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| Title: | 匯率類店頭衍生性商品集中結算 : 目標可贖回遠期契約評價模式與保證金計算
Central Clearing of OTC Foreign Exchange Derivatives: The Pricing and Margin Models of Target Redemption Forwards |
| Authors: | 何傑操
He, Jie-Cao |
| Contributors: | 林士貴
陳亭甫
Lin, Shih-Kuei
Chen, Ting-Fu
何傑操
He, Jie-Cao |
| Keywords: | 目標可贖回遠期契約
保證金模型
Target redemption forward
Hull and white
Margin model
VaR
GARCH |
| Date: | 2018 |
| Issue Date: | 2018-07-03 17:27:05 (UTC+8) |
| Abstract: | 隨著金融商品的發展，衍生性金融商品的交易逐漸成為金融市場的主要交易商品，也使得金融行銷部門(TMU)成為各大銀行獲利的主要來源。在台灣的衍生性商品交易市場中，目標可贖回遠期契約(TRF)是最受投資人歡迎的產品之一。目標可贖回遠期契約是一種投資人與銀行對賭人民幣兌美元匯率的升貶的外匯選擇權契約。由於人民幣兌美元在2011年至2014年初持續升值，讓投資人獲得巨額利潤，吸引投資人簽訂超出其風險承受範圍的契約金額。然而，2014年初至2018年，人民幣持續貶值，導致所有投資人產生巨額虧損。
大量文獻指出，店頭類衍生性商品應當納入集中結算。本文先使用Hull and White模型構建目標可贖回遠期契約的評價模式，然後基於評價模式得到之價格，配適出相對較佳的保證金模型。
With the development of financial commodities, the trading of financial derivatives have gradually become the main trading commodity of the financial market, and the Treasury Market Unit (TMU) has become the main source of profit for each banks.
In Taiwan`s derivatives trading market, the Target Redemption Forward (TRF) is one of the most popular products for investors. TRF is a foreign exchange option contract between the investor and the bank to gamble the exchange rate of the CNY against the USD. As the RMB continued to appreciate against the US dollar from 2011 to the beginning of 2014, investors were given huge profits, attracting investors to sign contracts that exceeded their risk tolerance. However, from the beginning of 2014 to 2018, the CNY continued to depreciate, causing huge losses for all investors.
A large number of researches pointed out that OTC derivative commodities should be included in centralized settlement. In this paper, firstly, the Hull and White model is used to construct the pricing model of TRF, and then a relatively better margin model is fitted based on the price obtained by the pricing model. |
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| Description: | 碩士
國立政治大學
金融學系
105352036 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105352036 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.MB.010.2018.F06 |
| Appears in Collections: | [金融學系] 學位論文
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