Risk Capital and Foreign Indirect Investment: Theory and Evidence from Banks in Asia

國際間接投資與風險性資本的探討：理論模型與亞洲銀行的實証分析

10.6226/NTUMR.2015.Oct.GE.32

陳芬英(Fen-Ying Chen)

風險性資本 ； 國際投資組合 ； 匯率風險 ； risk capital ； international portfolios ； exchange rate risk

臺大管理論叢

25卷2期（2015 / 06 / 01）

53 - 82

英文

本文提出國際投資組合的VaR公式解，以利金融機構在國際間接投資中管理市場風險。本模型可視為Kupiec（1999）和Chen and Liao（2009）模型的一般式，其比Kupiec（1999）和Chen and Liao（2009）模型更適合目前國際投資的狀況。本文以日本、台灣、韓國的銀行為例，實證發現當銀行中的外國資產的投資權重越大，則以VaR模型衡量的風險性資產更接近實際的風險性資本，而且次級房貸發生後，本模型更能準確衡量三國金融機構的風險性資本。此外，我們也發現外國資產的投資權重與相對VaR存在先下降後上升的趨勢，因此本文續而最小化VaR求得國內外資產的最適配置比例。實證發現，在金融危機期間，銀行業者會減少國外資產的投資比例以最小化VaR，但在經濟狀況正常時，反而增加國外資產的比重。

This article presents an analytical value at risk (VaR) for financial institutions to manage the market risk of international portfolios in foreign indirect investment. The model incorporates the Kupiec's (1999) model and the Chen and Liao (2009) model, but it more appropriately fits the real world. Taking Japan, Taiwan, and Korea as examples, the empirical results showed that the increase in the weight of a financial institution's foreign assets strongly enabled its VaR capital allocation to be close to the actual capital. Additionally, the VaR capital bias and default probability bias trended to 1, implying that the VaR model accurately captured the actual risk capital for international portfolios over the subprime mortgage crisis. Alternatively, the relationship between the weights of foreign assets and the VaRs first decreased and then increased. Thus, the VaRs were minimized to obtain the optimal foreign and domestic weights. The empirical results illustrated that bank managers decreased the optimal proportions of foreign assets in Japan, Taiwan or Korea during the subprime crisis, while they increase the weights in a normal economy.

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