AV-GARCHM模型於金融控股公司市場風險值之研究
AV-GARCHM Model in Value-at-Risk of Financial Holdings
Date Issued
2006
Date
2006
Author(s)
Chen, Hai-Lan
DOI
en-US
Abstract
In this paper, we employ the AV-GARCHM model with various mean equations to evaluate their performance as VaR forecast models. We form two simulated portfolios, and calculate their daily profit and loss based on marking to market rule. Forward testing of one-day-head VaR models under 99% and 95% confidence level is evaluated with realized P&L of two simulated portfolios. Based on the consideration of violation number and capital charge efficiency, we have the following findings:
1. All of the four models generate only 1 violation number under 99% confidence level and 2 violations in portfolio A and 1 violations in portfolio B under 95% confidence level.
2. AV-GARCHM model considers both shift and rotation effect to news shock. Theoretically, we assume it should be better than EGARCHM model and NA-GARCHM model. However, except ARMA (1, 1) model, all rest models perform equally better in terms of violation number in both portfolio A and portfolio B. Thus, we cannot say that AV-GARCHM model is absolutely better than EGARCHM model or NA-GARCHM model.
Subjects
市場風險值
金融控股公司VaR
巴塞爾協定
AVGARCH
VaR
Violation Number
Basel
Type
thesis
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