本文旨在研究金融商品的市場風險，以風險值（VaR值）衡量市場風險，並通過回溯測試檢驗衡量因市場風險引發極端損失的模型與方法是否有效。首先由定義金融商品曝險（股指期貨、遠期外匯和歐式選擇權）的損失分配公式出發，分析商品的市場風險因數並設立對應的模型。本文以 EGARCH(1,1)模型對股價指數風險因數建模；以Dynamic Nelson-Siegal 利率期限結構模型（DNS 模型）對利率風險因數建模；以隨機遊走模型(random walk)模型對匯率風險因數建模。接著使用蒙地卡羅模擬法對風險因數進行模擬，再進一步推導出金融商品的風險值。最後以回溯測試，kupiec test檢驗本文所用的VaR值方法是否有效。研究中選擇以滬深300股指期貨、人民幣兌美元遠期外匯與S&P500股指歐式選擇權為實證數據的研究對象。實證結果顯示，本文使用的計算VaR值的方法通過模型檢驗，均能有效衡量各金融商品的市場風險，為建立以資本計提為核心的市場風險管理系統打下堅實的基礎。

This paper put emphasis on market risk of financial products, by using the method of Value at Risk (VaR). Through backtesting technique to prove that the models and methods used in this paper for measuring extreme loss caused by market risk for financial products are effective. Firstly, loss distribution formula of risk exposure is defined for stock index future, foreign exchange forward and European options. Different risk factors are identified, and appropriate models are selected for risk factors. EGARCH(1,1) model is used for building risk factors of stock indexes; Dynamic Nelson-Siegal (DNS model) is selected for fitting interest rate risk factors; random walk model is used for building risk factors of foreign exchange rates. Then, Monte Carlo simulation is used to simulate all risk factors, and VaR of financial products can be derived. At last, kupiec test is used to test whether the models and methods for calculating VaR are suitable or not. Shanghai and Shenzhen 300 Stock Index future, RMB to USD foreign exchange forward and S&P500 Stock Index European options are selected for empirical research. The results show that models and methods used for VaR all passed the kupiec test, which means that market risk can be measured properly. VaR approaches defined in this paper have built solid foundations for a market risk management system taking capital charges as the core.

目錄

1、前言 1
2、文獻回顧 4
2.1、風險因數模型設定 4
2.1.1、股價指數風險因數 4
2.1.2、利率風險因數 6
2.1.3、匯率風險因數 8
2.2、金融商品的市場風險與風險值 9
2.3、風險值（VaR）的回溯測試（Backtesting） 13
3、研究方法 14
3.1、風險因數模型建立與蒙地卡羅模擬法 14
3.1.1、股價指數波動率模型建立 14
3.1.2、股價風險因數的蒙地卡羅模擬法 15
3.1.3、利率風險因數模型建立 17
3.1.4、利率風險因數的蒙地卡羅模擬法 18
3.1.5、匯率風險因數模型建立 20
3.1.6、匯率風險因數的蒙地卡羅模擬法 20
3.2、金融商品市場風險損失分配的風險值 21
3.3、金融商品的損失公式與市場風險的衡量 21
3.3.1、股指期貨 21
3.3.2、遠期外匯 23
3.3.3、歐式選擇權 24
3.4、VaR值回溯測試 29
4、實證結果 31
4.1、資料敘述 31
4.1.1、滬深300股指期貨 32
4.1.2、遠期外匯 35
4.1.3、歐式選擇權 37
4.2、金融商品市場風險衡量結果與VaR值回測 46
4.2.1、滬深300股指期貨 46
4.2.2、遠期外匯 48
4.2.3、歐式選擇權 51
5、結論 56
參考文獻 57
附錄 59

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