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學校名稱輔仁大學
系所名稱金融研究所
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學號487756074
研究生(中)李盈助
研究生(英)Ying-Chu Lee
論文名稱(中)外匯選擇權之機率分配與風險值衡量:以馬克買權為例
論文名稱(英)Value at Risk and Distribution of a Foreigh Exchange Option: The Case of DM Call
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指導教授(中)陳能靜 博士
指導教授(英)Nen-Jing Chen, PH.D
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關鍵字(中)風險值 機率分配 外匯選擇權 Foreigh Exchange Option
關鍵字(英)Value at Risk VaR Distribution Cornish Fisher
摘要(中)論文摘要 私立輔仁大學金融研究所 研究生:李盈助 畢業年月:2000年七月 指導教授:陳能靜 博士 外匯選擇權之機率分配與風險值衡量:以馬克買權為例 風險值(Value at Risk)是一個因應金融市場波動的新風險管理工具,相較於傳統的資本適足率或缺口管理,有著動態管理風險、量化風 險的優點。 本研究以馬克對美元之買權為實證對象,比較不同風險值模型對外匯選擇權市場的VaR估計值與預測績效;這些模型包括:歷史模擬法、Cornish-Fisher法及機率分配法。在VaR的準確度驗證方面則採用前項 測試與平均誤差絕對值百分比。 本研究得到的結論如下: 1.就買進馬克買權部份,以各種VaR衡量指標而言,歷史模擬法皆優於Cornish-Fisher計算法與外匯選擇權機率分配法。 2.就賣出馬克買權部份,以各種VaR衡量指標而言,歷史模擬法與Cornish-Fisher計算法所預測的準確度不相上下,且皆優於外匯 選擇權機率分配法。 3.不論是買進或賣出馬克買權,在向前測試部分,當α越小, 離位點發生之機率降低。 4.馬克買權機率分配法與Cornish-Fisher計算法之所以有較差的績 效,可能是在推導過程中使用過多假設與實證資料過於間斷之故。
摘要(英)Abstract Graduate Institute of Finance Fujen Catholic University Name:Ying-Chu Lee Month/Year:July,2000 Adviser:Nen-Jing Chen, PH.D Value at Risk and Distribution of a Foreign Exchange Option: The Case of DM Call Value at Risk is an emerging tool of risk management. Compared to traditional capital adequacy or gap management, VaR is a better tool of dynamic risk management and for its ability in quantifing risk. This research focuses on the Foreigh Exchange Option--DM Call and tries to compare VaR''s estimation and forecast performance of different VaR models. The models include Cornish-fisher method, distribution method and historical method. The performance of VaR estimation methods were evaluated by forward test and the average of percentage of absolute error. The conclusion of the research were as follows: 1. For long position of a call, historical method is better than both Cornish-fisher method and distribution method by both measurement of per-formance. 2. For short position of a call, the performance of both historical method and Cornish-fisher method is very close. They are better than distribution method. 3. In the forward test, for both long and short position of calls, the smaller α,the fewer outliers. 4. The poor performance of distribution method may be resulted from assumptions made in the derivation of the distribution and discretion of the empirical price series.
論文目次論文目錄 第一章、緒論…………………………………………………………………1 第一節、研究背景及動機……………………………………………………1 第二節、研究目的……………………………………………………………2 第三節、研究架構……………………………………………………………2 第二章、文獻回顧…………………………………………………………4 第一節、VaR概念的介紹……………………………………………………4 第二節、風險值的衡量方法…………………………………………………6 第三節、實證研究……………………………………………………………10 第四節、結語…………………………………………………………………17 第三章、研究方法…………………………………………………………20 第一節、前言…………………………………………………………………20 第二節、Cornish Fisher展開式……………………………………………22 第三節、外匯選擇權之機率分配……………………………………………24 第四節、歷史模擬法…………………………………………………………31 第五節、變異數的估計方法…………………………………………………32 第六節、風險值估計模型之評估模式………………………………………33 第四章、實證結果…………………………………………………………35 第一節、資料描述……………………………………………………………35 第二節、買進買權的實證結果………………………………………………38 第三節、賣出買權的實證結果………………………………………………39 第五章、結論與建議………………………………………………………41 第一節、結論…………………………………………………………………41 第二節、研究限制與建議……………………………………………………41 參考文獻………………………………………………………………………43 附錄一
參考文獻參考文獻 中文部分: 吳友梅(1996),「衍生性商品市場風險管理之研究」,政治大學財務管理研究所碩士論文。 呂自勇(1997),「金融資產投資組合風險值衡量─以台灣股市債市投資 組合為例」,國立中央大學財務管理研究所碩士論文。 周忠賢(2000),「風險值衡量方法的比較--匯率之實證研究」,輔仁大學金融研究所碩士論文。 翁德耀(1998),「以VaR風險計量模型衡量外幣持有部位之市場風」, 國立台灣大學商學研究所碩士論文。 廖益誠(1998),「市場風險控管:VALUE AT RISK──ORTHOGONAL GARCH的應用」,國立台灣大學財務金融研究所碩士論文。 康倫年(1999),「Value at Risk與無母數方法」,國立臺灣大學財務金融學研究所碩士論文。 陳若鈺(1999),「風險值得衡量與驗證--台灣股匯市之實證」,國立臺灣大學財務金融研究所碩士論文。 英文部分 Alexander, C.O. and CT Leigh (1997) , "On the covariance matrices used in value at risk models" , Journal of Derivatives, spring 1997 ,pp50-62. Beder, T.S. (1995) , "VAR: seductive but Dangerous", Financial Analysts Journal. Bollerslev, T. (1986) , "Generalized Autoregressive Condition Heteroskedasticity", Journal of Econometrics, 31, 307-327. Boudoukh, Jacob, Matthew Richardson, and Robert F. Witelaw (1997) "Investigation of A Class of Volatility Estimators.", Journal of Derivatives, Spring 1997, pp.63-71. Boudoukh, J. Richardson, M. and Whitelaw, R. (1998), "The Best of Both Worlds", Risk 1998, 11(5). Duffie, D, and J. Pan. (1997) "An Overview of Value at Risk", Journal of Derivatives. Day, Theodore and Craig Lewis, (1993) "Forecasting Futures Market Volatility.", Journal of Derivative, Spring 1993, pp.33-50. Duffie, D, and J. Pan, (1997) "An Overview of Value at Risk." Journal of Derivatives, Spring 1997, vol.4, no.3, pp.7-49. Hendrics, D. (1996), "Evaluation of Value-at-Risk Models Using Historical Data ", Economic policy review, Federal Reserve Bank of Philadelphia. Ho, T.S.Y., M.Z.H. Chen, and F.H.T. Eng (1996) "VaR Analytics : Portfolio Structure, Key Rate Convexities, and VaR Betas," The Journal of Portfolio Management, Fall 1996, pp.89-97. Hull, J. and A.White. (1987) "The Pricing of Options on Assets with stochastic Volatilities." Journal of Finance, 2. Hull, J. and A. White (1998) "Incorporating volatility updating into the historical Simulation method for value-at-risk", Journal of risk. Hull, J. and A. White (1998),"Value at Risk when daily changes in market variables are not normally distribution", Journal of Derivatives(spring) Heynen, R.C., and Kat, G.M. (1994) "Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH(1,1), and EGARCH(1,1) Models." Journal of Derivatives, Winter 1994, pp.50-65. Jorion, P.,(1997),"VALUE AT RISK-The New Benchmark for Controlling Market Risk". McGraw-Hill press, 1997 Jorion, P. (1997) "Risk2:Measuring the Risk in Value at Risk", Financial Analysis Journal(November/December). Hull J.C. (2000) "Options, Futures, & Other Derivatives", Prentice Hall 2000 Manoj K. Singh , (1997) "Value at Risk Using Principal Components analysis", The Journal of Portfolio Management, fall 1997. Marshall, Chris, and Michael Siegel, (1997) "Value at Risk: Implementing Risk Measurement Standard," The Journal of Derivatives, Spring 1997. Meade, N. (1993) "Forecasting the Return and Risk on a Portfolio of Assets." International Journal of Forecasting, 9(1993), pp.373-386. Taylor, Stephen J. (1994) "Predicting the Volatility of Stock Prices Using ARCH models, with UK examples." Managerial Finance, 20(1994), p.102-115. Tse Yiu Kuen (1992) "Forecasting Volatility in the Singapore Stock Market." Asia Pacific Journal of Management, 9 (1992), p.1-13. Vasilellis, George A. and Nigel Meade (1996) "Forecasting volatility for portfolio selection." Journal of Business Finance & Accounting,23 (1996), p125- 143.
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