本文以六種幣別對美元匯率之日資料組成投資組合，利用指數加權移動平均（Exponential Weighted Moving average，EMWA）估算風險值，計算組成成份之個別風險值、增量風險值，探討如何調整手中各部位以降低投資組合之風險值，以使投資組合風險管理更具效率。
 
 實證結果證明：1.減少個別風險值最大的外幣部位，將會使得投資組合風險下降較具效果。2.增量風險值為負之外幣部位，對於投資組合風險具有避險效果。

投資人應運用動態調整法，設定一個可以承擔的風險值，毎隔一段時間調整部位將風險限制在投資人願意承擔的範圍。

This article regards a foreign exchange portfolio with six currencies against US Dollar as the research object. We apply the Exponential Weighted Moving average（EMWA）approach to compute the portfolio’s VaR, then calculate the individual and incremental VaR of each currency. By using the incremental and individual VaR, we investigate how to adjust the currency position to find the portfolio’s VaR most effectively.
The evidence shows that：1.By cutting the greatest individual VaR position will reduce the portfolio VaR more effectively  2. The incremental VaR is negative would reduce the portfolio’s VaR with hedge effect. 
Investors can apply the dynamic adjustment approach and set an acceptable limit of VaR to modify the currency position to control the risk within the limit for the investment horizon.

目    錄
第一章　緒論……………………………………………………………..…1
第一節　研究動機與背景………………………………………………..1
第二節　研究目的……………………………………………………..…2
第三節　研究架構與流程………………………………………………..3

第二章　理論架構及文獻回顧…………………………………………..…6
第一節　風險釋義………………………………………………………..6
第二節  風險的來源……………………………………………………..6
第三節  風險管理的沿革……………………………………………….10
第四節  風險值介紹…………………………………………………….18
第五節  風險值的應用………………………………………………….22
第六節　國內外相關文獻回顧…………………………………………26

第三章　研究方法…………………………………………………………30
第一節  計算風險值的方法……………………………………………30
第二節  估計波動性的方法……………………………………………37
第三節  回溯測試………………………………………………………42
第四節　風險值工具……………………………………………………44
第五節　單根檢定………………………………………………………46

第四章　實證結果分析……………………………………………………50
第一節　資料來源與處理………………………………………………50
第二節　基本統計量……………………………………………………57
第三節　單根檢定………………………………………………………58
第四節　風險值拆解分析………………………………………………61

第五章　結論與建議………………………………………………………68
  第一節  結論……………………………………………………………68
第二節	後續研究建議…………………………………………………69
參考文獻 ………………..…………………………………………………71
圖目錄

【圖1.1】研究流程圖..……….………………………………………..…..5
【圖2.1】風險值的意義…………………………………..………………20
【圖3.1】蒙地卡羅模擬示意圖…………….……………………………36
【圖4.1】加拿大幣即期匯率趨勢圖…….….……………………………51
【圖4.2】日圓即期匯率趨勢圖.…..….….….……………………………52
【圖4.3】英鎊即期匯率趨勢圖.…..….….….……………………………54
【圖4.4】澳幣即期匯率趨勢圖.…..….…….……………………………55
【圖4.5】歐元即期匯率趨勢圖.…………….……………………………56
【圖4.6】新台幣即期匯率趨勢圖….………….…………………………57
【圖5.4.1】α=1％ 投資組合回溯測試.……...…………………………66
【圖5.4.2】α=5％ 投資組合回溯測試.….…….…………………………67
表目錄

【表3.3.1】模型回溯測試：95％測試信賴區間非拒絕區域….………...43
【表4.2.1】即期匯率基本統計特性…………………………….………...58
【表4.2.2】即期匯率報酬率基本統計特性…….……………….………..58
【表4.3.1】ADF單根檢定法（水準項）…………………….….……….59
【表4.3.2】PP單根檢定法（水準項）……….………………….…….…60
【表4.3.3】ADF單根檢定法（差分項）……………………….……..…61
【表4.3.4】PP單根檢定法（差分項）………………………….…….…61
【表5.4.1】各幣別即期匯率之個別VaR及增量VaR………………….…63
【表5.4.2】調整歐元、新台幣之風險值…………………………………63
【表5.4.3】調整歐元、日圓及英鎊之風險值…………………………………65
【表5.4.4】投資組合回溯測試…………………………………66

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