對手國之匯率資料,評估台灣主要外幣匯率之風險。分別採用以新台幣為計價基礎以及ICVI為計價基礎之外幣匯率報酬率資料,經由ARCH模型及風險的全面評價法,再以回溯測試選出最適的風險全面評價法,來推估VaR以及ETL。其中VaR以巴賽爾協定於1996年公佈燈區尺規與資本調整乘數得出調整後VaR。本研究之重要結論如下: 一、以雙邊貿易量大小為標準,選出兩種主要外幣為人民幣及日圓;根據動態單一因素模型之累積動態乘數找出兩種主要外幣為美金及港幣。 二、以新台幣計價的外幣匯率,經回溯測試後,人民幣及港幣的最適風險全面評價法均為拔靴法,日圓的最適風險全面評價法為歷史模擬法,美金的最適風險全面評價法則為蒙地卡羅法;以ICVI 計價的外幣匯率中,經回溯測試後,人民幣、港幣及美金的最適風險全面評價法均為拔靴法,日圓的最適風險全面評價法則為歷史模擬法。 三、無論就新台幣計價及以ICVI計價之外幣匯率,所建構的動態單一因素指數之最適風險全面評價模型為拔靴法,且其VaR與ETL明顯低於台灣四種主要外幣之VaR及ETL。 四、以新台幣計價的台灣四種主要外幣匯率,根據調整後之VaR,由小到大排序為港幣、美金、人民幣、日圓;就台灣四種主要外幣的ETL而言,由小到大之排序為人民幣、港幣、美金、日圓。 五、以ICVI 計價的台灣四種主要外幣匯率,根據調整後之VaR,由小到大排序為人民幣、日圓、港幣、美金;就台灣四種主要外幣的ETL而言,由小到大排序為人民幣、日圓、港幣以及美金。
URI: http://hdl.handle.net/11455/20615
其他識別: U0005-3006200618211100
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-3006200618211100
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