Title page for etd-0614100-231455


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URN etd-0614100-231455
Author Kuan-Hua Huang
Author's Email Address No Public.
Statistics This thesis had been viewed 4601 times. Download 1396 times.
Department Finance
Year 1999
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Early Warning System for the Stock Positions of Securities Firms---Based on VaR
Date of Defense 2000-06-03
Page Count 90
Keyword
  • securities firms
  • value at risk
  • early warning system
  • stock positions
  • Abstract In recent year, the securities firms had suffered form the turmoil of the financial crisis in Taiwan. Although the Taiwan Stock Exchange Corporation and the Securities and Futures Commission have their own early warning systems (EWS), the EWS based on financial statements and the "capital adequacy ratio", respectively for the risks that the brokers and dealers assume, still have some defects: (1) EWS based on financial statements are static and time-lagged in the rapid-moving market, and (2) the calculation rules in the capital adequacy ratio are inelastic and inefficient.
    This research emphasizes on the stock positions of the dealers, and calculate the "Value at Risk" (VaR) for these positions. In this way, we hope to know whether the EWS based on VaR can detect the risks of the dealers in time, and improve the drawbacks of the EWS based on financial statements and capital adequacy ratio.
    We found that: (1) the EWS based on VaR can effectively reflect the market risk of the dealers, and (2) the "historical simulation" method might distort the real portfolio risk, thus we suggest that "delta-normal" is a better method, and (3) the EWS based on VaR can discriminate the risk level of different securities dealers.
    In conclusion, we have the suggestion of the EWS for securities firms in the future. For firm-wide operation, the EWS based on financial statements is suitable; for the credit risks the securities firms may assume, the capital adequacy ratio is better; as for the market risk of the positions, VaR, undoubtedly, is a good alternative.
    Advisory Committee
  • Yo-Heng Lo - chair
  • Jay-Cheng Lu - advisor
  • Jen-Jsung Huang - advisor
  • Files
  • 證券商自營股票部位之風險預警系統---以VaR(風險值)為基礎.pdf
  • indicate access worldwide
    Date of Submission 2000-06-14

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