以風險值（VaR）應用在創投業之風險管理

Abstract

以往創投公司在面臨新創事業的評估時，對於所需承擔的風險，常常遇到無法將之『量化』的窘境，本研究嘗試利用風險值應用在創投公司資本投資計畫報酬率的評估上，利用損失金額的觀念來表達其風險程度，以作為投資大眾與創投業著參考。本研究模型以傳統的風險值蒙地卡羅模擬法為基礎，並加入了雙向跳躍特性的考量，以符合科技產業所具有的創新、競爭特性，期較能合理的評估創投公司投資時所承擔的風險值。本研究所得到的結論如下： 一、納入跳躍特性的考量將更能捕捉到創投公司資本投資計畫的價值變動情形。 二、利用風險值評價方法推估創投公司投資於新創公司所承擔的風險時，在納入跳躍特性的考量之後，所推估的風險值高於利用投資計畫的期望投資報酬率及標準差所推估出的風險值，此為跳躍特性的加入造成整體變異程度增加所致。 三、在實際上，跳躍擴散的發生頻率及影響程度會因創投公司所投資的資本投資計畫的發展階段及產業別的不同而異，但在衡量資本投資計畫的風險值時，若忽略了跳躍特性所帶來的影響，將會造成對於投資風險的低估。

In the past, the venturing capital companies often couldn’t quantify the risk they must afford, when evaluating the new venturing. This thesis tries to use Value at Risk to assess downside risk without assuming the I/R ratio as normal distribution. In order to provide the investors and the venturing capital company some information, we take the Value at Risk into the I/R evaluation of venturing capital company and use the concept of money loss to represent the risk degree. Our research model takes the traditional Monte-Carlo Simulation as the basis, and also takes the bidirectional jump character into consideration to match the innovation and competition of the science and technology industry. We expect to reasonably assess the value at risk that the venturing capital company may afford. The conclusion is as follows:

1.Taking the jump character into consideration would capture the variation of investing plan of venturing capital company better. 2.When we use the value at risk method to estimate the risk that the venturing capital company invest in the new company, after bringing into the jump character, the estimated value at risk is higher than that from using the expected I/R ratio and the standard deviation of the investing plan. It is the existence of the jump character that causes the total variation degree increased. 3.In fact, the frequency and the impact degree of jump diffusion will differ from the different developing level and industry that the venturing capital companies invest in. But when we evaluate the value at risk of the investing plan, it will underestimate the risk of the investment if we ignore the impact of the jump character.