台灣F-股票「流動性調整風險值」、「回溯測試」與「壓力測試」之實證研究

An Investigation on Taiwan F-stock: Liquidity-Adjusted VaR, Back Test, and Stress Test

蔡垂君(Chui-Chun Tsai)；潘佳昀(Chia-Yun Pan)

台灣F-股票 ； 流動性調整風險值 ； 回溯測試 ； 壓力測試 ； F-stock ； LVaR ； Back Test ； Stress Test

東海管理評論

18卷1期（2016 / 07 / 01）

313 - 348

繁體中文

本研究運用「流動性調整風險值」（Liquidity-adjusted VaR, LVaR），針對23家「台灣F-股票」進行風險評估，同時以「回溯測試法」，以及金管會發布之「公司治理評鑑結果」作為「壓力測試」指標，檢測風險值之計算結果。實證結果發現：(1)透過「傳統風險值」實證模式估計，「回溯測試」顯示多數股票的投資損失與「傳統風險值」數值並不一致；而透過「流動性調整風險值」則顯示所有股票的投資損失金額與「流動性調整風險值」估計結果具有顯著一致性。(2)從「壓力測試」實證結果顯示，不論是「傳統風險值」或是「流動性調整風險值」，在公司治理評鑑結果公布當月，唯有「TPK」的當月風險值顯著高於平均表現。(3)由風險值數值估計結果可知，預期風險值金額最高的是「TPK」、最低者為「台南」。

This study applies liquidity-adjusted VaR (LVaR) to investigate the value at risk of twenty-three Taiwan Foreign Issuer Stocks (F-stock). We then build back test and stress test to check the model efficient. The empirical results are as follows: (1) To compare with two risk models according to the back test results, the real loss is substantially inconsistent on the VaR estimation, however, the real loss is consistent on LVaR estimation. (2) The empirical results of stress test indicate only ＂TPK＂ presents the VaR and LVaR in corporate governances announcement month are significantly larger than average VaR. (3) The two risk models show the highest and lowest loss expected are ＂TPK＂ and ＂Tainan＂, respectively.

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