在金融市場裡，風險是造成投資者的資產價格波動的主要原因之一，因此如何正確地衡量風險為一重要的研究議題。文獻上，一種常用來衡量風險的方法稱為風險值(value at risk)，依照Jorion(2000) 的定義，我們可將風險值視為在某一信賴水準下，於未來某一期間內資產報酬最大的可能損失。近年來，在衡量風險值的議題上，計量分析已經成為一種重要的衡量方式， 其中較著名的有 Koenker and Bassett(1978) 所提出的分量回歸法(quantile regression)，Newey and Powell(1987) 提出的 expectile 模型，以及 Acerbi and Tasche~(2001) 所提出的 expected shortfall 概念，此三種方法均能估計出資產報酬的風險值。而要如何判斷這些方法的優劣，可以利用 Artzner, Delbaen, Eber and Heath(1999) 提出的一致性風險測度(coherent measures of risk) 的概念來衡量之。在實證議題上，本篇論文將此三種方法以及普通的風險值法應用於股票市場中，探討公司下市前，這些風險值是否有異常的情況發生，並對實證結果加以解釋，期望當有異常情況發生時能及時發現，減少投資人或風險管理者因下市而產生的投資損失。

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