教師資料查詢 | 類別: 期刊論文 | 教師: 洪瑞成 HUNG,JUI-CHENG (瀏覽個人網頁)

標題:Clearing margin system in the futures marketsApplying the value-at-risk model to Taiwanese data
學年94
學期2
出版(發表)日期2006/07/01
作品名稱Clearing margin system in the futures marketsApplying the value-at-risk model to Taiwanese data
作品名稱(其他語言)
著者Chiu, Chien-Liang; Chiang, Shu-Mei; Hung, Jui-Cheng; Chen, Yu-Lung
單位淡江大學財務金融學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數Physica A: Statistical Mechanics and its Applications 367, pp.353-374
摘要This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the same model, original and absolute returns are compared to explore which can accurately capture the true risk. For the same return, daily and tiered adjustment methods are examined to evaluate which corresponds to risk best. The results indicate that the clearing margin adjustment of the TAIFEX cannot reflect true risks. The adjustment rules, including the use of absolute return and tiered adjustment of the clearing margin, have distorted VaR-based margin requirements. Besides, the results suggest that the TAIFEX should use original return to compute VaR and daily adjustment system to set clearing margin. This approach would improve the funds operation efficiency and the liquidity of the futures markets.
關鍵字Value-at-risk;Clearing margin system;TAIFEX;RiskMetrics;GARCH-t
語言英文
ISSN0378-4371
期刊性質國外
收錄於SCI
產學合作
通訊作者Chiang, Shu-Mei
審稿制度
國別荷蘭
公開徵稿
出版型式紙本
相關連結
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