本論文含蓋三篇文章，分別從評價、避險和風險控管三方面，分析上限型股權連結保本票券。 第一篇文章為上限型股權連結保本票券之設計、評價和比較。本文考量投資人保守的投資行為與設限型股權連結票券所存在的delta跳躍(delta jump)現象，延伸Brennan and Schwartz (1976)模型，提出一個能在股價波動之際，使發行的避險部位delta呈現平滑變動且兼具保本(protected principal)功用的一般化模型(general form)。相較於一般的設限型股權連結保本模型，本模型具有以下特色。第一，加入股價成長率的調整因子(adjustable factor)，當景氣低靡，股價不停下跌時，正的調整因子可減緩股價下滑之勢，進而增加投資人在票券到期日時獲取更多資本利得(capital gain)的機會。同時，調整因子縮小了當期股價成長率與股價上限成長率(capped stock growth rate)之間的差距，繼而減緩delta 跳躍的幅度，降低發行者的避險成本。並且在HJM利率模型下，delta隨股價與股價波動度的變化更顯平滑(smooth)。第二，在保本率(protection rate)和參與率 (participation rate)不變之下，本模型的期初合理價格(fair price)較低，投資人能以較低的成本取得同等的投資保障。第三，若將本票券的名目面額(notional principal)視作共同基金(mutual fund)的淨值(net value)，而該淨值與股價連動，則本模型即成為股權連結的保本型基金(principal-protected fund)。 第二篇文章是路徑依賴之上限型股權連結保本模型之評價和風險測量。該文是擴展Brennan and Schwartz (1976)模型發展一個路徑依賴之上限型股權連結保本模型，並且提出一個比二元數模型更精確的封閉解。此外，也對七個時間序列進行股價波動度之精確檢定，得知AR-ARCH(1)模型對上限型股權連結保本票券而言，較其它時間序列模型，更能有效估計股價之波動度。 第二篇文章是外國資產的風險管理。目前在國內金融市場上，國外金融商品很多，大都以外幣計價，因此匯率風險是投資人不可忽視的因子。本文拓展Kupiec(1999)模型，將匯率風險加入模型中，使投資人更有效進行風險管理。 / This thesis studies valuation, hedge and risk management of capped equity-linked and principal-protected notes by means of the following essays: (1) Design, Valuation and Comparison of Capped Equity-linked and Principal-protected Notes (2) Valuation and Risk Measurement of Capped Equity-linked and Principal-protected Notes with Path Dependence (3) Risk Management of Foreign Assets Capped equity-linked and principal-protected notes are similar with barrier options. There exists delta jump as stock price or growth rate reaches the barrier. But previous studies about equity-linked and principal-protected notes with a restricted growth rate of stock price never explicitly discussed how the delta jump could be solved. In my first essay, I present a new design for capped equity-linked and principal-protected notes and add an adjustable factor to growth rate of stock price in such a way that the adjustable factor narrows the gap between the current stock growth rate and the capped stock growth rate and thus really reduces the magnitude of the delta jump and hence lowers the hedging cost for brokers. Recently, the focus of previous studies about principal-protected notes has been on either the restriction on the rate of stock return or the path dependence on the underlying asset, but not both in the same context. In my second essay, I develop a model on the capped, equity-linked and principal-protected notes with path dependence. There are two issues in this article. The first issue is valuation on the capped, equity-linked and principal-protected notes with path dependence. I find a closed-form approximation using the 2nd-order Taylor approximation and the method of Vorst (1992) that has higher accuracy than binomial tree model as maturity time or volatility becomes large. The second issue is risk measurement. I use VaR model to evaluate market risk of the principal-protected notes, and employ seven univariate time series models to forecast volatility and examine the accuracy. Additionally, investors may well encounter potential loss as the prices of financial products are reduced in the secondary market. The VaR is mainly concerned with the downside risk and becomes a standard measure of financial market risk that is increasingly used by investors. But if we want to apply 〝textbook〞formulation to risk management of foreign assets, there leaves exchange rate risk out of consideration. Therefore, I extend the work by Kupiec (1999) to present VaR formula with exchange rate risk for foreign assets and then to manage market risk usefully.

中國大陸自「改革開放」以來，在經濟體制和結構上有著急遽的轉變，同時，海峽兩岸的經貿互動與依存程度也愈來愈高。因此，能有效分析中國大陸經濟情勢的政策模型，對於台灣與中國大陸的政策制定者與政策研究分析者而言皆十分重要。可計算一般均衡（Computable General Equilibrium，CGE）模型由於在數據需求的較大彈性及模型結構上的特性，成為中國大陸現今重要的經濟政策模型之一，本研究的目的在於考察、分析中國大陸可計算一般均衡（CGE）模型的研發背景、發展歷程、建模過程、主要政策應用方向及研究結果。 　　本研究的內容及流程如后：（1）依「歷史研究」、「調查研究」來歸納、分析中國大陸經濟學研究的發展歷程，以及中國大陸可計算一般均衡（CGE）模型的發展歷程；（2）接著依「文獻研究」來分析、分類本研究所蒐集的中國大陸可計算一般均衡（CGE）模型實證文獻（1978年－1998年）；（3）接著依「理論研究」來歸納、分析出可計算一般均衡（CGE）模型的發展、基本結構、數據基礎與建模（Modeling）；（4）以「可計算一般均衡」（CGE）方法，先依據最新的「1995年度中國投入產出表」，編制出兩張：「中國大陸1995年社會會計矩陣」、「中國大陸1995年金融社會會計矩陣」為模型數據基礎，然後應用中國大陸所研發的兩個可計算一般均衡（CGE）模型（「中國大陸經濟-環境可計算一般均衡模型」、「中國大陸金融可計算一般均衡模型」）的主要結構和方程式，以說明中國大陸可計算一般均衡（CGE）模型的建模過程和政策應用方向及模擬結果。 　　本研究的研究結果如后：（1）中國大陸經濟學研究的發展、實際經濟情況變化和政策制定需要，導致中國大陸可計算一般均衡（CGE）模型在「改革開放」後的發展可分為「啟蒙研發」和「政策應用」兩個階段；（2）將中國大陸可計算一般均衡（CGE）模型實證文獻（1978年－1998年）有系統地分類出「貿易政策問題」、「能源和環境政策問題」、「財政和稅收問題」、「經濟改革和發展策略問題」、「外來衝擊問題」、「貨幣金融問題」、「社會保險問題」等七類實證文獻；（3）應用兩個中國大陸研發的可計算一般均衡（CGE）模型，來說明建模（Modeling）與數據編制的過程，並延續、拓展相關的政策模擬研究，分析了環境政策（「綠色導向能源政策」，Green-Oriented Energy Policy：2000年－2015年）與匯率政策（「管理浮動匯率政策」，Managed Floating Exchange Rate Policy：1998年）對中國大陸經濟體的影響。 謝 詞 ii 中文提要 iv 英文提要 vi 中文目次 viii 英文目次 ix 表 次 x 圖 次 xi 1. 緒 論 1 1.1 研究動機 1 1.2 研究目的 3 1.3 研究流程與內容 4 2. 文獻探討 5 2.1 中國大陸經濟學研究的發展歷程 5 2.2 中國大陸可計算一般均衡模型的發展 11 2.3 中國大陸可計算一般均衡模型實證文獻回顧 20 3. 可計算一般均衡模型的發展、基本結構、數據基礎與建模 32 3.1 可計算一般均衡模型的概念與發展 32 3.2 可計算一般均衡模型的一般性基本結構 36 3.3 可計算一般均衡模型的數據基礎與校準 40 3.4 可計算一般均衡模型的計算機求解與建模過程 42 4. 中國大陸可計算一般模型之應用（1）─中國大陸經濟-環境可計算一般均衡模型 45 4.1 模型的基本結構 45 4.2 模型方程式 49 4.3 模型的數據基礎與校準 57 4.4 政策應用-中國大陸宏觀調控下環境政策之一般均衡分析 61 5. 中國大陸可計算一般模型之應用（II）─中國大陸金融可計算一般均衡模型 69 5.1 模型的基本結構 69 5.2 模型方程式 71 5.3 模型的數據基礎與校準 73 5.4 政策應用-中國大陸匯率政策之一般均衡分析 78 6. 結 論 83 6.1 本研究主要貢獻 83 6.2 研究限制與建議 84 6.3 後續研究建議 85 參考文獻 86 附錄1. 94 附錄2. 103 / Both the system and structure of Chinese economy have been changed rapidly since the launch of "economic reform and opening to the outside" in Mainland China, and the economic interaction and trade interdependence between Taiwan and Mainland China are intenser and closer. Effective policy analysis models for Chinese economy is very important to the policy makers and policy analysis researcher both in Taiwan and Mainland China. The Computable General Equilibrium （CGE） model has become one of the most important economic policy analysis model because of its characteristic of higher flexibility on benchmark data and structure. The purpose of this study is to review, investigate and analyze the developmental background, developmental progress, modeling procedure, policy simulations and research results. 　　The brief contents and procedure of this study consist of （1） reviewing on the development of economic research in mainland China and CGE modeling for Chinese economy, （2） reviewing on the literature of CGE models for Chinese economy used on Policy Analysis（1978－1998）, （3） reviewing on the development, basic structure, benchmark data and modeling of CGE model, （4） constructing two Chinese Social Accounting Matrix （SAM） tables developed from the most recent 1995 Chinese Input-Output table to be the benchmark data of two CGE models, the "Chinese Economic-Environmental CGE model" and the "Chinese Financial CGE model", which are developed from Chinese government and researchers, and we revise them in this study,（5） applying those two models to show and illustrate the modeling procedure and results of policy simulations of CGE models for Chinese economy. 　　In conclusion and contribution, it is composed of three parts. （1） The development of CGE model in Mainland China can be divided into two ages, "The Beginning"（1978－1991） and "The Take-off"（1992－）, which results from the development of economic research in Mainland China, the rapidly changed economic system and structure of Chinese economy, and government's urgent demands for policy-analysis tools. （2） The literature of CGE models for Chinese economy used on policy analysis from 1978 to 1998 can be classified into seven groups－ trade policy, energy and environmental policies, public finance and tax reform policies, economic reform and development strategy, external shocks, monetary and financial policies, and social insurance policy. （3） We apply those two CGE models for Chinese economy to analyze the economic and environmental impacts of environmental policy－ " Green-Oriented Energy Policy"（2000－2015） and the economic impacts of the " Managed Floating Exchange Rate Policy"（1998）.