教師資料查詢 | 類別: 會議論文 | 教師: 鍾惠民 HUIMIN CHUNG (瀏覽個人網頁)

標題:Market Risk and Model Risk of Financial Institutions Writing Covered Warrants
學年88
學期1
發表日期1999/12/11
作品名稱Market Risk and Model Risk of Financial Institutions Writing Covered Warrants
作品名稱(其他語言)
著者Chung, Huimin;Lee, Chin-Shen;Wu, Soushan
作品所屬單位淡江大學財務金融學系
出版者
會議名稱第八屆證券暨金融市場理論與實務研討會
會議地點高雄, 臺灣
摘要Financial institutions writing derivative warrants are exposed tomodel risk, the risk that models may be incorrectly or inappropriatelyapplied. Fat tail return distributions, forecast error in thevolatility input, and inaccurate hedging calculation are possiblecauses of model risk. Understanding model risk in the valuation andtrading of derivative securities is particularly important foremerging markets, because asset returns are too fat-tailed to benormal, and volatility is hard to forecast accurately by any methodand forecast errors remain very large. This paper provides empiricalsimulation of market risk and model risk for financial institutionswriting derivative warrants in Hong Kong, Taiwan, and Japan markets.Important market imperfections such as transaction costs and issuingcosts are considered in the simulation design. Our empiricalsimulation results show that model risk is higher for derivativewarrant issuers in emerging markets such as Taiwan and Hong Kong . Wealso discuss possible methods for reducing the model risks, namelyreducing the issuing period, volatility markup, and timing ofissuance.
關鍵字市場風險;模式風險;掩護性權證;金融業;模擬設計;交易成本;Market Risk;Model Risk;Covered Warrant;Financial Industry;Simulation Design;Transaction Cost
語言英文
收錄於
會議性質國內
校內研討會地點
研討會時間19991211~19991212
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處第八屆證券暨金融市場理論與實務研討會論文集25頁
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