債券選擇權風險值評估 Investigate VaR on Bond Options

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题名:	債券選擇權風險值評估 Investigate VaR on Bond Options
作者:	?姿? (Tz-Shian Li), 洪台菁(Tai-Ching Hung),蔡垂君(Chui-Chun Tsai)
贡献者:	靜宜大學會計學系,(Department of Accounting, Providence University
关键词:	ARCH Family,債券選擇權,風險值,ARCH family models, bond options, Value at Risk (VaR)
日期:	2010
上传时间:	2013-08-07 01:26:40 (UTC+0)
出版者:	靜宜大學會計學系,(Department of Accounting, Providence University
摘要:	本文以2007 ?3 月26 日至2009 ?7 月31 日的債券選擇權為研究對象，並應用ARCH 等模型估計波動群聚的現象，探討債券選擇權的風險值，為估計波動群聚及厚尾現象，本文應用BHHH 估計法，就債券選擇權買權及賣權進?實證，實證結果歸納如下：(1)買權方面，前期風險均對價格與報酬風險具有顯著影響，前期殘差、風險與非預期殘差大/小幅?變化，以及好消息對價格風險呈顯著影響，而非預期訊息強?與好消息則對報酬風險產生影響。(2)賣權方面，前期殘差與前期風險均對價格與報酬風險具有顯著影響，好消息僅對價格風險呈顯著影響，而非預期訊息強?則對報酬風險產生影響。風險值與回溯測試方面，債券選擇權這檔商品的可能損失?額最多賠掉原始投資額，放棄??合約的權 ?，投資人能夠控制損失上限，然而，就報酬?的角??看，報酬?的損失?以0~100% 的?額看?，雖?算太高但著眼在實際?額的損失上，或許投資者會有怯步感，實證觀察歸納以下幾點：(1)買權方面，支付價格的最大可能損失額?是新台幣7000 元，至於報酬 ?則界於0.001295729~0.001835288，而為?進一步證實當初所?用的模型正確?高，回溯測試可檢驗模型的預測能?，失敗?位於0.082~0.2333，僅價格通過檢驗。(2)賣權方面，支付價格的最大可能損失?額也是原始投資額7000 元，而報酬?則界於 1.27894E-05~1.81151E-05，相同地，?用回溯測試可檢驗模型的預測能?，失敗?位於 0.0328~0.35，僅價格通過檢驗。綜合上述，雖然從報酬?的觀點，損失?致於過高，但投資可能的全損情況，是商品未?需注意的重點。 This paper mainly focuses on bond options from March 26 2007 to July 31 2009. Bond options have the characters of volatility clustering and fat tail. As a result, the BHHH estimation method is adopted in this study, and the probability distribution of bond option is therefore esteemed as normal distribution. With regard to the relationship of price and return of call and put options it can be concluded as follows: (1)In call options, good news on unexpected residual have significant impacts on the risk of price, return, and earlier risk. Likewise, it’s been verified that unexpected residual and deviation of unexpected residual influence the risk of price. However, the change of unexpected residual only has effects on the risk of return. The maximum possible loss is NT$7,000, and the return is between 0.01256 and 0.01598. Furthermore, in order to verify the fit of model’s goodness, back testing is used to examine the predictability. The result shows that only price passes the failure rate between 0.082 and 0.2333. (2)In put options, earlier risk and unexpected earlier residual have impacts on both the present risk of price and return, but good news on unexpected residual only significantly impact the present risk of price. Also, the change of strength on unexpected residual has impacts on the risk of return. The maximum possible loss is NT$7,000, and the return is between 0.00001256 and 0.000001598. The fit of model’s goodness is tested by back testing as well, and the failure rate is between 0.0328 and 0.35. Although the price passes the back testing the return doesn’t.
關聯:	2010中部學術財金研討會論文發表
显示于类别:	[財務金融學系] 會議論文

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