期刊論文
| 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 markets—Applying 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 | en |
| ISSN | 0378-4371 |
| 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 | NLD |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18398 ) |