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Title: 備兌型認購權證避險策略與績效之評估
Authors: 范雅琁
Contributors: 陳威光
Keywords: 認購權證
Date: 2001
Issue Date: 2016-04-15 16:05:18 (UTC+8)
Abstract: 備兌型認購權證的發行者,會因為調整避險部位而產生損益,一旦避險不當,避險的損失甚至會侵蝕發行時的權利金收入。本研究分別針對避險帶避險法、Gamma避險法以及Minimax避險法三種避險策略作模擬。在績效評估方面,本文主要以風險值(VaR)衡量風險,以反映避險損失時的下方風險。為了與VaR指標作一比較,本文也將information ratio績效評估的方法納入,同時為了觀察避險誤差與交易成本的抵換關係,本文也以避險誤差與交易成本之總和作為一項績效評估的指標。本文發現:
Reference: 中文部分
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Description: 碩士
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Data Type: thesis
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