Fong與Vasicek（1997）提出風險分析應考慮敏感度分析、風險值及壓力測試，才能完整揭露投資組合的風險狀況。其中風險值的計算，不僅考慮二階風險，並且利用三階動差進行偏態修正。本文除了以變異數-共變異數法、歷史模擬法及蒙地卡羅模擬法此三種方法計算風險值，並利用Fong與Vasicek（1997）偏態修正法及Cornish-Fisher偏峰態修正法來做偏態及峰態的修正。而後再利用概似比檢驗法、回溯測試百分比法及Z檢定法作為驗證風險值模型的評比工具。我們建議在95%及99%的信賴水準下，求算風險值可利用Cornish-Fisher所提出的方法修正偏態及峰態。 / Fong and Vasicek (1997) mentioned that risk analysis should include sensitivity analysis, value at risk (VaR) and stress testing, in order to capture portfolio risk. The calculation of VaR should not only consider the second moment but should also adjust the skewness using the third moment. In this article, we determine VaR by employing three methods, the variance covariance, the historical simulation and the Monte Carlo simulation methods. In addition, we also adjust VaR for the skewness and kurtosis using the methods developed by Fong and Vasicek (1997) and Cornish-Fisher. Then, the likelihood ratio test, back testing and the Z-test are used to verify the VaR model. Our final test results suggest that calculating VaR should be adjusted for the skewness and the kurtosis as shown by the method proposed by Cornish Fisher in the 95% and 99% confidence intervals.

本文提出了一個新興風險衡量的工具的概念-期望尾端損失值(ETL)，其有別於風險值為百分位數且未考慮報酬分配的尾部風險(Tail Risk)，本研究期望能透過ETL的估計可以更完整表達投資組合所有可能面臨的風險，對於市場風險能更有效控管。 本文實證討論有關VaR與ETL穩定度的部分，VaR雖然在理論上證明無法滿足次可加性這個條件，但是在本研究實證中，即使在分配具厚尾狀況下，VaR仍滿足次加性的性質。這也表示，我們在現實生活中很難因VaR理論上缺乏次可加性，而捨棄VaR這個風險衡量工具，然ETL也有其貢獻性，其較VaR多考慮尾部資訊，可視為風險值外另一參考指標，此為本文貢獻一。 本文實證也探討移動窗口中歷史資料長度的不同，是否造成VaR與ETL估算準確性的差異，本文由實證結果發現：在歷史窗口的資料長度越長(1000日)下，並沒有正確預估VaR與ETL，而本研究中以移動窗口為500日下，使用內部模型較具正確性，故在使用風險值模型時，應謹慎選擇移動窗口之長度，此為本文貢獻二。

This paper follows Ghysels, Gourieroux, and Jasiak (1998), examines the causal relation between price and volume in Taiwan Futures Market. I use high frequency intraday data of Taiwan Stock Exchange Capitalization Weighted Stock Index in Taiwan Futures Exchange; and analyze the causality between returns and volume series, which are transformed into Markov chain, with Granger’s causal tests. I analyze the data with two different time category, trading time and calendar time. In our research we find out that Taiwan futures market has a bi-directional causality between price and volume in trading time analysis, as to the calendar time analysis, only price to volume unidirectional causality exists. Unlike the unidirectional causal relation that Ghysels, Gourieroux, and Jasiak (1998) observed in French security market.

從無線語音通訊(Voice)的日漸普及，以及日益下降的語音ARPU(Average Revenue Per User)的趨勢看來，所有的行動電信營運商(Telecom Operator)都開始在鑽研如何去推動數據的收入(Data Revenue)，以及所謂的加值型服務的利潤，借以廣增收入及營運利潤的提昇。所以如何建立一個正確的『營利模式』成為全世界所有行動電信營運商最關切的焦點之一。 台灣在行動電信數據服務以及加值型服務方面，其實發展得很早，曾經有過兩次相當大而且相當慘痛的失敗經驗。一次是在2000年和信電訊股份有限公司曾經有過引進日本NTT DoCoMo i-mode的慘痛失敗經驗；另外一件是在2003年亞太行動寬頻電信股份有限公司也曾經歷過引進韓國SK Telecom的SKVM數據服務平台技術移轉的失敗經驗。這兩起的案例由於個人都剛好身歷其境，所以印象特別深刻，檢討起來失敗的原因固然很多，但是其中如何去正確建立一個適合台灣的主客觀環境的『營運模式』卻是一個相當值得探討的問題。 手機一直是行動電話產業裡最熱門的話題，從以前的所謂的『大哥大』(AMPS類比式)手機時代，走入今天的第三代行動通訊所謂的3G『智慧型手機』的時代。手機應該算得上是繼PC電腦以來，發展最快，對人類的生活文明最具影響力的產品之一。PC是坐著那邊使用的工具，而手機卻是人們天天帶在身邊，帶著到處跑的『不可或缺的一部分』。有的人每天也許可以沒有去用電腦，但是很多人每天如果沒有手機在身邊的話，那會是一件非常嚴重的事情。手機發展的很快，也愈做愈像一台能夠隨身帶著走的『智囊包』了。不但包辦所有個人週邊的服務，尤其是所謂的『多媒體影音及下載』功能(有人稱之為:「多媒體手機」)，『網際網路』上網及網路週邊的服務功能，甚至所謂的『人對機』、『機對人』、以及『機對機』等未來無比的想像空間的一些功能及發展。所有設計出來的『營運模式』都要先透過手機去呈現在消費者面前，電信營運商也要先去做許多的驗證實驗(Initial Service Launch)以後，再去正式的推到市面上去。然後再從消費者的滿意度指標(KPI)裡去確認這些被建立的『營運模式』是正確的。 本論文就是站在是一個行動電信營運商(Telecom Operator)的立場，從『智慧型手機』的發展角度來探討未來應該如何去正確建立一個『營運模式』來。主要論述點是從國外一些成功的行動電信營運商們的『營運模式』做切入點，再探討一些台灣的第三代行動通訊上所謂的『加值型服務』(Data Service數據服務)一直發展不起來的原因；另外再從『智慧型手機』以及『手機上網』的角度去探索出一些建議，以做為正確建立一個『營運模式』（Business Model）的基礎。本研究著眼於在行動電話傳統以來就以「語音(Voice)」為主要獲利的「營運模式」，在經過「第三代行動通訊」從「建置期」到「營運期」動態競爭市場愈演愈烈的情勢下，行動電話營運商從一個完全「主導的角色」逐漸轉變成一個「中介者的角色」，其「營運模式」的選擇固然會因為各家電信營運商的「財力、物力」；及「可動用的資源」有所差異，但是在「策略」及「營運模式」的釐訂上也有相當大的學問，有時候看人家(國外)的成功，及複製人家的「成功關鍵因素」並不見得就會「一定成功」的。重要的是要能在「不同的競爭環境」下，以及「艱困險惡的競爭態勢裡」，要能「看得到別人沒看到的市場」商機，要能「把握到每一個轉折的時間點」，然後將「有效的資源集中的投下去」，勝利成功是必然的。 本研究主要的結論包括： 1. 第三代行動通訊數據服務及加值型應用服務之營運模式(Business Model)與傳統的電信服務以voice語音為主的營運模式有顯然的不同點，無法以現有的營運模式來經營數據服務及加值行應用服務。但是採行「老二主義」(也就是所謂的「跟隨主義」)在第三代行動通訊市場動態競爭環境下是可行的策略之一。（本研究案例--日本KDDI及亞太行動即為其例） 2. 傳統以「語音」為主的「營運模式」與「數據服務及加值型應用服務」為主的「營運模式」差異點為以語音為主的營運模式其主要在於對語音服務的『資費價格』(Rate price)做調制，就會對市場及競爭者產生影響力，而且這些調制的主控權是可以完全操控於營運商的掌控中的。對數據及數據加值型應用服務營運模式來說，電信營運商必須退居於「中介者」的角色，以撮合各個價值鏈的「供應商」們一起來，創建「最高的客戶價值」，並從這些撮合的過程中分得應有的利潤。(本研究案例--日本NTT DoCoMo i-mode) 3. 本研究案例是以國內行動電話，一個已完全競爭的市場裡，以一個後進者(本研究案例公司—亞太行動）開始進入市場，在幾經仔細觀察競爭者的動態後，終於發現了一個「競爭者忽略的市場空間」；以及「競爭者沒有發現的市場空間」，然後再以「更便宜的產品」切入市場，終於勝出於市場。 4. Apple繼iPOD及iTune成功之後，以一個在Music Download世界裡，完全以提供消費者Content內容服務的角度。另外，Google也以一個提供消費者全方位Internet網際網路服務的角度，雙雙切入「智慧型手機」市場，甚至於「整個的行動電話市場」，確實帶給整個手機市場無比的震撼。本研究發現iPhone也好，Google Phone也好，都是從消費者使用行動電話的角度，利用「開放型營運模式」去切入市場。這與傳統行動電話營運商，採完全「封閉型營運模式」有顯著的不同。到底「開放型營運模式」與「封閉型營運模式」最後誰會勝出呢？ 5. 數據產品的營運模式與傳統以語音為主的營運模式不同，語音產品受「價格調制」的影響很大，而價格的調制是完全掌控在行動電話營運商手中的；但是，數據產品的使用量必須經過「學習」、「認知」、「確認」及「喜好」等過程才能逐漸增加它的使用量，而這些過程中的因素變動並非完全掌控於行動電話營運商手中，因為行動電話營運商在數據產品市場中扮演的角色是「中介者」撮合的角色。本研究發現數據產品的初期投資較高，但是同質性高，容易在上述過程中被市場淘汰，但是一旦其中有一項產品能成功的在競爭的市場裡存活下來，其他同質產品的失敗都會因為這項成功的產品而能於短期內回收回來。所以數據產品必須要採「多路徑投入」方式之營運模式。 成功的數據產品，其營運模式所營造出來的利潤，都是在所謂的「長尾期」。正如同「i-mode」的母親：松永真理小姐所說的：「追求wants而非追求needs」，「我們想做一個連自己母親都能夠輕易操作的服務」等等，這些原則或信念，看似無甚高論，但卻是市場、行銷、消費的原理。而松永真理之於「i-mode」的可貴之處正在於，她去除了高科技產業的「不可親」性格，她把高科技產品拉回到人性面、市場面來處理。她看到了連結於高科技產品與市場間的「niche」。 最後歸根結底，一個數據產品的「營運模式」被成功的碩造出來，其實是來自於「不懂科技」、來自於「原創性」、來自於「生活化」、來自於「人性」、「自然」及「生活中不斷的那種來自於心靈深處的創新思維」。 / From wireless voice communications growing popularity, as well as declining voice ARPU (Average Revenue Per User) of the trends, all of the operations of telecommunications operators have begun to study how to promote the income data (Data Revenue), as well as the so-called value-added services to profit, in order to widely by income and operating profit improved. So how to create a correct 『Profitable Business Model』 as the world's telecom operators all actions focus of most concern. Taiwan in the operation of telecommunications data services, as well as value-added services, in fact, the development of very early, there have been two very large and very painful experience of failures. One was in 2000 and the KG Telecom Co., Ltd. had introduced Japan NTT DoCoMo i-mode failure of the painful experience; another in 2003 Asia Pacific Broadband Wireless Co., Ltd. has experienced through the introduction of SK Telecom of South Korea SKVM data services platform technology transfer failures. The two cases are just for personal involved, so was particularly impressed to review with a lot of reasons for the failure of course, but how to correct for the establishment of a right 『Business Model』to fit Taiwan's subjective and objective environment is a very worth exploring problems. Mobile Handset has been the mobile phone industry's hottest topics, from the previous so-called 『Big Brother』AMPS analog phone era into today's third generation mobile communications (3G) so-called 『Smart Phone』3G era. Mobile phones should be considered following the PC computer has been the fastest growing of civilized human life the most influential one of the products. PC is sitting side-use tools, and mobile phones are necessarily carried it every day, with around an integral part of you. Some people did not go a day may be able to use computers, but many people every day if there is no Mobile phone in the side, it would be a very serious matter. Mobile phone development soon, but also more like to do more one can carry away 『a think, smart-tank pack』. Not only do all individuals of the surrounding services, especially the so-called audio-visual and multimedia 『download function (some call it: 『Multimedia Mobile phone』，Internet surrounding、the Internet and network service functions, and even the so-called 『People to Machine』, 『Machine to People』, as well as 『Machine to Machine』 『next great imagination, such as some of the features of space and development. All designed 『Business Model』 must first go through a cell phone in front of consumers, telecom operators have also done a lot of verification experiment (Initial Service Launch) after the formal go to the market to go. And then from the consumer's satisfaction indicators (KPI) where these have been established to confirm the 『Business Model』 is correct. In this paper, is standing on is a mobile telecommunication Mobile Operators position, from 『Smart phone』 development perspective to explore how the future should be the correct 『Business Model』 of the establishment. The main discussion points from a number of successful operations abroad carrier's 『Business Model』 make an entry point, and then explore some of Taiwan's third-generation mobile communication; so-called 『Value-added Services』(Data Services) has been developed with not that much successful by now the reasons; additional from 『Smart phone』and 『Mobile Internet』 perspective to explore a number of recommendations to serve as the correct Business Model of the establishment basis. This study focused on the mobile phone which traditionally has been to 『Voice』 as the main profit "Business Model", after "third-generation mobile communications" from the "build phase" to "the service and operational period" become increasingly dynamic and competitive markets situation, mobile phone operators from a completely "leading role" gradually transformed into an "intermediary role", And its "business model" option of course, because each carrier's "financial and material resources"; and "available resources" be different, but in the "strategy" and "operating mode" setting also has considerable big science, and sometimes they look (outside) the success of, and copying other people's "critical success factors" and will not "necessarily successful". Is important to be in the "different competitive environment" and "difficult competitive situation in the sinister", to be able to "see other people do not see the market" business opportunities, to be able to "grasp the turning point of each point in time "and then" effective concentration of the resources go to vote, "the victory of success for granted. The main conclusions of this study include: 1. Third-generation mobile data services and value-added application services business model and traditional voice telecommunications services to voice-based mode of operation have clearly different points, not to the existing mode of operation to run data services and value-added application services firms. However, adopting the "second doctrine" (that is, the so-called "follow the doctrine") in the third generation mobile communications market and competitive environment is feasible strategies. (In this case study - Japan's KDDI and the Asia-Pacific Broadband Wireless operations shall Example) 2. The traditional "voice"-based "business model" and "data services and value-added application services," mainly "business model" point of difference to a voice-based mode of operation lies in its main voice services 『 tariff price 』(Rate price) make modulation, will be on the market and competitors influence and ownership of these modulators can be completely controlled in the control of operators. Data and data value-added application services business model for telecom operators must take a back seat in the "intermediary" role to bring together the various value chain "suppliers" are one up, to create "the highest customer value," and From these match the process of due share of profits. (In this case study - Japan's NTT DoCoMo i-mode shall Example) 3. This case study is based on the domestic mobile phone, a perfectly competitive market, with a backward person (in this case study the company - the Asia-Pacific Broadband Wireless), began to enter the market, after careful observation in the dynamics of competitors finally found a "competition who neglected market space "; and" did not find a competitor's market space, "and then" cheaper products "into the market, finally winning in the market. 4. Apple following the iPOD and iTunes success, to a Music Download world, completely in order to provide the consumer point of view Content Services. In addition, Google also provides consumers with a full-service Internet point of view, both into the "smart phone" market, and even "the whole mobile phone market", indeed to the entire mobile phone market unparalleled shock. The study found that iPhone, or, Google Phone, or are using a mobile phone from a consumer point of view, by using the "open mode of operation" to cut into the market. This is the traditional mobile phone operators, mining completely "closed mode of operation" has significantly different. In the end "open business model" and the "closed mode of operation," Who will win the final then? 5. Data products mode of operation with traditional voice-based mode of operation is different from voice products are "price modulation" a great impact, while the price is in complete control of the modulation in the hands of mobile phone operators; However, the use of data products must go through "learning," "cognitive," "confirmed" and "preferences" and other process to be a gradual increase in its usage, and these factors in the process of change is not complete control over the mobile phone operators hands, because mobile phone operators in the data market's role as "intermediary" role comes together. The study found data products a higher initial investment, but the homogeneity of the high, easy to in the above-mentioned process were eliminated, but once one has a product can be successful in a competitive market survived the failure of other homogeneous products because it will of successful products that can come back in a short period of recovery. Therefore, data mining product must be "multi-path input" mode of the mode of operation. The success of data products, and its profits created out from business model are in the so-called "long tail period." As "i-mode" mother: Miss Matsunaga Mari said: "the pursuit of wants rather than the pursuit of needs", "A Service we want to do, even their own mothers can easily operate the service," and so on, These principles or beliefs, seemingly high theory, but it is the market, marketing, consumption principle. Matsunaga Mari in the "i-mode" is a valuable point to, apart from her to go high-tech industries "not nice" character, her high-tech products back to human face, face to deal with the market. She saw the link in the high-tech products with the market between "niche". Finally, after all, a data product "business model" has been successful created made out, in fact, come from "do not understand technology" from the "original" from the "life" and from "human", "natural "and" the kind of life continued from the soul of innovative thinking. "

對金融機構而言, 壓力測試是辨識及評估金融機構發生極端事件或最糟情境下可能損失來源的風險管理方法。 國際清算銀行全球金融體系委員會 (BIS Committeeon the Global Financial System) 則將壓力測試定義為 「金融機構衡量潛在但可能 (plausible) 發生異常 (exceptional) 損失的模型」。而對監理機關來說, 壓力測試也是總體審慎分析 (macro-prudential analysis) 的一環。 總體審慎分析係利用金融體系提供的定量資訊 (quantitative information)、 及制度面與管理面提供的定性資訊 (qualitative information)。 它包括金融市場的監控及總體面與金融面的鏈結分析。 其亦為廣義的總體經濟脆弱性評估架構的一部分。 本文針對我國銀行授信資產部位, 嘗試為監理單位提供一套可實行的壓力測試方法。 結合信用風險模型 CreditPortfolioView(CPV) 以及Basel II 中信用風險資本計提的內部評等法(Internal Rating-Based Approach; IRB), 投入適當的總體經濟因子, 並透過總體因子的調整構成壓力情境 (stress scenario), 在體系內銀行皆依法計提資本和提列備抵呆帳的前提下, 檢視銀行法定資本 (regulatory capital) 的變化, 以及透過資本適足性檢視各銀行的承受能力。 在參考 1997 亞洲金融風暴以及2000 年末.com 泡沫時我國經濟情況所建立的假設性壓力情境下, 我國銀行僅有兩間達須被主管機關糾正或接管的範圍。

在金融海嘯之後, 信用風險的重要性益發為銀行金融業所重視。 為深入探索此議題, 本文以 CreditMetrics(TM) 模型為基底, 設定台灣 458 間上市櫃公司為虛擬資產組合, 做出其資產組合價值分配與資產組合損失分配, 以估量信用風險的大小, 提供銀行業計提資本時一個適當的方向。 在模型上, 本文採納 CreditMetrics(TM) 考量交易對手資產報酬率相關性的優點, 此點使我們交易對手評等的移轉產生相關性, 不致低估信用風險; 並修正其以外部評等機構所提供的無條件移轉矩陣為模型參數的設定, 使用排序普羅比模型 (Ordered Probit Model) 在移轉矩陣上引入總體因子, 搭配 Svensson 四因子模型所估計的放款殖利率, 做出條件情境的的經濟資本, 增加資本計提的準確度。 此外, 為了解總體因子的重要性, 本文將之與評等因子做比較。 實證結果發現, 加入總體因子會對信用風險造成一定程度的衝擊, 銀行業實不宜再以無條件情境做為計提資本的標準。 而在評等與曝險額呈現正相關的條件下, 評等因子的重要性比起總體因子有過之而無不及。 銀行業在計提資本時, 與其費盡心思在模型中納入總體因子, 也許應該先看看評等是否已經納入考量。

服務貿易的管制密集，因此管制也最有可能形成主要的貿易障礙，然而服務貿易總協定第6條第4項國內規章準則的談判卻幾近停滯。本文探究其中原因，著眼於管制、國內規章準則的共同點皆在於「管制」，而好的管制必然植基於成本效益評估，因此必要性測試即成為國內規章準則的核心。必要性測試的核心為管制目的、成本效益評估，本文觀察必要性測試的談判歷程，認為必要性測試的談判實不應透過管制目的的限縮，而應著重於成本效益的衡量，因此著重於成本效益評估要件的設計方有可能於必要性測試的議題取得突破。 / As service sector is heavily regulated, domestic regulation might become the major trade barrier. However, the negotiation under the General Agreement on Trade in Services (GATS) article 6.4 is almost stalled. The paper aims at analyzing the challenges in the negotiation. Focusing on the common nature of “governance” between domestic regulation and trade governance in GATS article 6.4, the paper argues that good governance must be based on impact analysis, which makes necessity test the core of GATS article 6.4 negotiation. The paper examines the negotiation history of necessity test, and argues that the focus of negotiation should be the necessity analysis, rather than the scope of objectives in necessity test. The solution of the negotiation challenge is therefore focusing on the elements of necessity analysis, particularly the trade restrictiveness.

本研究操弄受試的食物剝奪程度以及鋰鹽（LiCl）去價值程序，觀察此兩種實驗操弄對於大白鼠舔舐行為的影響，以探討飢餓驅力調節完結行為的機制。實驗一連續觀察8天大白鼠舔舐15%蔗糖液的表現，結果顯示初期兩天剝奪受試和自由吃食受試的舔舐表現並沒有顯著差異，第三天起剝奪組才顯著高於自由吃食組。實驗二待大白鼠習於食物剝奪狀態下舔舐15%蔗糖液之後，進行僅舔舐空管的消除情境測試。實驗結果顯示將剝奪狀態改為自由吃食，不論有無接受誘因學習都不能降低受試舔舐空管的表現。實驗三則待大白鼠習於食物剝奪狀態下舔舐25%蔗糖液之後，接受空管測試（實驗三A、B、C）與舔水消除情境測試（實驗三B、C）。實驗三結果如同實驗二，將剝奪狀態改為自由吃食，不論有無接受誘因學習都不能降低受試舔舐空管或舔水的表現。實驗四使用柳橙香料配加蔗糖液（20%）進行舔舐訓練，以僅含柳橙香料水進行消除情境測試。實驗結果顯示受試不論是由剝奪狀態轉為自由吃食，或由自由吃食轉為剝奪，都顯示出當驅力高舔舐表現高或驅力低表現低的現象。實驗五進行鋰鹽去價值實驗，大白鼠先擁有舔飲柳橙香料糖精液（實驗五A）或草莓香料食鹽水（實驗五B）的經驗後，再進行鋰鹽去價值程序。實驗結果顯示大白鼠唯有舔舐香料糖精液或香料食鹽水後接受鋰鹽注射才能降低其舔舐香料水的表現；糖精－鋰鹽配對、糖精－鋰鹽配對後再舔飲一次糖精液，以及香料水－鋰鹽配對都無法降低受試舔飲香料水的表現。糖精或食鹽水只要和鋰鹽配對過，便能產生味覺嫌惡。本研究結論如下：（1）飢餓驅力調節舔舐行為的能力只顯現在舔飲蔗糖液以及舔舐柳橙香料水的消除情境測試中；（2）香料與糖精或香料與食鹽必須同時呈現與鋰鹽配對才能降低香料引發舔舐行為的能力。 / The effects of food deprivation and lithium chloride (LiCl)-induced devaluation on licking behavior were studied for the regulatory mechanism of hunger drive on licking behavior. The first experiment for measuring the licking of 15% sucrose solution for 8 days and found that deprived subjects did not lick more than non-deprived ones until the third day. In the second experiment, the rats trained to lick 15% sucrose in a food-deprivation state were shifted to a non-deprivation state and tested under extinction procedure by using the empty tube. This shift in deprivation did not suppress licking in empty tube test for subjects with or without incentive learning experiences. In the third experiment, the rats trained to lick 25% sucrose in a food-deprivation state were shifted to a non-deprivation state and tested in empty tube (Exp. 3A, B, C) or water-licking test (Exp. 3B, C) conditions. Independent of incentive learning, the shift in deprivation did not suppress licking in these two kinds of extinction conditions although the concentration of sucrose was increased. In the fourth experiment, rats were trained to lick 20% sucrose mixed with orange flavor and tested in orange flavor water-licking test condition. Deprived rats licked more than non-deprived ones in the test condition whether they were trained under deprivation or non-deprivation. In the fifth experiment, rats were trained to lick orange flavor saccharin solution (Exp. 5A) or strawberry flavor sodium chloride (NaCl) solution (Exp. 5B) and then tested by the LiCl devaluation procedure. Flavored saccharin or flavored NaCl paired with LiCl suppressed rats to lick flavored water. But none of saccharin paired with LiCl, incentive learning after saccharin devaluation, and flavored water paired with LiCl had any significant effect. Saccharin or NaCl paired with LiCl could induce taste aversion. In conclusion, hunger drive modulating licking behavior was only found in licking sucrose or the flavored water-licking test condition. Further, only flavored saccharin or flavored NaCl solutions paired with LiCl could suppress licking flavored water.

本論文的目的在比較標準法和風險值法（VaR）於外匯部位資本計提數額上的差異。在VaR法方面，本篇採用變異數-共變異數法、歷史模擬法以及極端值法等三種衡量方法，並利用回溯測試（backtest）對三種方法預測風險的能力做一檢測。標準法是指財政部規定的資本計提標準方法。 本篇論文實證結果發現用VaR法所計提的資本數額是依標準法所需計提數額的一半。也就是說依標準法提列會造成過多的資金成本。另外，從安全性的角度觀之，經過回溯測試，發現採取歷史模擬法或極端值法則是值得信賴的資本計提的方法。反之，變異數-共變異數法會有低估的現象。但因計算極端值法所需要的資料過於龐大，建議使用歷史模擬法，如此相對於標準法將可省下可觀的資金成本。 第一章 研究動機與目的…………………………………1 第二章 國內外資本適足的規定…………………………3 第一節 資本適足規定(BIS)的發展……………………3 第二節 台灣相關法令規定……………………………6 第三章 文獻探討……………………………………… 10 第四章 研究方法與模型……………………………… 14 第一節 VaR模型…………………………………… 14 第二節 回溯測試…………………………………… 24 第五章 實證分析……………………………………… 28 第一節 實證資料介紹……………………………… 28 第二節 實證結果…………………………………… 29 第六章 結論…………………………………………… 42 參考文獻……………………………………………………44

在利率自由化的過程中，貨幣市場利率變化情形較以前劇烈，因此近年來 使得一些需要運用貨幣市場來融通短期資金的廠商與個人較以往面臨更大 的利率變動的風險。本文的主要目的在探討以芝加哥期貨交易所(CBOT)之 美國長期公債期貨合約、十年期公債期貨合約及五年期公債期貨合約及芝 加哥商品期貨交易所(CME) 的美國國庫券期貨、Eurodollar期貨之組合交 叉規避國內商業本票30天期、90天期、 180天期之次級市場的利率風險， 以了解利用國外利率期貨交叉規國內商業本票現貨利率風險的績效及不同 的避險期間與不同的避險比例對避險績效的影響。本研究之採樣期間 自1989年 1月至1992年10月底，並分為兩部份進行實證，一為整體樣本測 試避險模式、另一為樣本外交叉避險模式，且修正自身相關現象。 根據 實證結果，可以得到以下的結論與發現：1.在整體樣本測試交叉避模式之 自身相關迴歸分析中，當避險期間愈長時，則避險績效愈好。2.在樣本外 測試交叉避險模式--最適避險模式之價差迴歸分析與自身相關迴歸分析中 ，可以發現三種商業本票的交叉避險績效均以避險期間較短者擁有較好的 交叉避險績效。3.在樣本外測試交叉避險模式中，所有商業本票不論何種 避險期間，自然避險模式的交叉避險績效均比最適避險模式為差。4.在樣 本外測試交叉避 險模式--最適避險模式之價差迴歸分析與自身相關迴歸 分析中，可以發現所有商業本票，在單一期貨組合的交叉避險績效大致上 皆高於其他期貨組合的交叉避險績效，因此，在從事避險操作時，基於時 間及交易成本的考量，以單一期貨組合從事避險操作較為有利。