自2008年爆發金融海嘯以來，引發全球經濟衰退，世界各國降息以刺激經濟，隨景氣慢慢復甦，又適逢各國總統選舉之年，政治及經濟的動盪影響，匯率波動屢見久未出現的高點及低點，對企業價值影響大，跨國企業的外匯風險管理更顯重要。本文以2010年到2016年為研究區間，選取巨大機械(股票代號：9921)及喬山健康(股票代號：1736)共同重大影響貨幣－日幣、人民幣、歐元、美金、英鎊，觀察匯率間的相關性，以回溯測試檢測匯率在95%及99%信賴區間下，實際風險值與預期風險值的差異。再利用匯率間的相關係數，將公司資產組合進行曝險抵銷，以變異數－共變異數評價法及ARMA-GARCH評價法計算抵銷前後的風險值，觀察公司外幣資產的曝險部位，是否因此降低。

Since the financial crisis broke out in 2008, it has led to a period of global economic recession. Central banks of countries around the world have slashed the interest rate to stimulate the economy. While the economy recovered gradually, the presidential elections were hold in various countries. Political and economic turmoil have affected the fluctuation of foreign exchange rate. Some rate of exchange has reached record highs or lows these years. It has brought great impact on the value of companies. The management of foreign exchange risk seems to be more important for multinational companies. In this paper we adopted our sample period from 2010 to 2016 to investigate Giant Manufacturing Co., Ltd. (stock symbol 9921) and Johnson Health Tech. Co., Ltd. (stock symbol 1736)’s main currency portfolio which contains Japanese yen, RMB, Euro, US dollar and British pound. We observe the correlation between the exchange rates and use the back-testing to detect difference between the actual Value-at-Risk and the expected ones under the 95% and 99% confidence intervals. Then we propose the exposure netting method on the value of the foreign currency asset held by the two companies. Finally, we use the variance-covariance method and ARMA-GARCH method to evaluate the change of VaR of the portfolio before and after netting each year, to see if the foreign exchange exposure reduced accordingly.

論文審定書 i
中文摘要 ii
英文摘要 iii
壹、研究動機與研究問題 1
貳、文獻回顧與探討 5
參、研究方法及步驟 7
一、 何謂風險值（Value-at-Risk） 7
二、 回溯測試(Back-testing) 8
三、 變異數-共變異數評價法(Variance-covariance model) 9
四、 ARMA-GARCH評價法 10
肆、實證結果 10
一、 敘述統計及相關係數 10
二、 回溯測試 12
三、 曝險抵銷 13
四、 變異數－共變異數評價法 14
五、 ARMA-GARCH評價法 15
伍、結論 16
附表 18
參考文獻 26

中文文獻
洪儒瑤(Ju-Yao Hung)、古永嘉(Yeong-Jia Goo)、康健廷(Chien-Ting Kang)(2006)，「ARMA-GARCH風險值模型預測績效實證」，中華技術學院學報 Journal of Chia Institute of Technology，第34期，頁13-35

許英麟(Ying-Lin Hsu)、陳弘吉(Horng-Chi Chen)、徐孟資(Meng-Zi Hsu)（2012），「次貸風暴前後外匯匯率風險值之比較分析-以美元對英鎊、歐元、日圓與新台幣為例」，企業管理學報，第93期6月，頁15-45


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