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
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
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 en
會議性質 國內
研討會時間 19991211~19991212
國別 TWN
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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