题名

三種修正歷史模擬法估計風險值模型之比較

并列篇名

A Comparison of Three Revised Historical Simulation Methods for Estimating VaR

DOI

10.30003/JRM.200507.0004

作者

林楚雄(Chu-Hsiung Lin)；張簡彰程(Chang-Cheng Chang Chien)；謝景成(Ching-Cheng Hsieh)

关键词

風險值 ； 歷史模擬法 ； 回溯測試 ； Value-at-Risk ； Historical Simulation Method ； Backtesting

期刊名称

風險管理學報

卷期/出版年月

7卷2期（2005 / 07 / 01）

页次

183 - 201

内容语文

繁體中文
中文摘要

本文比較目前文獻所提出的三種修正歷史模擬法估計風險值（Value at Risk, VaR）的模型，分析在3種信賴水準（99.5%，99%，95%）與3種評估原則（保守性、正確性以及效率性）下的績效，提供使用者可以根據自身的偏好與需求，選擇較佳的風險值預測模型。本研究以5種股價指數與5種匯率為研究對象，收集1990年1月1日至2001年12月31日共12年的日資料進行模型的比較。實證研究顯示若以巴賽爾銀行監理委員會規定內部模型之正確性評估準則，Hull與White（1998）的方法相較於Hybrid方法、FHS方法以及歷史模擬法的估計為佳。而在保守性與效率性（股價資料為標的物），Hull與White（1998）的方法依然表現最佳。
英文摘要

This study compares three revised historical simulation methods, Boudoukh, Richardson and Whitelaw's (1998) hybrid method, Filtered Historical Simulation method proposed by Barone-Adesi, Giannopoulos, and Vosper (1999), and Hull and White's (1998) method, for estimating Value-at-Risk. Using 11 years of 5 daily stock prices and 5 foreign exchange rates, the empirical results show that Hull and White's (1998) method is a substantial improvement for three confidence levels, based on analysis of conservative, accuracy and efficiency.
主题分类 社會科學 > 經濟學
社會科學 > 管理學
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