The Investigation about Liquidity Adjusted Value-at-Risk Empirical Evidence of Taiwan Stock Market
| Autor: | Hsin-Tzu Fan, 范心慈 |
|---|---|
| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 Value at Risk models (VaR) became, during the last few years, one of the most main tools for risk management. However, conventional VaR models lack a treatment of liquidity risk. Neglecting liquidity risk would lead to underestimation of overall risk. Therefore, the main aim of this study is to demonstrate the influence of the liquidity risk component in VaR model, we use five best bid/ask quotes estimate tick size to measure liquidity risk, and include the liquidity risk would that the classical VaR model be accurate. We found that when stock position increase, exception number will rise in VaR model, and exception rate higher than theoretical, show VaR model would underestimated risk. Compared to VaR model, we find exception number decline in liquidity adjusted VaR model. In 90% and 95% confidence level, exception number will fall as stock position increase in liquidity adjusted VaR model, however, exception rate lower than theoretical, show liquidity adjusted VaR would overestimated risk, Therefore, liquidity adjusted VaR model may be too conservative. Overall, liquidity adjusted VaR model can predict the more extreme cases in stock market. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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