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Showing 131 to 139 of 139 (0.019 seconds)| 131 |
台灣選舉事件與台指選擇權的資訊效率李明珏, Li, Ming-Chueh Unknown Date (has links)
台灣特殊的兩黨對立政治環境及幾乎每年都會有的固定選舉，使得政治的不確定性深深的影響著國內的投資環境及投資人心態。本研究便是要探討，2002/1/1~2006/1/16 研究期間台灣的投資人在選舉前後的投資行為，是否真如大家所預期的，會受到台灣選舉事件的影響。
本研究首先利用適當的機率密度函數模型及選擇權市場資訊來導出隱含的風險中立密度值。再利用這些風險中立密度值，求出各個選舉事件相對應的機率分配圖形，並透過其機率分配圖形及波動率指數等統計值於投票日前後的變化來觀察某一選舉事件前後投資者的反應。
研究結果發現：1. 選舉事件的發生確實會影響投資者的心理，且投資者會透過選擇權市場有效率的反應預期的未來股價指數分佈情況。2. 越大型、越具爭議且全國性的選舉結果，其選舉期間機率分配圖形及波動率指數具有較高的波動性。3. 一般而言，選舉過後市場不確定因素降低，將使投資者對於股市的預期較為一致和樂觀。而若這個選舉結果使投資者感到意外，因而增加了市場的不確定性，則選後機率分配圖形及波動率指數的改變反而會更為明顯。4. 在此研究下對數常態混合法比傳統的 Black-Scholes 方法產生較低的誤差值，因此就實證的分析上能提供更好的配適。 / This research examines the behavior of investors during election periods from January 1st 2002 to January 6th 2006 in Taiwan. The research includes a few steps. First, we adopted a proper probability density function composed of stock index options data to construct the implied distribution. Then, when changing the whole shape of the risk-neutral implied distribution, the volatility indexes, and the statistics of the implied distribution, we observed investors' response around a specific election event.
According to the empirical results, we found that: 1. An election event would influence investors’ behavior, and investors tend to reflect their expectation of future stock index in the option market in an efficient way. 2. The result of a large-scale and more disputed nationwide election will cause a higher fluctuation in both the implied distribution and the volatility index. 3. In general, the factor resulting from investors’ uncertainty of the market is likely to reduce after the election, which makes investors’ relatively unanimous and optimistic expectation of the stock market. However, if this election result surprises investors, their uncertainty of the market will increase, and thus the changes of the implied distribution and the volatility index become quite obvious. 4. The in-sample performance of the lognormal mixtures method employed in the research is considerably better than that of the traditional Black-Scholes model by having a lower root mean squared error.
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用馬可夫鏈蒙地卡羅法估計隨機波動模型：台灣匯率市場的實證研究賴耀君, Lai,Simon Unknown Date (has links)
針對金融時序資料變異數不齊一的性質，隨機波動模型除了提供於ARCH族外的另一選擇；且由於其設定隱含波動本身亦為一個隨機波動函數，藉由設定隨時間改變且自我相關的條件變異數，使得隨機波動模型較ARCH族來得有彈性且符合實際。傳統上處理隨機波動模型的參數估計往往需要面對到複雜的多維積分，此問題可藉由貝氏分析裡的馬可夫鏈蒙地卡羅法解決。本文主要的探討標的，即在於利用馬可夫鏈蒙地卡羅法估計美元/新台幣匯率隨機波動模型參數。除原始模型之外，模型的擴充分為三部分：其一為隱含波動的二階自我回歸模型；其二則為藉由基本模型的修改，檢測匯率市場上的槓桿效果；最後，我們嘗試藉由加入scale mixture的方式以驗證金融時序資料中常見的厚尾分配。
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預測S&P500指數實現波動度與VIX－ 探討VIX、VIX選擇權與VVIX之資訊內涵 / The S&P 500 Index Realized Volatility and VIX Forecasting - The Information Content of VIX, VIX Options and VVIX黃之澔 Unknown Date (has links)
波動度對於金融市場影響甚多，同時為金融資產定價的重要參數以及市場穩
定度的衡量指標，尤其在金融危機發生時，波動度指數的驟升反映資產價格震盪。
本篇論文嘗試捕捉S&P500 指數實現波動度與VIX變動率未來之動態，並將VIX、
VIX 選擇權與VVIX 納入預測模型中，探討其資訊內涵。透過研究S&P500 指數
實現波動度，能夠預測S&P500 指數未來之波動度與報酬，除了能夠觀察市場變
動，亦能使未來選擇權定價更為準確；而藉由模型預測VIX，能夠藉由VIX 選
擇權或VIX 期貨，提供避險或投資之依據。文章採用2006 年至2011 年之S&P500
指數、VIX、VIX 選擇權與VVIX 資料。
在 S&P500 指數之實現波動度預測當中，本篇論文的模型改良自先前文獻，
結合實現波動度、隱含波動度與S&P500 指數選擇權之風險中立偏態，所構成之
異質自我回歸模型(HAR-RV-IV-SK model)。論文額外加入VIX 變動率以及VIX指數選擇權之風險中立偏態作為模型因子，預測未來S&P500 指數實現波動度。
研究結果表示，加入VIX 變動率作為S&P500 指數實現波動度預測模型變數後，
可增加S&P500 指數實現波動度預測模型之準確性。
在 VIX 變動率預測模型之中，論文採用動態轉換模型，作為高低波動度之
下，區分預測模型的方法。以VIX 過去的變動率、VIX 選擇權之風險中立動差
以及VIX 之波動度指數(VVIX)作為變數，預測未來VIX 變動率。結果顯示動態
轉換模型能夠提升VIX 預測模型的解釋能力，並且在動態轉換模型下，VVIX 與
VIX 選擇權之風險中立動差，對於VIX 預測具有相當之資訊隱涵於其中。 / This paper tries to capture the future dynamic of S&P 500 index realized
volatility and VIX. We add the VIX change rate and the risk neutral skewness of VIX
options into the Heterogeneous Autoregressive model of Realized Volatility, Implied
Volatility and Skewness (HAR-RV-IV-SK) model to forecast the S&P 500 realized
volatility. Also, this paper uses the regime switching model and joins the VIX, risk
neutral moments of VIX options and VVIX variables to raise the explanatory ability
in the VIX forecasting. The result shows that the VIX change rate has additional
information on the S&P 500 realized volatility. By using the regime switching model,
the VVIX and the risk neutral moments of VIX options variables have information
contents in VIX forecasting. These models can be used for hedging or investment
purposes.
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採行已發生損失模型與公允價值會計對盈餘、資本適足率與信用損失之影響 / The Impacts of Adopting Incurred Loss Model and Fair Value Accounting on Earnings, Capital and Credit Loss張式傑, Chang, Shi Jie Unknown Date (has links)
本研究探討台灣於2011年依據IAS 39進行34號公報之第三次修訂實施，採用已發生損失模型後的兩項議題：（1）放款壞帳費用之提列與盈餘波動性以及資本適足率波動性之關聯性，（2）以歷史成本評價之期末金額及以公允價值評價之期末金額，究竟何者對於未來之帳款沖銷與不良債權較具有關聯性。
實證結果顯示，自2011年採用已發生損失模型後盈餘波動性無顯著之變化，且壞帳費用對於盈餘波動性無解釋能力；而自2011年後資本適足率波動性亦無顯著變化，但壞帳費用對於資本適足率波動性有顯著的影響，顯示銀行明顯透過壞帳費用之提列進行資本管理而非盈餘管理。在未來信用損失預測之部分，以歷史成本評價之期末放款金額對於未來之帳款沖銷及不良債權有顯著的負相關，而以公允價值評價之期末放款金額對於未來之帳款沖銷及不良債權卻無解釋能力，可能係因未來帳款沖銷與未來不良債權之發生與放款之帳齡有顯著的關聯性，而與未來可收取之現金流量無顯著之相關。 / This study aims to investigate how Incurred Loss Model affects the recognition of loan loss provisions and the valuation of loans due to the third revision of SFAS No. 34 which was revised based on IAS 39 in 2011. For the recognition of loan loss provisions, it focuses on the relationship with earnings volatilities and capital adequacy volatilities, and for the valuation of loans, it specializes on whether credit loss predicting is related to historical cost accounting or fair value accounting.
The result shows that, since the implementation of Incurred Loss Model in 2011, both the adoption of Incurred Loss Model and the loan loss provisions have no significant impact on earnings volatilities. For capital adequacy volatilities, implementing Incurred Loss Model has no effect on capital adequacy volatilities neither. However, the loan loss provisions since 2011 significantly enhance the volatilities of capital adequacy. It reveals that banks use loan loss provisions to manage capitals instead of earnings. For credit loss predicting, loans evaluated with historical cost accounting have significant negative relations with future charge-offs and non-performing loans while loans evaluated under fair value accounting do not have any explanation power. It may suggests that future charge-offs and non-performing loans are related to the aging of loans, but not the future payoffs of loans.
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社會網路與貨幣政策: 兼論「權衡」與「法則」 / Social network and monetary policy: rule versus discretion溫明昌 Unknown Date (has links)
本文建構代理人基之社會網路新凱因動態隨機一般均衡模型(Social Network-Based DSGE model)，並分別使用權衡性門檻型泰勒法則與一般線型泰勒法則作為代理人基之社會網路新凱因斯動態一般均衡模型中的貨幣政策方程式，模擬產出缺口、通貨膨脹、利率等總體經濟變數資料，接著利用模擬資料，探討不同網路結構對產出缺口、通貨膨脹等總體經濟變數的影響，同時比較權衡性貨幣政策與法則性貨幣政策穩定經濟的有效性。
透過產出缺口與通貨膨脹的波動性分析，本研究發現某些特定社會網路結構的影響力大於貨幣政策的影響力，決定了經濟變數的波動程度。在完全連結網路(Fully)的結構下，通貨膨脹與產出缺口的波動度明顯低於其他結構，而無標度網路(Scalefree)的結構會使產出與通膨的波動程度最大。經過驗證，本研究發現群聚度大、平均路徑短的網路結構內節點之間資訊流通速度較快，對穩定經濟有正面助益；相反的，由於無標度網路強大的中心性，使該網路內指標性節點對其餘節點具有龐大影響力，增加節點內決策的不確定性，連帶造成經濟的大幅波動。另外，在相同的網路結構下比較權衡與法則貨幣政策，研究結果指出權衡性政策會造成較大的產出缺口波動，但對抑制通貨膨脹波動的效果較佳；相對的，法則性政策對產出缺口的穩定效果較好，但卻無法兼顧通貨膨脹的波動性。 / We construct an agent-based New Keynesian DSGE model (Dynamic Stochastic General Equilibrium) with different social network structures to investigate the effects of the rule and discretion monetary policy. According to our simulation results, we find the economic stability depends on the specific social network structure rather than the monetary policy basis like rule and discretion. Generally speaking, the more average path length (the less average clustering coefficient) the network structure is, the more economic fluctuation would be. Also, the results show that scalefree network will lead the most dramatic economic fluctuations. These results are ascribed to scale
-free’s high centrality. However, if the social network structure is too complicate to control, the central banker can only manipulate the monetary policy to stabilize the economy. With different policy basis, we find the rule monetary policy will lead less output gap volatility.
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上限型股權連結保本票券之評價、避險和風險控管 / Valuation, Hedge and Risk Management of Capped, Equity-linked and Principal-protected Notes陳芬英, Chen, Fen-ying Unknown Date (has links)
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.
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跳躍風險與隨機波動度下溫度衍生性商品之評價 / Pricing Temperature Derivatives under Jump Risks and Stochastic Volatility莊明哲, Chuang, Ming Che Unknown Date (has links)
本研究利用美國芝加哥商品交易所針對 18 個城市發行之冷氣指數／暖氣指數衍生性商品與相對應之日均溫進行分析與評價。研究成果與貢獻如下：一、延伸 Alaton, Djehince, and Stillberg (2002) 模型，引入跳躍風險、隨機波動度、波動跳躍等因子，提出新模型以捕捉更多溫度指數之特徵。二、針對不同模型，分別利用最大概似法、期望最大演算法、粒子濾波演算法等進行參數估計。實證結果顯示新模型具有較好之配適能力。三、利用 Esscher 轉換將真實機率測度轉換至風險中立機率測度，並進一步利用 Feynman-Kac 方程式與傅立葉轉換求出溫度模型之機率分配。四、推導冷氣指數／暖氣指數期貨之半封閉評價公式，而冷氣指數／暖氣指數期貨之選擇權不存在封閉評價公式，則利用蒙地卡羅模擬進行評價。五、無論樣本內與樣本外之定價誤差，考慮隨機波動度型態之模型對於溫度衍生性商品皆具有較好之評價績效。六、實證指出溫度市場之市場風險價格為負，顯示投資人承受較高之溫度風險時會要求較高之風險溢酬。本研究可給予受溫度風險影響之產業，針對衍生性商品之評價與模型參數估計上提供較為精準、客觀與較有效率之工具。 / This study uses the daily average temperature index (DAT) and market price of the CDD/HDD derivatives for 18 cities from the CME group. There are some contributions in this study: (i) we extend the Alaton, Djehince, and Stillberg (2002)'s framework by introducing the jump risk, the stochastic volatility, and the jump in volatility. (ii) The model parameters are estimated by the MLE, the EM algorithm, and the PF algorithm. And, the complex model exists the better goodness-of-fit for the path of the temperature index. (iii) We employ the Esscher transform to change the probability measure and derive the probability density function of each model by the Feynman-Kac formula and the Fourier transform. (iv) The semi-closed form of the CDD/HDD futures pricing formula is derived, and we use the Monte-Carlo simulation to value the CDD/HDD futures options due to no closed-form solution. (v) Whatever in-sample and out-of-sample pricing performance, the type of the stochastic volatility performs the better fitting for the temperature derivatives. (vi) The market price of risk differs to zero significantly (most are negative), so the investors require the positive weather risk premium for the derivatives. The results in this study can provide the guide of fitting model and pricing derivatives to the weather-linked institutions in the future.
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狀態轉換下利率與跳躍風險股票報酬之歐式選擇權評價與實證分析 / Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks巫柏成, Wu, Po Cheng Unknown Date (has links)
Chen, Chang, Wen and Lin (2013)提出馬可夫調控跳躍過程模型(MMJDM)描述股價指數報酬率，布朗運動項、跳躍項之頻率與市場狀態有關。然而，利率並非常數，本論文以狀態轉換模型配適零息債劵之動態過程，提出狀態轉換下的利率與具跳躍風險的股票報酬之二維模型(MMJDMSI)，並以1999年至2013年的道瓊工業指數與S&P 500指數和同期間之一年期美國國庫劵價格為實證資料，採用EM演算法取得參數估計值。經由概似比檢定結果顯示無論道瓊工業指數還是S&P 500指數，狀態轉換下利率與跳躍風險之股票報酬二維模型更適合描述報酬率。接著，利用Esscher轉換法推導出各模型下的股價指數之歐式買權定價公式，再對MMJDMSI模型進行敏感度分析以評估模型參數發生變動時對於定價公式的影響。最後，以實證資料對各模型進行模型校準及計算隱含波動度，結果顯示MMJDMSI在價內及價外時定價誤差為最小或次小，且此模型亦能呈現出波動度微笑曲線之現象。 / To model asset return, Chen, Chang, Wen and Lin (2013) proposed Markov-Modulated Jump Diffusion Model (MMJDM) assuming that the Brownian motion term and jump frequency are all related to market states. In fact, the interest rate is not constant, Regime-Switching Model is taken to fit the process of the zero-coupon bond price, and a bivariate model for interest rate and stock index return with regime-switching and dependent jump risks (MMJDMSI) is proposed. The empirical data are Dow Jones Industrial Average and S&P 500 Index from 1999 to 2013, together with US 1-Year Treasury Bond over the same period. Model parameters are estimated by the Expectation-Maximization (EM) algorithm. The likelihood ratio test (LRT) is performed to compare nested models, and MMJDMSI is better than the others. Then, European call option pricing formula under each model is derived via Esscher transformation, and sensitivity analysis is conducted to evaluate changes resulted from different parameter values under the MMJDMSI pricing formula. Finally, model calibrations are performed and implied volatilities are computed under each model empirically. In cases of in-the-money and out-the-money, MMJDMSI has either the smallest or the second smallest pricing error. Also, the implied volatilities from MMJDMSI display a volatility smile curve.
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市場風險值管理之應用分析以某金融控股公司為例 / The analysis of Market Risk VaR management ：the case of financial holding company周士偉, Chou, Jacky Unknown Date (has links)
2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。
個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。
本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。
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