財金管理之風險與波動率估計及預測

Abstract

本研究計畫探討亞洲主要市場各型財金經濟時間數列財金中，風險與波動率估計及預測的統計程序。波動率是測量標的物價格變動速度的指標。如何根據個別選擇權目前市價，反推算出的標的物價格變動的速度，並進行風險管理是目前相當重要之課題。在實務上，相同現貨但不同月份、不同履約價的隱含波動率，經常出現極大的差異。本研究主要重點在於發展基於Choquet積分形式的一系列風險測度。並將此應用在量化風險相關之選擇權價格波動率，投資組合配置與精確風險評價及管理。

This research project aims at investigating practical statistical procedures, based upon various types of economic/financial time series data, for risk estimation and volatility forecasting in Asia leading markets. Volatility a measure of the risk in a financial instrument, refers to the standard deviation of the continuously compounded returns with a specific time horizon. The main focus will be on developing the current theory of coherent risk measures, based on Choquet integral formulation, with applications to assessing quantitative risks related to volatility of stock prices for option pricing, efficient portfolio allocation and accurate risk assessment and management.