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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
21

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.
22

銀行業防制洗錢及打擊資恐機制之實務探討 / A Study on the Practice of Anti-Money Laundering and Counter-Terrorism Financing of Banking Sector

謝雪妮, Hsieh, Hsueh-Ni Unknown Date (has links)
本國為因應2018年亞太防制洗錢組織(APG)相互評鑑事宜,相關單位陸續參照國際規範,如防制洗錢金融行動工作組織(FATF)2012年發布之「防制洗錢及打擊資恐與武器擴散國際標準40項建議」、巴塞爾銀行監理委員會(BCBS)2014年發布之「健全有關防制洗錢及打擊資恐之風險管理」文件等,以及他國作法進行有關防制洗錢及打擊資恐法制規約、監管措施及自律規範等之修正,並促請義務機構強化執行,以期順利通過第三輪相互評鑑。 銀行向為洗錢及資恐犯罪喜好之金流管道,基於銀行提供之金融服務具安全性、便利性及多元化、全球化等優點,不僅吸引一般金融消費者與銀行緊密往來,亦同時受到不良分子之青睞,致金融體系資源易遭不當利用。銀行為金融體系之核心主體,負有防制洗錢及打擊資恐之義務與責任,本文爰就銀行業防制洗錢及打擊資恐實務切入,針對本國銀行應採行之因應措施基本架構進行探討。 本文將先介紹FATF之評鑑流程及方法論,以立下銀行進行防制洗錢及打擊資恐工作之目標,復就達成前開目標為方向,引述金融機構防制洗錢及打擊資恐機制之國際標準,繼而回歸國內外對銀行實際作為之法規要求,試行建構銀行防制洗錢及打擊資恐基本機制,末則就銀行於執行面可改善空間提出重點觀察建議。 隨著工業4.0、Bank3.0及Fintech(金融科技)之快速演進,銀行客戶樣貌及交易型態正在改變,健全防制洗錢及打擊資恐機制是所有銀行業共同面臨之進階版挑戰,本文謹提出銀行機制基本實務報告,俾作為開展細緻化措施之參考。另本文為一般性原則之探討,並非針對特定機構主體之描述,併此敘明。 / For the Mutual Evaluation which will be conducted by the Asia/Pacific Group on Money Laundering (APG) in 2018, basing on the following consulting international norms, such as “International Standards on combating Money Laundering and the Financing of Terrorism & Proliferation (The FATF Recommendations)” published by Financial Action Task Force (FATF) in 2012, “Sound management of risks related to money laundering and financing of terrorism” published by Basel Committee on Banking Supervision (BCBS) in 2014 and foreign advanced practices, the Taiwan authorities have amended the legal system, laws and regulations, supervision measures and self-disciplines referred to Anti-Money Laundering (AML) and Counter-Terrorism Financing(CTF). Meanwhile, every relevant entity is enhancing the prevent measures and internal control on AML/CFT (Counter-Financing of Terrorism) as well. The satisfactory result of the Third Round Mutual Evaluation will be expected. As people know, the banks are always the favorite cash flow channel of money laundering and terrorism financing, since the banks provide the financial services with advantages of safety, convenience, diversification and globalization, etc. Both general financial customers and criminals on ML/FT are attracted to make transactions with the banks. Thus, the financial system’s resources could be utilized improperly. Due to the role of the core of financial system, the banks should take the responsibility and bear the liability of Anti-Money Laundering and combating the financing of terrorism. In this paper, the primary framework on AML/CFT of domestic banks will be outlined according to the real practice. First, this paper has an introduction of mutual evaluation process and methodology in order to set the goal related to AML/CFT of the bank. Next, the model practices of international standards are presenting to achieve the goal for references. Then, this paper will focus on domestic and foreign regulatory requirements on banking, and try to construct the bank’s primary internal system of AML/CFT. Finally, there are some observations of the bank’s performance related to this issue. With the rapid evolution of Industry 4.0, Bank 3.0 and Fintech, the customers’ financial behaviors and transaction types are changing. Therefore, to keep sound internal system of AML/CFT is an advanced challenge to all the banks. This paper is trying to set a primary framework on AML/CFT of domestic banks, and to be taken reference for banks to start developing appropriate prevent measures. In addition, the statement of this paper is an approach to general principles, not indicating any specific institution.

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