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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86381


    Title: VaR模式應用於台股指數期貨風險控管之研究
    Authors: 石德隆
    Contributors: 林尚垚
    石德隆
    Keywords: 指數期貨
    風險值
    涉險值
    風險控管
    VaR
    Date: 1997
    Issue Date: 2016-04-27 11:19:27 (UTC+8)
    Abstract: 所謂VaR是指，投資組合未避險部位在某一信賴水準下持有某一段時間後所可能產生的最大損失值。其基本公式為VaR=-(ut-zqt)。其中u為報酬均值 ，Z為標準常態分配累積機率值，q為報酬標準差。VaR值對投資者有兩種意義：一是瞭解部位風險，如果這個值超過本身所可以承受的範圍，應該調整投資組合或做適當的避險動作。另一點是將VaR值視為本身所可以承受的最大損失，因此應提列等額的損失準備，風險控管人員隨時監視持有部位的市場價值，當實際損失超過VaR值時，應要求立即停損出場，否則像英商霸菱銀行倒閉事件會不斷的發生。
    Description: 碩士
    國立政治大學
    企業管理學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002048
    Data Type: thesis
    Appears in Collections:[Department of Business Administation] Theses

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