The dissertation proposes three approaches for financial risk management. In the first topic, we investigate the stock return and risk of financial holding companies via Markov regime-switching model. The model reduces the disadvantage of traditional linear model, which disregard information of another regime if there exist structural change during the estimation periods. The empirical result shows that all financial holding companies have different stock risk between state 0 and state 1. Moreover, stock risks of all financial holding companies are significant lower after listing. That is, financial holding companies have diversification benefits after listing. In the second topic, we gauge the credit risk of guarantee issue in a bills finance company in Taiwan by a market-based model. Since bills finance companies engage in short-term loans, we renew the contract that can extend short-term loans to mid-and long-term loans. We find that the recovery rate, different industries and business cycle have significant impact on the credit risk of the bills finance company. In the third topic, we relax the assumption of Jarrow, Lando and Turnbull (1997), and propose an elaborate model to gauge the credit risk of Taiwanese bank loans. The empirical result indicates that the credit risk is heavily reliant on the recovery rate. Therefore, collateral value check procedure is very important, which has been found in previous topic. On the other hand, we find that the credit risk management is indifferent between banks participated in financial holding companies and others. That is, banks do not have better credit risk management if take part in financial holding companies. In conclusion, we expect approaches of the dissertation will be helpful for Taiwan¡¦s financial institutions to rise to the challenge of financial risk in the future.

本篇論文主要在外匯市場建立市場投資組合、利差交易投資組合與動能交易投資組合，探討透過不同情境適當改變投資組合比重配置，是否能夠顯著提升交易策略的報酬表現。 以1999年1月至2015年10月為樣本期間，根據28個國家外匯市場資料建構市場投資組合、利差交易投資組合與動能交易投資組合等，之後根據三種投資組合報酬情況透過馬可夫情境轉換模型區分成三種情境。按三種情境的各種投資組合超額報酬表現，再利用馬可維茲的平均數-變異數投資組合模型配置各情境下各項交易的比重，再依據計算出的預期情境與相對應比重進行投資。其結果顯示在樣本期間內，本篇論文的交易策略相較於外匯市場投資組合、利差交易投資組合與動能交易組合有較佳的投資表現。 在樣本外測試部分，採用自2012年中開始的連續情境二資料進行分析。報酬方面，在其他交易型態呈現負報酬較多情況下，就本文交易策略而言，投資者隨時根據其各種交易平均報酬與共變異數進行交易比重配置，適時放空交易策略或投資無風險資產，產生正報酬。但從標準差可以推斷投資者面對未來的不確定，在整個樣本外期間歷時的34個月當中標準差亦無法有效降低，說明了投資者面對下一期總體環境的高不確定性。 / In this thesis, we mainly investigate whether it could improve the performance of currency portfolio by adjusting weights among carry trade, momentum and market return in foreign exchange market under different kinds of regimes. Based on a sample of 28 market currencies, we form three kinds of transactions in our portfolio, including carry trade, momentum, and market return. Under Markov switching model, we divide the sample period into three regimes, and then determine weights among carry trade, momentum and market return by parameters of each re-gime using Markowitz mean-variance analysis. Finally, we invest different weights among three transactions according to each expected regime. We find the result that although the return of the strategy is just a little higher than the carry trade, the risk is much lower compared to other transactions. In our out-of-sample testing, we analyze the performance by using the data of the regime two which begins September, 2012. With the respect to the return, most of other risky transactions have negative return, but we get positive return by adjusting the long position and short position according to the result of the mean-variance anal-ysis. However, we can not effectively reduce risk by using the strategy, and in the meantime it can explain the high uncertainty investors face toward the next period.

學術上不接受技術分析等方法，認為股價已經在市場上充分反應，過去的歷史股價不能對未來進行預測。然而，業界或一般的投資人，卻往往把技術分析拿來做為買賣的依據。實際上以歷史資料做模擬交易，卻可以發現許多技術分析的法則在某些市場、股票、期間之中，可以獲得相對於買進賣出更好的報酬。有趣的是，任何一種操作法則或是特定一組參數選擇，在樣本外的操作則無法完全發現同樣的結果。故以技術分析所獲得的超額報酬，究竟是此機制有效還是單純運氣成分，許多技術分析的文獻以及著作往往著墨甚少。 本論文利用狀態轉換模型(Regime Switching Model)捕捉台灣加權股價指數，將股價的動態分為上漲以及下跌兩種狀態，並估計其市場參數—漲跌速度、漲跌速度標準差、轉換機率。其次將所估計的市場參數做為模擬的依據，可發現在單純隨機的環境下，某些市場參數組合存在移動平均線的交易策略明顯優於買進持有策略。研究中以敏感度分析的方法，呈現各個單一市場參數的改變情形，對於操作績效影響的方向。 最後將2001~2010的的台灣加權股價指數，估計市場參數並找尋當下最適的移動平均組合，允許每季重新調整參數，並實際以收盤價做為買賣模擬。結果發現移動平均線操作，確實能提供比買進持有更好的報酬，並減低每年報酬率變異。

Univ., Diss.--Kiel, 2001.

L’Europe a subi la crise la plus sévère de sa récente histoire à la suite de la crise financière globale de 2008. C’est pourquoi cette thèse a l’objectif d’identifier de façon empirique les déterminants de cette crise dans le cadre de 15 principaux membres de l’UE. Dans ce sens, nous développons d’abord un index de pression fiscale continu, contrairement aux travaux empiriques précédents, afin d’identifier des périodes de crise dans les pays UE-15 de 2003 à 2015. Ensuite, nous utilisons trois différentes techniques d’estimation, à savoir Cartes auto-organisatrices, Logit et Markov. Nos résultats d’estimation démontrent que notre indicateur de crise identifie le timing et la durée de la crise de dette dans chacun des pays de UE-15. Résultats empiriques indiquent également que l’occurrence de la crise de dette dans l’UE-15 est la conséquence de la détérioration de balances macroéconomiques et financières sachant que les variables comme le ratio des prêts non-performants sur les crédits totaux du secteur bancaire, la croissance du PIB, chômage, balance primaire / PIB, le solde ajusté du cycle PIB. De plus, variables démontrant la qualité de gouvernance tel que participation et responsabilisation, qualité de la réglementation, et de l'efficacité gouvernementale, jouent également un rôle important dans l’occurrence et sur la durée de la crise de dette dans le cadre de l’UE-15. Étant donne que les résultats économétriques indiquent l’importance de la détérioration fiscale dans l’occurrence de la crise de dette européenne, nous testons la convergence fiscale des pays membre de l’UE. Les résultats montrent que Portugal, Irlande, Italie, Grèce et Espagne diverge des autres pays de l’UE-15 en termes de dette publique / PIB alors qu’ils convergent, à part la Grèce, avec les autres pays membres de l’UE-15 en termes de déficit budgétaires / PIB. / Europe went through the most severe economic crisis of its recent history following the global financial crisis of 2008. Hence, this thesis aims to empirically identify the determinants of this crisis within the framework of 15 core EU member countries (EU-15). To do so, the study develops a continuous fiscal stress index, contrary to previous empirical studies that tend to use event-based crisis indicators, which identifies the debt crises in the EU-15 and the study employs three different estimation techniques, namely Self-Organizing Map, Multivariate Logit and Panel Markov Regime Switching models. Our estimation results show first that the study identifies correctly the time and the length of the debt crisis in each EU-15-member country by developing a fiscal stress index. Empirical results also indicate, via three different models, that the debt crisis in the EU-15 is the consequence of deterioration of both financial and macroeconomic variables such as nonperforming loans over total loans, GDP growth, unemployment rates, primary balance over GDP, and cyclically adjusted balance over GDP. Besides, variables measuring governance quality, such as voice and accountability, regulatory quality, and government effectiveness, also play a significant role in the emergence and the duration of the debt crisis in the EU-15. As the econometric results clearly indicate the importance of fiscal deterioration on the occurrence of the European debt crisis, this study also aims to test the fiscal convergence among the EU member countries. The results indicate that Portugal, Ireland, Italy, Greece, and Spain diverge from other EU-15 countries in terms of public debt-to-GDP ratio. In addition, results also show that all PIIGS countries except for Greece converge to EU-10 in terms of budget deficit-to-GDP ratio.

Problem statement: Accurate and reliable forecasts of trends in the housing market can be useful information for market participants as well as policy makers. This information may be useful to minimize risk related to market uncertainty. Since the burst of the housing bubble in the early 1990s the price level of single-family houses has risen sharply in Sweden. The Swedish housing market has experienced an unusually long period of high growth rates in transaction prices which has opened up for discussions about the risk of another housing bubble. Business and property cycles have shown to contain asymmetries, which linear models are unable to pick up and therefore inappropriate to analyze cycles. Approach: Therefore, this study uses non-linear models which are able to pick up the asymmetries. The estimated models are variations of the Markov-switching regression model, i.e. the Markov-switching autoregressive (MS-AR) model and the Markov-switching dynamic regression (MS-DR) model. Results: Our ndings show that the MS-AR(4) model allowing for varying variance across regimes estimated using the growth rate of FASTPI produce superior forecasts over other MSAR models as well as variations of the MS-DR model. The average expected duration to remain in a positive growth regime is between 6.3 and 7.3 years and the average expected duration to remain in a negative growth regime is between 1.2 to 2.5 years. Conclusion: The next regime shift in the Swedish housing market is projected to occur between 2018 and 2019, counting the contraction period in 2012 as the most recent negative regime. Our ndings support other studies ndings which indicate that the longer the market has remained in one state, the greater is the risk for a regime shift. / Problemformulering: Noggranna och tillforlitliga prognoser om utvecklingen pa bostadsmarknaden kan vara anvandbar information for marknadsaktorer samt beslutsfattare. Denna information kan vara anvandbar for att minimera risken relaterad till osakerheten pa marknaden. Sen bostadsbubblan sprack i borjan av 1990-talet har prisnivan for smahus okat kraftigt i Sverige. Den svenska bostadsmarknaden har upplevt en ovanligt lang period av hog tillvaxt i transaktionspriser som har oppnat upp for diskussioner om risken for en ny bostadsbubbla. Konjunkturoch fastighetscykler har visat sig innehalla asymmetrier som linjara modeller inte kan uppfanga och darfor visat sig vara olampliga for att analysera cykler. Tillvagagangssatt: Darfor anvander den har studien icke-linjara modeller som kan uppfanga dessa asymmetrier. De skattade modellerna ar variationer av Hamiltons Markov-switchingmodell, dvs. en autoregressiv Markov-switchingmodell (MS-AR) och en dynamisk Markov-switchingmodell (MS-DR). Resultat: Resultatet visar att MS-AR(4)-modellen som tar hansyn till varierande varians over regimerna estimerad med tillvaxten av FASTPI producerar overlagsna prognoser jamfort med andra MS-AR-modeller samt variationer av MS-DR-modellen. Den genomsnittliga forvantade varaktigheten att benna sig i en positiv regim ar mellan 6,3 och 7,3 ar och den  genomsnittliga forvantade varaktigheten att benna sig i en negativ regim ar mellan 1,2 till 2,5 ar. Slutsats: Nasta regimskifte pa den svenska bostadsmarknaden beraknas ske mellan 2018 och 2019, antaget att nedgangen under 2012 ar den senaste negativa regimen. Resultatet stodjer tidigare studier, som tyder pa att ju langre marknaden har varit i ett tillstand, desto storre ar risken for ett regimskifte.

本研究目的在於探討Put-Call Parity（PCP）所隱含的買權、賣權與標的資產間的價格變動關係。藉由探討PCP偏差程度的動態行為，推論若PCP的偏差為隨機漫步過程，則無法達到長期穩定，隱含PCP的廣義關係無法成立；反之，若PCP的偏差具有回歸平均特性，表示長期會達到穩定狀態，則PCP的廣義關係成立。 在研究方法上本文以變異數比率法檢定指數選擇權的PCP偏差是否為隨機漫步過程，採用隱含利率和實際無風險利率的差代表PCP的偏差程度，利用馬可夫轉換模型描繪PCP偏差的動態行為，並使用Gibbs Sampling演算法說明參數的不確定性。 本文以S&P500和DAX為研究標的，並探討股利不確定性是否影響PCP廣義關係，得到下列結論： 1、 對於S&P 500指數選擇權而言，不論是以日資料或週資料估計VR，S&P 500的PCP偏差都無法提供回歸平均的證據，隱含S&P 500的PCP廣義關係無法成立。 2、 對於DAX指數選擇權而言，檢定日資料的結果發現，DAX之PCP偏差在長期時（40~50日）有明顯的回歸平均的證據；而在檢定週資料時，使用原始資料法在90%信心水準下，不論取任何lag都可拒絕虛無假設，使用標準化資料則無法提供明顯的回歸平均證據。 3、 比較S&P 500和DAX，檢定日資料與週資料的結果都發現，DAX的p-value都比S&P 500小，並且S&P 500的PCP偏差都無法提供回歸平均的證據，而DAX有明顯回歸平均現象，隱含在消除股利的不確定性後，指數選擇權PCP的廣義關係式成立之證據較強烈。

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.

本文使用Esscher轉換法推導狀態轉換模型、跳躍獨立風險下狀狀態轉換模型及跳躍相關風險下狀態轉換模型的選擇權定價公式。藉由1999年至2011年道瓊工業指數真實市場資料使用EM演算法估計模型參數並使用概似比檢定得到跳躍相關風險下狀態轉換模型最適合描述報酬率資料。接著進行敏感度分析得知，高波動狀態的機率、報酬率的整體波動度及跳躍頻率三者與買權呈現正相關。最後由市場驗證可知，跳躍相關風險下狀態轉換模型在價平及價外的定價誤差皆是最小，在價平的定價誤差則略高於跳躍獨立風險下狀態轉換模型。 / In this paper, we derive regime switching model, regime switching model with independent jump and regime switching model with dependent jump by Esscher transformation. We use the data from 1999 to 2011 Dow-Jones industrial average index market price to estimate the parameter by EM algorithm. Then we use likelihood ratio test to obtain that regime switching model with dependent jump is the best model to depict return data. Moreover, we do sensitivity analysis and find the result that the probability of the higher volatility state , the overall volatility of rate of return , and the jump frequency are positively correlated with call option value. Finally, we enhance the empirical value of regime switching model with dependent jump by means of calculating the price error.

Modern financial asset pricing theory is a broad, and at times, complex field. The literature review in this study covers many of the asset pricing techniques including factor models, random walk models, correlation models, Bayesian methods, autoregressive models, moment-matching models, stochastic jumps and mean reversion models. An important topic in finance is portfolio opti-misation with respect to risk and reward such as the mean variance optimisation introduced by Markowitz (1952). This study covers optimisation techniques such as single period mean variance optimisation, optimisation with risk aversion, multi-period stochastic programs, two-fund separa- tion theory, downside optimisation techniques and multi-period optimisation such as the Bellman dynamic programming model. The question asked in this study is, in the context of investing for South African individuals in a multi-asset portfolio, whether an active investment strategy is signi cantly di erent from a passive investment strategy. The passive strategy is built using stochastic programming with moment matching methods for non-Gaussian asset class distributions. The strategy is optimised in a framework using a downside risk metric, the conditional variance at risk. The active strategy is built with forward forecasts for asset classes using the time-varying transitional-probability Markov regime switching model. The active portfolio is finalised by a dynamic optimisation using a two-stage stochastic programme with recourse, which is solved as a large linear program. A hypothesis test is used to establish whether the results of two strategies are statistically different. The performance of the strategies are also reviewed relative to multi-asset peer rankings. Lastly, we consider whether the findings reveal information on the degree of effi ciency in the market place for multi-asset investments for the South African investor. / Operations Management / M. Sc. (Operations Research)