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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/96247


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    題名: 證券商發行認購權證避險策略之硏究 : 以VaR衡量風險
    作者: 陳信華
    貢獻者: 林炯垚
    陳信華
    日期: 1998
    上傳時間: 2016-05-10 18:51:49 (UTC+8)
    摘要: 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：
    參考文獻: 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
    描述: 碩士
    國立政治大學
    企業管理學系
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G91NCCV4482012
    資料類型: thesis
    顯示於類別:[企業管理學系] 學位論文

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