以主成份分析方法計算台灣利率期限結構的風險值

Using Principal Components Analysis to Find the VaR about the Term Structure of Interest Rates in Taiwan

10.6295/TAMJ.2002.0102.05

葉仕國(Shih-Kuo Yeh)；林丙輝(Bing-Huei Lin)

風險值 ； 情境模擬法 ； 利率期限結構 ； 共整合 ； 主成份分析 ； value at risk ； scenario method ； term structure of interest rates ； cointegration ； principal components analysis

台灣管理學刊

1卷2期（2002 / 03 / 01）

275 - 288

繁體中文

本研究嘗試應用主成份分析方法來計算與台灣利率期限結構相關之投資組合的風險值。在進行風險值的探討之前，本研究先探討台灣利率期限結構共整合與共同趨勢的存在情形，結果發現台灣利率期限結構與許多國外市場一樣存在著三個共同趨勢，但透過主成份分析發現第一個成分與國外大多數研究所認定的平行移動因素並不盡相同。最後，本研究依Frye (1997)之方法將主成分份析結果與情境模擬方法結合，作為探討與台灣利率期限結構相關之風險值的主要研究方式。結果發現，只要利用主成份分析所得之三個因素，便可解釋大部份樣本期間國內整條殖利率曲線之整體風險變動情況。

In this thesis, we use principal components analysis to calculate the VaR of portfolios related with the term structure of interest rates in Taiwan. Prior to assessing the VaR, we investigate whether cointegration exists in the term structure of interest rates in Taiwan. Then we try to find out the number of common trends. The empirical results show that there are three common trends existing in the yield curve of Taiwan. However, the first principal component seems different than the parallel shift factor of the yield curve usually found in foreign studies. Finally, we try to implement a simulation by using the scenario method adopted by Frye (1997), and the results show that the majority of variations reflected in the whole yield curve of Taiwan can be explained by the three principal components we derived.

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