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考慮信用及利率風險下之可轉債評價 / Pricing convertible bonds with credit risk and interest rate risk凃宗旻 Unknown Date (has links)
可轉換公司債是給予持有者於債券存續期間內行使轉換為股票之複合式證券,除了債券性質外,內嵌的股票選擇權便屬於美式選擇權。而在本文中,針對內含美式選擇權的公司債評價是使用最小平方蒙地卡羅的數值分析,主要原因在於可轉債本身的條款彈性高,加上可轉債可能涉及之標的資產為兩個以上或狀態變數也可能具有多個維度(dimension)。此外,針對可轉債發行公司本身的信用問題,本文則採用縮減式(reduced-form)模型來處理其違約風險問題。依據A. Takahashi, T. Kobayashi, and N. Nakagawa認為採用結構式(structured-form)的缺點為參數難以校準,並列出下面兩論點認為使用縮減式的優點在於:
1. 違約事件將可能造成股價跳躍(jump)現象。
2. 在Duffie and Singleton方法下,資產隨機過程不必設定jump term,仍可設定為擴散過程(diffusion process)。
至於在利率期間結構方面,雖然Brennan and Schwartz(1980)認為實務上,考量利率的隨機性除了降低評價的效率性之外,與利率設定為常數相比,其差異不大。但針對為何差異不大的原因,本文認為利率對於純粹債券之價值影響為負向關係,而對於股票買權則是正向關係,故使得最後可轉債的影響則不明顯。然而,在目前「可轉債資產交換」等可轉債相關衍生性商品相繼推陳出新之下,使得可轉債的純粹債券與選擇權的個別要素評價也是相當重要。所以本文在利率風險的建構上將使用BGM模型來描述利率的隨機過程。
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考量環境保護下能源產業之財務風險管理:煉油廠實證 / Financial risk management in energy industry under the environmental protection: evidence from refinery王品昕, Wang, Pin Hsin Unknown Date (has links)
Schwarz (1997)提出均數回復過程(Mean-Reverting Process, MR)捕捉能源價格的動態過程,而Lucia and Schwarz (2002)將此模型結合確定季節性函數,並推導出期貨價格封閉解。然而,能源價格常會因為未預期事件的發生而產生大幅度的變動,為了描述價格跳躍的現象,Clewlow and Strickland (2000)延伸Schwarz的模型提出均數回復跳躍擴散模型(Mean-reverting jump diffusion process, MRJD),此模型除了保留均數回復模型對能源價格會回復至長期水準的描述外,再加上跳躍項來描述價格的異常變動。而Cartea and Figueroa (2005)則同時考慮季節性和跳躍因子,並推導出期貨價格封閉解。另外,雖然台灣目前並非京都議定書所規範的國家,但環境保護是未來的趨勢,故在衡量能源產業財務風險時,除了考慮相關原料和產品,應考慮碳權交易之影響。為了探討財務風險管理在能源產業之應用,本文以煉油廠為例,將其表示成特定期貨部位的投資組合,並透過計算投資組合風險值來衡量煉油廠的財務風險。文中使用結合季節性的均數回復過程、均數回復跳躍擴散過程進行模型配適。實證結果顯示,均數回復跳躍擴散模型在回溯測試下表現最佳;另外,考慮碳權交易後會使得煉油廠的財務風險上升。 / Schwarz (1997) proposes the mean-reverting process (MR) to model energy spot price dynamics, and Lucia and Schwarz (2002) extend this model by including mean reversion and a deterministic seasonality. This model can capture the mean-reversion of energy price, but fail to account for the huge and non-negligible price movement in the market. Clewlow and Strickland (2000) extend Schwarz’s model to mean-reverting jump diffusion process (MRJD). Cartea and Figueroa (2005) present a model which captures the most importance characteristics of energy spot prices such as mean reversion, jumps and seasonality, and provide a closed-form solution for the forward. Although Taiwan is not the member of Kyoto Protocol, but Environmental Protection is a trend in the future. In order to measure the financial risk induced by energy industries, we should consider the effect of emission trading. In this paper, we discuss the implication of financial risk management in energy industries by analyzing the exposure of refinery which represented certain energy futures portfolios. We use MR and MRJD process with seasonality to model energy spot price dynamics, and calibrate the parameters to historical data. And, we consider the interaction of all of positions and calculate the Value-at-Risk of portfolios. The results show that among various approaches the MRJD presents more efficient results in back-testing, and emission trading poses additional risk factors which will increase the financial risk for refineries.
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可轉債評價 --- LSMC考慮股價跳躍及信用風險 / Convertible Bond Pricing --- Consider Jump-diffusion model and credit risk with LSMC丁柏嵩 Unknown Date (has links)
可轉換公司債是一種在持有期間內,投資人可以在規定的時間內將債券轉換為股票,或是到期時得到債券報酬的一種複合式證券。因此,可轉債除了具有債券性質之外,還包含另一部份可視為一美式選擇權的股票選擇權。
本篇論文將可轉換債券評價結合數值分析中的最小蒙地卡羅法(Least square monte carlo),使得在評價可轉債時,能夠具有更多的彈性處理發行公司自行設計的贖回條款與其他各種不同的契約情況。
此外,本篇論文針對股價考慮跳躍的性質,使用Compound Poisson 過程模擬發生跳躍的次數,導入Merton的跳躍模型(Jump-diffusion Model),在Merton的假設下,模擬未來股價的動態變化。
信用風險方面,本文採用Duffie提出的風險CIR模型評價。考慮存活函數(Survival Function)和違約強度(Hazard Rate Function),使用CIR模型描述信用違約強度在可轉債持有期間的動態變化,最後模擬出違約的時點,結合LSMC下的可轉債評價評價法。
最後利率部份,雖然Brennan and Schwartz(1980)認為隨機利率對於可轉換債券的評價,並沒有明顯的效果,反而會降低評價時的效率,但是為了符合評價過程的合理性,本文使用CIR短期利率模型。
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雲端遊戲平台資訊系統採用意圖之研究 / Study of Players’ Adoption Intention of Cloud-based Game Platform高璽舜 Unknown Date (has links)
本研究架構以Wixom & Todd(2005)提出的使用者滿意與科技接受整合模式為基礎,以資訊系統成功模式中「系統品質」、「資訊品質」、「服務品質」構面以及Roger(1995)提出的創新擴散中「相對好處」、「相容性」作為研究架構的探討構面,針對雲端遊戲平台的使用者進行實證研究,探討使用者參與雲端遊戲平台之影響因素。
研究中,得知資訊系統成功模式「系統品質」、「資訊品質」、「服務品質」與「資訊系統滿意度」存在正向影響關係,創新擴散「相對好處」、「相容性」也與「資訊系統滿意度」呈現正向的影響關係;而資訊系統成功模式「資訊系統滿意度」與科技接受模式的「知覺有用性」、「知覺易用性」確實有著密切關連;另外,研究發現創新擴散構面對於「知覺有用性」存在影響關係,但對於「知覺易用性」證實不存在顯著的影響關係,而科技接受模式「知覺有用性」、「知覺易用性」、「態度」、「使用意圖」彼此皆存在影響關係。 / This study bases its structure on Theoretical Integration of User Satisfaction and Technology Acceptance Wixom & Todd (2005) proposed, in which “System Quality”, “Information Quality”, “Service Quality” dimensions in Information System Success Model, and “Relatively Advantage” & “Compatibility” in Innovation Diffusion that Roger (1995) proposed constitute discussion dimension. For discussing factors that influence users to take part in cloud gaming platform, the empirical research targets at those users.
From the research, we found “System Quality”, “Information Quality”, “Service Quality” and “IS Satisfaction” in Information System Success Model have positive correlation, and “Relatively Advantage” & “Compatibility” and “IS Satisfaction” present a positive correlation as well while “IS Satisfaction” in Information System Success Model and “Perceived Usefulness”, “Perceived Ease of Use” in Technology Acceptance Model are closely related; besides, this study discovered Innovation Diffusion dimension has effect on “Perceived Usefulness”, but doesn’t have significant effect on “Perceived Ease of Use” while “Perceived Usefulness”, “Perceived Ease of Use”, “Attitude” and “Intention to Use” in Technology Acceptance Model are related.
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電子商務企業國際化—以進入新興市場為例 / Internationalization of E-commerce Business: An Empirical Analysis of Emerging Market Expansion陳思吟, Chen, Szu Yin Unknown Date (has links)
企業著眼於國際市場機會進行國際化的同時,面臨到不同的阻礙,過去國際化的理論討論到影響國際化的速度、進入模式、國家選擇等的各種因素,但隨著產業的型態改變,以及進入國家的不同,國際化的歷程或是成功因素可能因而有所差異。因此,本研究欲探討電子商務在國際化的過程中,特別是進入新興市場國家時,由於電子商務尚未成為主要消費模式,電商企業的國際擴張將會受到哪些因素影響,不同於過去生產導向的國際化歷程,這些障礙又能夠如何被克服。過去學者曾討論外來者劣勢在企業國際化中的影響,但並沒有探討是否適用電商產業,由於產業特性的不同,以及母國市場與進入市場的差異,過去學者提出企業外來者的身份在新市場中面對外來者劣勢,然而,隨著電子商務產業的出現,亦有學者提出局外人劣勢才是新型網路企業在國際化中的主要劣勢,因此,本研究針對過去學者提出的從外來者劣勢(Liability of Foreignness)、局外人劣勢(Liability of Outsidership)出發,結合企業專屬優勢(firm-specific advantage)以及創新擴散理論(Diffusion of Innovations Theory),針對國內外共四家電商業者,採用深度訪談法歸納研究結果。研究結果發現雖然電子商務相較於一般企業在進行國際化初期,主要仍受到外來者劣勢影響,方能順利進入市場去處理身為局外人所帶來的劣勢,透過創新擴散理論的資訊溝通方式以及企業本身的專屬優勢,則可以有效降低進入所遇到的障礙,達到企業在東南亞市場成長的目標。 / During internationalization, firms seek growth opportunities in global markets, while being faced with various sources of obstacles and disadvantages. Previous researches and theories discuss the factors that influence the speed of internationalization, mode of entry, and country selection. However, with the change of industry, and the difference types of countries that are entered, the process of internationalization and the factors that influence the success might vary. As a result, the research aims at clarifying the variables that influence the internationalization of ecommerce corporations, especially when entering emerging markets. In the research, structured interviews were conducted to gain deeper understanding of the internationalization of 4 e-commerce firms. Our findings is that in emerging markets, e-commerce has not become the main stream; therefore, firms need to deal with both liability of foreignness and liability of outsidership because of the new technology and the role as a foreigner in the market. With the firm-specific advantages and the usage of online media and opinion leaders in the countries, e-commerce corporations are more likely to offset the liability that stems from foreignness and outsidership. However, the research shows that the liability of foreignness is more important and urgent for firms to overcome than liability of outsidership. Our research conceptualizes the framework for e-commerce internationalization and provides empirical evidence for the entry and growth in emerging markets.
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桌遊社群平台營運模式之研究-以手談趣為例 / A Study on Business Model of Table Game Online Community Platform, Take Sotanfun for Example何金原, Ho, Chin Yuan Unknown Date (has links)
本研究探討建構發展桌遊社群平台之營運模式及其關鍵成功因素,以形成執行策略與行動計畫。
本研究採文獻探討、深度參與、資料分析、探索性個案式研究,先以「SWOT矩陣分析」,來分析探討個案現況;再以「商業模式九宮格」以及「新創事業之精實商業模式十一格」兩者,來探討個案分析;之後,再以SWOT之分析結果,針對兩種宮格分析結果每一宮格之內容項目,再進行探討分析;也就是在兩種宮格分析後,每一格,再用SWOT去探討分析,由此呈現出更深入具體之執行策略與行動計畫。最後再輔以創新擴散模型來推論計算,各階段社群平台推廣之臨界數量與營運目標。終能更完整建構桌遊社群平台之營運模式,形成關鍵策略、競爭策略、行動策略等流程圖,並表列出各種行動方案之執行建議。
當手談趣在台灣成為會員數或開店數排名第一的桌遊社群平台之後,或可研究進入中國或全球之桌遊市場,探討中國或全球市場之桌遊社群平台營運模式;亦可考慮進入台灣、或中國、或全球之其他產業市場,進一步研究探討,台灣、中國、或全球市場其他產業之社群平台營運模式。 / This research tried to develop and complete the business model of table game online community platform also find out the key success factors of it, thus, we can form the executive strategy and action plans.
This research used SWOT matrix to analyze the case situation, then used Business Model Canvas and Lean Canvas to examine the case analysis. Afterwards, we used the SWOT matrix to examine and analyze the Business Model Canvas and Lean Canvas by each canvas element again. Then, we used Innovation Diffusion Theory to calculate the critical mass and determine the quantitative objective of every stage.
We can study on China or global market of table game online community platform or other industries via this research process after Sotanfun platform reaches success of the first or second stage of its quantitative objectives.
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開創與影響:王肅禮學義理及中古傳播歷程劉柏宏, Liu,Po-Hung Unknown Date (has links)
本文主要試圖回應傳統經學史論述中鄭王之辨此一議題。傳統經學史書寫中,或是以學派競爭的立場,或是採取鄭學中心角度,對王肅多予以負面評價。本文受到現象學思維啟發,試圖通過歷史性的追溯,重新梳理王肅形象的建構歷程。其次,透過重新閱讀目前傳世之王肅著述,以說明王肅個人的吉禮與凶禮主張,進而分析具體的禮文儀節,歸納出王肅禮學義體系的義理內涵與特質。第三、藉由中古禮家徵引王肅禮說的相關記載,以觀察王肅禮說在中古禮家進行禮學實踐時,造成了哪些短期影響及長期效應。
全文共分五章:〈第一章:緒論〉主在介紹本研究相關背景資訊、研究目的與研究方法;〈第二章:現代經學意義下王肅形象的建構與反省〉主要透過統計《皇清經解》中對於王肅的評議情形,以說明乾嘉學者對於王肅的總體觀感;其次以「教科書經典效應」的立場,分析清季皮錫瑞《經學歷史》對於現代經學研究環境所造成的影響。透過上述二者的討論,藉此說明現代經學研究者視野下王肅形象的建構過程。〈第三章:王肅禮學義理及其時代意義〉透過整理歸納,以說明王肅吉禮凶禮的具體主張,藉以呈現王肅禮學體系的人間屬性。此外,透過重建曹魏皇權語境的脈絡化處理方式,說明王肅禮學與明帝皇權的互動過程。〈第四章:王肅禮學體系的擴散與傳播〉藉由中古禮家明引王肅禮說的表現,以試圖說明王肅禮說對於中古禮制發展與禮學實踐的影響情形。並進而勾勒後世徵引行為如何反饋王肅禮說內涵。〈第五章:結論〉除了總結各章所得、研究缺失外,更試圖彰顯「擴散與傳播」的研究立場對中國古代(經)禮學研究具有哪些價值與意義。
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運用資訊導向觀念發展EIS設計的方法論-以金融業為例 / An Information-Oriented Approach to Developing EIS Design Methodology - A Banking Example阮耀毅, Ruan, Yaw Yih Unknown Date (has links)
高階主管在面臨日益艱難的經濟情勢與經營環境〈主要是來自消費者(Customers)、競爭(Competition)及變動(Change)等3C的壓力)時,依賴傳統組織架構及報告系統來獲取決策資訊的作法,其有效性正受到強烈的質疑。高階主管資訊系統(Executive Information Systems,EIS)可說是九○年代電腦資訊系統應用的新領域,它以易學易用的圖形使用者介面、多維分析及往下展開的特性,使高階主管能迅速存取各種攸關其企業成敗的關鍵性資訊。由於其親切易用,近年來EIS的應用更沿組織階層向下發展,成為Everyone Information Systems。在企業發展EIS日趨普遍的情況下,一套系統化的分析設計方法更形重要。
然而,在相關的文獻中對EIS的發展方法並沒有提出具體的執行步驟,只有概念性的描述,不易引導開發人員及高階主管將其策略理念轉換為資訊需求,而許多發展EIS失敗的例子,正是由於系統資訊需求不正確、時間與成本超出預算、操之過急及政治因素等所造成。因此實務界人士據其顧問經驗提出一個EIS快速發展方法,強調雛型系統的快速建立以爭取高階主管的持續支持及系統的後續發展。但因仍缺乏系統化的需求分析方法,系統發展者往往需經多次歷練才能領悟其中訣竅,也不易將個人經驗傳授於他人。因此雖然企業組織眾人已感受到EIS的重要性,相關的軟硬體工具也可親易用,而EIS的成功推展卻仍受到相當限制。
有鑑於此,本論文以符合文獻中對EIS發展方法之概念性描述的「資訊導向」觀念為基礎,並參考快速雛型系統發展方式,運用「中間擴散」(Middle-Out)方向,整合策略分析及資訊系統規劃的具體作法,發展一套結構化的EIS發展方法,稱為EISAD,含目標分析、關鍵成功要素分析、主要績效指標分析、資料分析、資料庫設計、輸出設計、轉換設計、程序及控制設計等步驟。並以金融業為例:說明此方法論的實際運用過程。以期在理論上對EIS發展方法論,及實務上對金融資訊系統應用層次之提昇有所貢獻。 / Due to the rapid changes of business environment and the increasing customer demands and competition pressure, it is getting important to have Executive Information Systems(EIS) to help executives access to high-level strategic information. Recently, EIS has even evolved down the organization hierarchy to become "Everyone Information Systems". The increasing EIS demand endues the needs for EIS development methodology. However, the literature contains only a few academic studies of EIS development methods which are broad and vague. The EIS development has not been researched in a rigorous and systematic manner. Many practitioners adopt a rapid prototyping approach to attract the executives for further support. Due to the lack of a systematic approach to help extracting the user requirements, it is usually up to the developer's experience to informally address the executives' information needs and this experience is hard to be transferred to others. In this thesis, we propose an EIS development methodology, called EISAD, based on the information-oriented concepts and middle-out system development direction. EISAD integrates related tools in strategic analysis and information systems planning as a structurized EIS development methodology. The step by step explanation of the EISAD is illustrated using a banking example.
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