查詢結果分析
來源資料
頁籤選單縮合
題 名 | 極端值理論於指數期貨保證金設定上之應用=Application of Extreme Value Theory on the Margin Settings for Index Futures |
---|---|
作 者 | 周恆志; 曹懋鍇; | 書刊名 | 亞太社會科技學報 |
卷 期 | 4:1 2004.09[民93.09] |
頁 次 | 頁69-94 |
分類號 | 561.76 |
關鍵詞 | 期貨保證金; 極端值; 條件極端值; 指數期貨; Margin levels; Extreme value theory; Conditional extreme value theory; Index futures; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以新加坡交易所的指數期貨為研究對象,以半參數法估計極端值分配的參數,分別應用非條件與條件極端值分配,捕捉期貨報酬率尾端分配厚尾及異質變異等特性,以推估合理的期貨保證金水準。實證結果證實極端值分配有助於捕捉報酬率分配的厚尾性質與異質變異性,且越接近分配之尾端,條件極端分配比非條件極端值分配較能準確估計期貨部位發生保證金不足的機率。其次,尾端分配穩定性檢定顯示,期交所可以對買進與放空部位設立相同的保證金水準,然而不同期貨契約的保證金水準應該依據其風險特性而有所差異。最後,本文推論若期交所設定較高的保證金水準固然可以降低違約風險,減少追繳保證金的頻率,然而當出現極端價格變動當成保證金不足時,大規模的追繳保證金可能造成市場信用緊縮。 |
英文摘要 | This study applies both conditional and unconditional EVT on the margin settings of index futures traded in SGX-DT. The probability distribution of futures contract’s daily return is fat-tailed and heteroskedastic, which Normal distribution cannot describe well. Semi-parametric approach is adopted on estimating the tail index and the threshold level. Results show that both tails of the distribution are similar statistically. Therefore it is reasonable requiring the same margin level for both tails. However, any two futures contract may have different risk profiles, so it might be necessary to require different margin levels. Besides, the performance test shows that the conditional EVT has better performance than the unconditional EVT. As Exchange requires a higher margin level, the probability of margin exceedences decreases. However, when an extreme event happens, more funds will be needed to cover the loss, which might cause market credit crunch. |
本系統中英文摘要資訊取自各篇刊載內容。