不同資產配置比例下壓力測試模型之比較

Abstract

近年來在全球化的衝擊下，金融機構資產投資發生金融危機的頻率逐漸增加，為了能準確並有效因應未來可能的極端事件，金融機構極需一個有效之金融風險控管工具。風險值(Value at Risk, VaR)是最常使用評估金融機構市場風險的工具，但風險值無法預測極端事件所造成的嚴重損失，而壓力測試(Stress Testing)正好能彌補風險值的這項缺失，由於近幾年極端事件發生的頻率明顯增高，使得壓力測試備受重視。過去一些中外文獻在假設金融機構的資產配置比例均相等的情況下，發展出不同的壓力測試模型，其中以條件情境壓力測試99%信賴水準臨界值模型效果較佳，但實務上金融機構的資產配置比例是由風險管理人員視公司自身情況作調整，在此情況下，沒有文獻提出的何者壓力測試模型較佳。因此本研究的主要目的是針對不同資產配置比例下，以過去國內發生過之極端事件為例，比較傳統壓力測試模型、條件情境壓力測試期望值模型及三種條件情境壓力測試信賴水準(90%,95%,99%)臨界值模型之優劣，本研究結果顯示不同資產配置比例下對於壓力測試模型的覆蓋率會有影響。金融機構投資之資產比例不同時，可參考本研究方法找出一個有效的壓力測試模型來衡量極端風險，以降低極端事件發生時的損失或倒閉的可能性。

【關鍵詞】風險值、極端事件、壓力測試模型、市場風險、投資、資產配置比例

Over the past few years, under the impact of globalization, most cial institutions are facing investing risks. In order to face the extreme events, financial institutions need an effective risk management. Although Value at Risk (VaR) is one of the popular tools for risk management, the VaR can’t predict the possible serious losses accurately due to extreme events. Instead, Stress Testing has the ability to foresee the possible risks when extreme events occur on a frequent basis. Several studies have been conducted under the assumption that financial institutions invests has an equal amount of assets into different investments and several Stress Testing Models have been constructed based on this premise. Among these models, the Stress Testing model with 99% confidence interval (StressVaR(99)) has been proven with the best reliability. However, in practice, financial institutions generally invest unequal amount of assets into different investments according to many reasons; therefore, the efficiency of StressVaR(99) is questionable. The main purpose in this study is to compare Stress Testing models under the extreme events for domestic financial institutions which allocating different amount of assets into different investments. The result of study shows that allocating different ratios of assets in different investments would have different results with respect to different Stress Testing Models. StressVaR(99) may not be the most effective one. The financial institutions may utilize the proposed method to select proper Stress Testing Model in evaluating its investment risks under extreme events.

Keyword：Value at Risk, Extreme event, Stress Testing, Market Risk, Investment, Ratio of assets for investments