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題名 證券商發行認購權證避險策略之硏究 : 以VaR衡量風險
作者 陳信華
貢獻者 林炯垚
陳信華
日期 1998
上傳時間 10-May-2016 18:51:49 (UTC+8)
摘要 本研究主要在探討國內證券商發行認購權證的發行定價、市場價格與理論價格的關係、與發認購權權証之避險策略及風險。本研究採用了Black-Scholes與二項式評價模型Value at Risk風險值衡量模型來進行台灣證券商最早發行之四檔認購權證之實証分析，其結果如下：
參考文獻 中文部分\n1. 台証衍生金融商品月刊，民國87 年1 月\n2. 陳松男，選擇權與期貨，民國86 年\n3. 陳皇任，台灣認購權證評價與避險操作之研究，台大財金所碩士論文，民國86 年\n4. 陳忠玲，台灣認購權證之觀察，貨幣觀測與信用評等，民國86 年11 月\n5. 寶來証券公司權證發行公開說明書，民國86 年8 月\n英文部份\n1. Ann E. Rodriguez, Institutions get new tools to manage risk, Wall street & technology, v12n7\n2. Bennett W. Golub and Leo M. Tilman, "Measuring Yield Curve Risk Using Principal Components Analysis, value at risk, and key rate durations", The Journal of Portfolio Management, summer 1997\n3. Chris Marshall and Michael Siegel, Value at risk: implementing a risk measurement standard, The journal of derivatives, spring 1997\n4. Christophe Rouvinez, "Going Greek with V AR", Risk, February 1997\n5. C.O. Alexander and C.T. Leigh, "On the covariance matrices used in value at risk models" The Journal of Derivatives, Sprint 1997 \n6. Courtney Smith, Option strategies, John Wiley & Sons 1987\n7. Darrel Duffie and Jun Pan, An overview of value at risk, The journal of derivatives, spring 1997\n8. Darryll Hendricks, "Evaluation of Value-at-Risk Models Using Historical Data", FEBNY Economic Policy Review, April 1996\n9. Charles Smithson, Value at risk- understanding the various ways to calculate V AR, Risk ,vo19/no1/January 1996\n10. Gifford Fong and Oldrich A. Vasicek, "A Multidimensional\nFramework for Risk Analysis", Financial Analysts Journal, July/August 1997\n11. James Mevay and Christopher Turner, "Could Companies use value-at-risk?", Euromoney, October 1995\n12. John C. Cox and Mark Rubinstein, Options Markets, Prentice-Hall Inc, 1985\n13. J.P. Morgan/Reuters, RiskMetrics-Technical Document, Fourth Edition, 1996\n14. Keith Cuthbertson, "Quantitative Financial Economics", John Wiley & Sons Ltd, 1996\n15. Karen Spinner, "The V AR Explosion", Wall Street & Technology, Volume 14 No. 6\n16. Lawrence G. Mcmillan, McMillan on options, John Wiley & Sons\n1996 \n17. Mark B. Garman, "Ending the Search For Component VaR",\nFinancial Engineering Associates, Inc., March 1997\n18. Nassim Taleb, "Dynamic Hedging, Managing Vanilla and Exotic Options", John Wiley & Sons, Inc., 1997\n19. Philippe Jorion, "Value at Risk: The New Benchmark for Controlling Market Risk", Irwin Professional Publishing, 1997\n20. Philippe Jorion, "Risk2: Measuring the Risk in Value at Risk", Financial Analysts Journal, November/December 1996\n21. Robert 1. Schwartz and Clifford W. Smith, JR., "Derivatives Handbook, Risk Management and control", John Wiley & Son, Inc., 1997\n22. Ronald J. Frost, Options on Futures, Mcgraw-hill Book Company, 1989\n23. Subu Venkataraman, "Value at risk for a mixture of normal distributions: The use of quasi-Bayesian estimation techniques", Economic Perspectives\n24. Tanya Styblo Beder, "V AR: Seductive but Dangerous, Financial Analysts Journal, September-October 1995\n25. Thomas S.Y. Ho, Micahel Z.H. Chen, and Fred H.T. Eng, "V AR Analytics: Portfolio Structure, Key Rate Convexities, and V AR Betas", The Journal of Portfolio Management, Fall 1996
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCV4482012
資料類型 thesis
dc.contributor.advisor 林炯垚zh_TW
dc.contributor.author (Authors) 陳信華zh_TW
dc.creator (作者) 陳信華zh_TW
dc.date (日期) 1998en_US
dc.date.accessioned 10-May-2016 18:51:49 (UTC+8)-
dc.date.available 10-May-2016 18:51:49 (UTC+8)-
dc.date.issued (上傳時間) 10-May-2016 18:51:49 (UTC+8)-
dc.identifier (Other Identifiers) G91NCCV4482012en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=108441-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.abstract (摘要) 本研究主要在探討國內證券商發行認購權證的發行定價、市場價格與理論價格的關係、與發認購權權証之避險策略及風險。本研究採用了Black-Scholes與二項式評價模型Value at Risk風險值衡量模型來進行台灣證券商最早發行之四檔認購權證之實証分析，其結果如下：zh_TW
dc.description.tableofcontents 第壹章緒論.1\n第一節研究動機與目的.1\n第二節研究範圍.3\n第三節研究架構.5\n第貳章文獻探討.6\n第一節股票選擇權.6\n第二節風險價值分析(VALUE AT RISK; VAR).16\n第三節證券商避險策略.26\n第參章研究方法與研究設計.32\n第一節資料說明.32\n第二節認購權證之理論價格與市場價格之差異.34\n第三節風險價值(VALUE AT RISK)的計算.37\n第四節避險策略之風險探討.41\n第肆章實證分析.43\n第一節認購權證之理論價格與發行價格之差異.44\n第二節認購權證理論價格與市價之差異.47\n第三節避險前與避險後VAR.53\n第四節避險前後之VAR與實際損益之比較.61\n第五節避險前與避險後實際損益比較.70\n第伍章結論與建議.80\n第一節結論.80\n第二節建議事項.83\n參考文獻.85zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV4482012en_US
dc.title (題名) 證券商發行認購權證避險策略之硏究 : 以VaR衡量風險zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部分\n1. 台証衍生金融商品月刊，民國87 年1 月\n2. 陳松男，選擇權與期貨，民國86 年\n3. 陳皇任，台灣認購權證評價與避險操作之研究，台大財金所碩士論文，民國86 年\n4. 陳忠玲，台灣認購權證之觀察，貨幣觀測與信用評等，民國86 年11 月\n5. 寶來証券公司權證發行公開說明書，民國86 年8 月\n英文部份\n1. Ann E. Rodriguez, Institutions get new tools to manage risk, Wall street & technology, v12n7\n2. Bennett W. Golub and Leo M. Tilman, "Measuring Yield Curve Risk Using Principal Components Analysis, value at risk, and key rate durations", The Journal of Portfolio Management, summer 1997\n3. Chris Marshall and Michael Siegel, Value at risk: implementing a risk measurement standard, The journal of derivatives, spring 1997\n4. Christophe Rouvinez, "Going Greek with V AR", Risk, February 1997\n5. C.O. Alexander and C.T. Leigh, "On the covariance matrices used in value at risk models" The Journal of Derivatives, Sprint 1997 \n6. Courtney Smith, Option strategies, John Wiley & Sons 1987\n7. Darrel Duffie and Jun Pan, An overview of value at risk, The journal of derivatives, spring 1997\n8. Darryll Hendricks, "Evaluation of Value-at-Risk Models Using Historical Data", FEBNY Economic Policy Review, April 1996\n9. Charles Smithson, Value at risk- understanding the various ways to calculate V AR, Risk ,vo19/no1/January 1996\n10. Gifford Fong and Oldrich A. Vasicek, "A Multidimensional\nFramework for Risk Analysis", Financial Analysts Journal, July/August 1997\n11. James Mevay and Christopher Turner, "Could Companies use value-at-risk?", Euromoney, October 1995\n12. John C. Cox and Mark Rubinstein, Options Markets, Prentice-Hall Inc, 1985\n13. J.P. Morgan/Reuters, RiskMetrics-Technical Document, Fourth Edition, 1996\n14. Keith Cuthbertson, "Quantitative Financial Economics", John Wiley & Sons Ltd, 1996\n15. Karen Spinner, "The V AR Explosion", Wall Street & Technology, Volume 14 No. 6\n16. Lawrence G. Mcmillan, McMillan on options, John Wiley & Sons\n1996 \n17. Mark B. Garman, "Ending the Search For Component VaR",\nFinancial Engineering Associates, Inc., March 1997\n18. Nassim Taleb, "Dynamic Hedging, Managing Vanilla and Exotic Options", John Wiley & Sons, Inc., 1997\n19. Philippe Jorion, "Value at Risk: The New Benchmark for Controlling Market Risk", Irwin Professional Publishing, 1997\n20. Philippe Jorion, "Risk2: Measuring the Risk in Value at Risk", Financial Analysts Journal, November/December 1996\n21. Robert 1. Schwartz and Clifford W. Smith, JR., "Derivatives Handbook, Risk Management and control", John Wiley & Son, Inc., 1997\n22. Ronald J. Frost, Options on Futures, Mcgraw-hill Book Company, 1989\n23. Subu Venkataraman, "Value at risk for a mixture of normal distributions: The use of quasi-Bayesian estimation techniques", Economic Perspectives\n24. Tanya Styblo Beder, "V AR: Seductive but Dangerous, Financial Analysts Journal, September-October 1995\n25. Thomas S.Y. Ho, Micahel Z.H. Chen, and Fred H.T. Eng, "V AR Analytics: Portfolio Structure, Key Rate Convexities, and V AR Betas", The Journal of Portfolio Management, Fall 1996zh_TW