政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/96247

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Title:	證券商發行認購權證避險策略之硏究 : 以VaR衡量風險
Authors:	陳信華
Contributors:	林炯垚陳信華
Date:	1998
Issue Date:	2016-05-10 18:51:49 (UTC+8)
Abstract:	本研究主要在探討國內證券商發行認購權證的發行定價、市場價格與理論價格的關係、與發認購權權証之避險策略及風險。本研究採用了Black-Scholes與二項式評價模型Value at Risk風險值衡量模型來進行台灣證券商最早發行之四檔認購權證之實証分析，其結果如下：
Reference:	中文部分 1. 台証衍生金融商品月刊，民國87 年1 月 2. 陳松男，選擇權與期貨，民國86 年 3. 陳皇任，台灣認購權證評價與避險操作之研究，台大財金所碩士論文，民國86 年 4. 陳忠玲，台灣認購權證之觀察，貨幣觀測與信用評等，民國86 年11 月 5. 寶來証券公司權證發行公開說明書，民國86 年8 月英文部份 1. Ann E. Rodriguez, Institutions get new tools to manage risk, Wall street & technology, v12n7 2. Bennett W. Golub and Leo M. Tilman, "Measuring Yield Curve Risk Using Principal Components Analysis, value at risk, and key rate durations", The Journal of Portfolio Management, summer 1997 3. Chris Marshall and Michael Siegel, Value at risk: implementing a risk measurement standard, The journal of derivatives, spring 1997 4. Christophe Rouvinez, "Going Greek with V AR", Risk, February 1997 5. C.O. Alexander and C.T. Leigh, "On the covariance matrices used in value at risk models" The Journal of Derivatives, Sprint 1997 6. Courtney Smith, Option strategies, John Wiley & Sons 1987 7. Darrel Duffie and Jun Pan, An overview of value at risk, The journal of derivatives, spring 1997 8. Darryll Hendricks, "Evaluation of Value-at-Risk Models Using Historical Data", FEBNY Economic Policy Review, April 1996 9. Charles Smithson, Value at risk- understanding the various ways to calculate V AR, Risk ,vo19/no1/January 1996 10. Gifford Fong and Oldrich A. Vasicek, "A Multidimensional Framework for Risk Analysis", Financial Analysts Journal, July/August 1997 11. James Mevay and Christopher Turner, "Could Companies use value-at-risk?", Euromoney, October 1995 12. John C. Cox and Mark Rubinstein, Options Markets, Prentice-Hall Inc, 1985 13. J.P. Morgan/Reuters, RiskMetrics-Technical Document, Fourth Edition, 1996 14. Keith Cuthbertson, "Quantitative Financial Economics", John Wiley & Sons Ltd, 1996 15. Karen Spinner, "The V AR Explosion", Wall Street & Technology, Volume 14 No. 6 16. Lawrence G. Mcmillan, McMillan on options, John Wiley & Sons 1996 17. Mark B. Garman, "Ending the Search For Component VaR", Financial Engineering Associates, Inc., March 1997 18. Nassim Taleb, "Dynamic Hedging, Managing Vanilla and Exotic Options", John Wiley & Sons, Inc., 1997 19. Philippe Jorion, "Value at Risk: The New Benchmark for Controlling Market Risk", Irwin Professional Publishing, 1997 20. Philippe Jorion, "Risk2: Measuring the Risk in Value at Risk", Financial Analysts Journal, November/December 1996 21. Robert 1. Schwartz and Clifford W. Smith, JR., "Derivatives Handbook, Risk Management and control", John Wiley & Son, Inc., 1997 22. Ronald J. Frost, Options on Futures, Mcgraw-hill Book Company, 1989 23. Subu Venkataraman, "Value at risk for a mixture of normal distributions: The use of quasi-Bayesian estimation techniques", Economic Perspectives 24. Tanya Styblo Beder, "V AR: Seductive but Dangerous, Financial Analysts Journal, September-October 1995 25. Thomas S.Y. Ho, Micahel Z.H. Chen, and Fred H.T. Eng, "V AR Analytics: Portfolio Structure, Key Rate Convexities, and V AR Betas", The Journal of Portfolio Management, Fall 1996
Description:	碩士國立政治大學企業管理學系
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G91NCCV4482012
Data Type:	thesis
Appears in Collections:	[Department of Business Administation] Theses

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