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    Title: 尾端風險衡量指標:吸納比率在台股上的應用
    An Application of Tail Risk Measure Indicator: Absorption Ratio on TAIEX
    Authors: 游佳勲
    Contributors: 郭維裕
    游佳勲
    Keywords: 吸納比率
    系統風險
    風險衡量指標
    Date: 2015
    Issue Date: 2015-08-03 13:15:39 (UTC+8)
    Abstract:   金融市場愈來愈容易發生金融動盪,近年來最嚴重事件的像是全球金融危機,除了造成經濟層面的衝擊外,往往也造成投資人的重大虧損。有鑑於此,政府與投資人更加重視風險管理,若有一可預先衡量系統風險的指標,將能夠使投資人的損失降到最低,甚至能使投資人獲利。此外,政府亦能有效控管風險並預防金融動盪的發生,使金融市場穩定發展。

      本研究是利用主成分分析,並使用Kritzman, Li, Page and Rigobon(2010)提出吸納比率(absorption ratio, AR)去衡量系統風險。當吸納比率上升時,對應的是較高的系統風險,此時市場的壓力將會增加,因為隱含著風險的來源較一致。但這不代表必然會造成金融動盪,而是表示市場間的緊密連結的程度較高,當市場面臨衝擊時會較脆弱,導致風險傳遞的更快且更廣。

      本研究的實證是應用至台灣的股票市場,將吸納比率及其變動率與台股大盤月報酬率做比較,實證結果顯示當期吸納比率、當期及前一期的吸納比率之變動率與股票大盤月報酬率有顯著相關,意即在前一期時,吸納比率之變動率可做為下一期的預先風險衡量指標。此外,本篇於文末亦提出未來的研究方向,期望能將吸納比率應用至其他市場,例如債市與房市等,亦希望能夠將此應用至台灣股市的交易策略上,有效地降低投資人的損失並使金融市場發展得以更健全。
    Reference: Capuano, C., 2008, “The option-iPoD. The Probability of Default Implied by Option Prices Based on Entropy,” IMF Working Paper 08/194, International Monetary Fund.

    Gray, D., and A. Jobst, 2010, “Systemic CCA – A Model Approach to Systemic Risk,” working paper, International Monetary Fund, Paper presented at conference sponsored by the Deutsche Bundesbank and Technische Universitaet Dresden, 28-29 October 2010.

    Gray, D., and A. Jobst, 2011, “Systemic contingent claims analysis (Systemic CCA)—Estimating potential losses and implicit government guarantees to the financial sector,” Imf working paper, International Monetary Fund.

    Khandani, A. E., A. J. Kim, and A. W. Lo, 2010, “Consumer Credit Risk Models via
    Machine-Learning Algorithms,” Journal of Banking and Finance, 34(11), 2767–2787.

    Khandani, A. E., A. W. Lo, and R. C. Merton, 2009, “Systemic Risk and the Refinancing Ratchet Effect,” MIT Sloan School Working Paper 4750-09, MIT.

    Kritzman, M., and Y. Li, 2010, “Skulls, Financial Turbulence, and Risk Management,” Financial Analysts Journal, 66(5), 30–41.

    Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series.

    Segoviano, M. A., and C. Goodhart, 2009, “Banking stability measures,” Financial Markets Group, Discussion paper 627, London School of Economics and Political Science.

    陳怡君,民國一零零年七月,「CoVaR風險值對金融機構風險值管理之重要性-以台灣控股公司為例」,政治大學金融研究所碩士班論文。

    藍婉如,民國一零一年六月,「CoVaR在資產配置下之應用」,政治大學金融研究所碩士班論文。
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    102351008
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102351008
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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