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股票类衍生性商品投资组合之风险与保证金系统计算之理论与实证

【中文摘要】:本研究分析且改良结合对角模型与SPAN保证金逻辑之组合式保证金系统Beta-Simulation,来计算传统方式难以处理之包含股票指数期货合约、个股与个股选择权的投资组合。Beta-Simulation系统有别于其他保证金系统概念,以个股过去的历史beta来简化跨商品折抵的保证金估算,因此Beta-Simulation在计算过程上不仅比SPAN来的容易,也比TIMS系统在单一个股选择权的跨商品风险估算上更具理论基础。
本文以美国市场的资料来对Beta-Simulation系统进行模拟部位测试。测试结果显示新的保证金系统在市场风险中提供了与SPAN相同的保障,但在担保保证的要求上却比SPAN系统来的要少。而另一现行的个股选择权保证金系统TIMS,在美国市场的资料测试下,其保证金在安全性表现上就没有SPAN与Beta-Simulation来的优秀。因此,Beta-Simulation是用于计算保证金需求与衡量含股票类衍生性商品投资组合风险上之较佳风险估算模型。
此外,我们更以台湾期货交易所中,全体投资人实际未平仓部位之投资组合资料对Beta-Simulation系统做市场实际投资人操作部位测试。实证结果发现, Beta-Simulation系统确实改进了SPAN与TIMS面临跨商品交易之风险折抵问题并有效降低资金成本,不但保证金需求平均只有TAIFEX之SPAN保证金的74%,也可给予与SPAN同样的保护。而Beta-Simulation系统也通过了压力测试,在市场价格剧烈变动时,Beta-Simulation系统仍可以确实地捕捉投资人在实际市场波动下所面临之风险而提供有效的风险衡量与保护。
【英文摘要】:We modified the popular SPAN margining model with a diagonal model to construct a margining system called Beta-Simulation. We use Beta-Simulation to calculate margin requirements for portfolios that include stock index futures contract, stocks, and stock options. The Beta-Simulation system uses historical stock beta to simplify setting the appropriate requirements for collateral offset estimates for inter-commodity spreads. Our model performs computational procedure more easily than SPAN and offers a sounder theoretical basis than TIMS for credit offset estimates among individual stock options.
The Beta-Simulation model back tests competing systems using data from U.S. markets. The test results show that the new margining system provides the same market risk protection as the SPAN system but with collateral levels that are substantially less than those required by SPAN. Other popular margining systems for stock options TIMS cannot provide the same coverage for U.S. market data. Therefore, the Beta-Simulation system is shown to be a better model of calculating margins requirements and for measuring risk with respect to portfolios containing stock derivatives.
We also test the Beta-Simulation model empirically using all actual open positions by the Taiwan Futures Exchange’s clearing members. The back tests show that the new model requires only 74% of the TAIFEX SPAN margin requirements to offer the same protection at the same confidence interval. Our model also passes the simulated stress test by being assessed against the period when the financial tsunami swept the world.
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  • 来源:中山大学;作者:黄玮苓
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