Title: 郵匯資金配置策略之風險決策支援系統
A Framework for Decision Support System of Postal Risk Funds’ Allocation Strategy
Authors: 陳棟梁
Doing-Liang Chen
Professor Sou-Shan Wu
Professor Her-Jiun Shen
Keywords: 風險值;資產配置;決策資源系統;最適投資組合;Value at Risk(VaR);Asset Alocation;Decision Support System(DSS);Optimal Investment Portfolio
Issue Date: 2000
Abstract: 摘 要 郵政儲金匯業局為金融機構重要之一員,長期以來,郵匯局以穩健經營,機構普遍之特色,匯集龐大資金,成為政府執行貨幣政策的主要工具,在國內貨幣市場中,佔有舉足輕重之地位。 本論文為財務與資訊領域之結合,以財務管理之風險評值理論與資產配置理論,結合資訊管理之決策支援系統,以郵匯局為研究對象,建構出資產配置之風險決策支援系統。 探討郵匯局風險性資產資金配置之風險評值,作為制定金融機構資本適足性要求之依據外,並將風險評值的觀念應用在財務管理實務,如本研究之將風險評值運用在決定風險承擔限額及資產重配置之決策支援上。 本研究論文以郵匯局88年度之財務報表為主,配合該局股票、債券及票券等相關資料,以量化方式,評估該局內部應承擔之最大風險評值,期能使該局適時發現其潛在風險之所在,改變其易於受傷害之資產部位,進而改變其資產配置、限制風險額度與部位限額等,並建構策略配置之風險決策支援系統,以提升郵匯資金之投資績效。 依本論文研究得到之結論可歸納如下﹕ 1、 郵匯局資金暴露於市場風險的主要部位為投資於上市上櫃的股票,而該部位的價值又極易受到股票市場高低起伏的影響。 2、 股票投資金額最大,乃著眼於高獲利,但別忘了,背後的高風險,故必須隨時注意個股的風險貢獻金額,經常調整其投資部位;至於Beta值過大只能改變其投資組合或是放空其部位,使其相乘後使風險貢獻金額降低。 3、 若以夏普比率(Sharpe Ratio),為投資績效之評估依據,則其最高轉折點為股票佔65.2026%、債券佔18.3660%與票券之16.4314%,計算出之夏普比率為2.495,為最佳之投資組合。 4、 若以風險比率(Risk Ratio),為投資績效之評估依據,則其最高轉折點為股票佔45.2026%、債券佔38.3660%與票券之16.4314%,計算出之風險評值為850,428,000元,報酬率為8.28%,為最佳之投資組合。 5、 若以達到88年度預算數下(假設其達成預算之風險性資產報酬率為7.96%)之最小風險值,為投資績效之評估依據,則其最佳之投資組合為股票佔40.2026%、債券佔43.3660%與票券之16.4314%,計算出之風險評值為838,965,000元,報酬率為8.09%。
A Framework for Decision Support System of Postal Risk Funds’ Allocation Strategy Student: Doing-Liang Chen Advisors:Professor Sou-Shan Wu Professor Her-Jiun Shen Institute of Business and Management College of Management National Chiao Tung University Abstract Postal Remittances Savings Banks is an important member of financial institutions. For a long time, the PRSB is featured with stable operations and widespread branches and able to aggregate a vast amount of capitals thus have become a major tool for government to implement monetary policies and played a critical role in national monetary market. This paper combines finance and information, applying the risk evaluation theories and asset allocation theories of financial management, as well as the decision support systems of information management, to develop the risky decision support systems for asset allocation, with PRSB as an example in the research. This research intends to determine the requirements for appropriate and sufficient capitals of financial institutions on the basis of the risk evaluation in the allocation of PRSB’s risky assets and capitals. The ideology of risk evaluation is also applied to other financial management practices, for example, its application in determining the risk-bearing limits and decision support for asset reallocation as discussed in this research. This paper uses PRSB’s financial statements for the fiscal year of 1999, supplemented with other information related to PRSB’s stocks, bonds and debentures, measures the maximum internal risk by a quantitative method hoping to enable PRSB to discover its potential risks in time, thus change any fragile positions in its asset structure, adjust its asset allocation and limit the risk quantity and risk-bearing positions accordingly, develop a risky decision support system for strategic allocation, so as to improve the investment performance of postal remitted cash flows. The research results of this paper are summarized as below: 1. The major component of PRSB’s capitals exposed to market risks is the investment in stocks and ADRs, whose values are immensely affected by the ups and downs on stock market. 2. The largest amount of money is invested in stocks for high returns. However, don’t forget the underneath high risks. Hence close watch on the risk contribution of individual stocks is a must. It also requires frequent adjustment of investment positions. In case of an overly large Beta, a change in the investment portfolio or a short position is necessary to reduce the risk contribution by multiplication. 3. When Sharpe ratio is used as the investment performance evaluation criterion, the turning point at peak is where stocks reach 65.2026%, bonds 18.3660% and debentures 16.4314%, with the computed Sharpe ratio of 2.495 for the optimal investment portfolio. 4. When Risk ratio is used as the investment performance evaluation criterion, the turning point at peak is where stocks reach 45.2026%, bonds 38.3660% and debentures 16.4314%, with the calculated amount of risks of NT$850,428,000 and return of 8.28% for the optimal investment portfolio. 5. If the minimum risk within the budget of fiscal year 1999 (assume the rate of return on the risky assets within the budget is 7.96%) is used as the investment performance evaluation criterion, the optimal investment portfolio is consisted of 40.2026% stocks, 43.3660% bonds, and 16.4314% debentures, with the risk amount of NT$838,965,000 and the return of 8.09%.
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