頁籤選單縮合
題 名 | 一籃子避險策略之實證研究=An Empirical Study on the Basket Hedge |
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作 者 | 陳振桐; 梁正德; | 書刊名 | 風險管理學報 |
卷 期 | 12:1 2010.05[民99.05] |
頁 次 | 頁133-154 |
分類號 | 563.727 |
關鍵詞 | 一籃子避險; 避險策略; 避險成功機率; 避險幅度; 避險表現指標; Basket hedge; Hedge strategy; Hedge success probability; Hedge severity; Hedge performance index; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究首先就國內保險公司及虛擬交易對手的角度,釐清一籃子避險構想的邏輯基礎;並在該邏輯基礎下,使用線性迴歸方法求得保險公司於任何時點建置一籃子避險所需各外幣部位的大小。在本研究討論背景下,得將避險策略定義為決定避險部位大小所需參數之組合,並依據所設定的避險表現指標,初步篩選較適之避險策略。最後,並就較適之避險策略觀察整個回溯測試期間的表現:實體資產有較大損失時避險成功的機率、回溯測試期間平均避險的幅度及模型的穩定性等。本研究結果顯示較適的一籃子避險仍是保險公司考慮本身對匯率未來預期及風險容忍度下得採行的策略之一;但同時也揭示了本研究所使用的模型及基本假設有一定的侷限,是以保險公司在實務執行上應有更嚴格的風險控管,以避免對公司財務造成劇烈的不利影響。 |
英文摘要 | The study aims to clarify the logic foundation of the basket hedge both in terms of domestic insurance companies and an imaginary counterparty. Under this foundation, linear regression is applied to compute the foreign currency positions of the basket hedge needed for insurance companies at any point of time. In the study, a hedge strategy is defined as a set of parameters to determine the hedge positions. More applicable hedge strategies are selected according to their hedge performance indices. Their performances are observed over the entire back testing period, including hedge success probability as the asset is under larger losses, average hedge severity and stability of the model. Results show that more applicable hedge strategies are still ones to be adopted by insurance companies after considering expectations of foreign exchange and risk tolerance. Results also show the limitation of the model and basic assumptions. To conclude insurance companies must take stricter risk controls to prevent adverse impacts on the financial position of the company. |
本系統中英文摘要資訊取自各篇刊載內容。