| dc.contributor.advisor | 江彌修<br>石百達 | zh_TW |
| dc.contributor.author (Authors) | 賴建安 | zh_TW |
| dc.contributor.author (Authors) | Lai, Chien An | en_US |
| dc.creator (作者) | 賴建安 | zh_TW |
| dc.creator (作者) | Lai, Chien An | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 29-Sep-2011 16:50:39 (UTC+8) | - |
| dc.date.available | 29-Sep-2011 16:50:39 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Sep-2011 16:50:39 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0098352025 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/50852 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 98352025 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 利用系統性風險之系列商品來擴大投資組合之投資集合與避險為近來非常熱門的議題，本文除了將波動率指數納入投資組合之外，並額外加入信用風險指數，藉由各種績效指標來衡量系統性風險指數能為投資組合所帶來的綜合效益。根據效率前緣與績效指標的結果顯示，投資級信用風險指數可以有效提升投資組合的夏普值，但卻不會使投資組合之風險值提升太多。 本文利用向量自我迴歸模型分析信用風險指數與大盤之間的動態關係，同時還利用分量迴歸進一步分析在不同報酬率之下，信用風險指數與大盤之間的關聯性。發現當市場狀況越差時，波動率指數與投資級信用風險指數間的相互影響幅度會越大，且分量迴歸其估計係數在中高分量時，明顯高於最小平方回歸模型。 綜合來說，根據本文的實證結果與過去眾多學者所做之研究，系統性風險指數確實可增進投資組合的投資效率，擴大投資組合的夏普值。更重要的是，研究信用風險指數的論文相當稀少，本文可增加此系列商品的文獻。同時也可當作台灣推出信用風險指數來促進市場效率以及作為風險管理之工具時的參考。 | zh_TW |
| dc.description.tableofcontents | 第一章 序論………………………………………………………………………1 第二章 文獻回顧…………………………………………………………………4 第一節 系統性風險指數與市場之關聯性……………………………………4 第二節 系統性風險指數之衍生性商品的應用………………………………5 第三章 商品介紹與研究方法……………………………………………………6 第一節 波動率指數 (VIX)……………………………………………………6 第二節 信用風險指數 (CDX)…………………………………………………8 第三節 Omega函數法…………………………………………………………9 第四節 Cornish-Fisher 風險………………………………………………10 第五節 向量自我迴歸模型……………………………………………………11 第六節 分量迴歸模型…………………………………………………………15 第四章 實證結果分析……………………………………………………………16 第一節 效率前緣分析…………………………………………………………16 第二節 投資效率比較…………………………………………………………20 第三節 向量自我迴歸模型之結果……………………………………………26 第四節 分量迴歸模型之結果…………………………………………………33 第五章 結論………………………………………………………………………38 參考文獻…………………………………………………………………………40 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0098352025 | en_US |
| dc.subject (關鍵詞) | 波動率指數 | zh_TW |
| dc.subject (關鍵詞) | 投資級信用風險指數 | zh_TW |
| dc.subject (關鍵詞) | 向量自我迴歸模型 | zh_TW |
| dc.subject (關鍵詞) | 分量迴歸模型 | zh_TW |
| dc.title (題名) | 系統性風險之衍生性商品對投資組合之效益分析 | zh_TW |
| dc.title (題名) | 無 | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | 2. Becker, R., A. E. Clements, and A. McClelland, 2009, “The Jump Component of S&P 500 Volatility and The VIX Index,” Journal of Banking & Finance. | zh_TW |
| dc.relation.reference (參考文獻) | 3. Black, F. and J.C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of finance. | zh_TW |
| dc.relation.reference (參考文獻) | 4. Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy. | zh_TW |
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| dc.relation.reference (參考文獻) | 12. Keating, C. and W. F. Shadwick, 2002, “A universal performance measure,” The Journal of Performance Measurement, spring. | zh_TW |
| dc.relation.reference (參考文獻) | 13. Meng, L., O. Ap. Gwilym, and J. Varas, 2009, “Volatility Transmission Among the CDS, Equity, and Bond Markets.” The Journal of Fixed Income. | zh_TW |
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| dc.relation.reference (參考文獻) | 16. Whaley, R. E., 2009, “Understanding the VIX,” The Journal of Portfolio Management. | zh_TW |
| dc.relation.reference (參考文獻) | 17. Zinna, G., 2009, “Sovereign Default Risk Premia: Evidence from the Default Swap Market,” Working Paper. | zh_TW |
