CAN VAR BE PREDICTIVE FOR REGULATION? EVIDENCE FROM THE FUTURES INDUSTRY IN TAIWAN

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题名:	CAN VAR BE PREDICTIVE FOR REGULATION? EVIDENCE FROM THE FUTURES INDUSTRY IN TAIWAN
作者:	Chang, MC (Chang, Matthew C.) Hung, JC (Hung, Jui-Cheng)
贡献者:	Dept Banking & Finance
关键词:	ANC VaR GJR-GARCH futures industry
日期:	2012
上传时间:	2013-02-25 13:43:53 (UTC+8)
摘要:	Financial authorities are monitoring the financial industries by their own capital to ensure that financial industries have sufficient equity capital to absorb a variety of financial business risks. The current method applied for regulating the capital adequancies of futures commission merchants (FCMs) in Taiwan is Adjusted Net Capital (ANC) ratio, which is also applied in the U.S. In this study, we add the Value-at-Risk (VaR) estimated by GJR-GARCH model and the delta-gamma approach to the calculation of ANC (VaR-based ANC), to compare it with ANC, and further to investigate the ability of prediction on VaR. The sample period is from 2006 through 2007, totally 495 trading days. We conclude that VaR-based ANC ratio in certain intervals ratio have better warning ability of prediction than ANC. Moreover, for the FCMs whose capital adequancies are more volatile and the FCMs with higher capital adequancies, the warning effects of inclusion of VaR into ANC ratio is even more significant.
關聯:	ROMANIAN JOURNAL OF ECONOMIC FORECASTING 卷: 15 期: 4 頁數: 147-162
显示于类别:	[財務金融學系 ] 期刊論文

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