English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51510/86705 (59%)
Visitors : 8266444      Online Users : 82
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18398

    Title: Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data
    Authors: Chiu, Chien-Liang;Chiang, Shu-Mei;Hung, Jui-Cheng;Chen, Yu-Lung
    Contributors: 淡江大學財務金融學系
    Keywords: Value-at-risk;Clearing margin system;TAIFEX;RiskMetrics;GARCH-t
    Date: 2006-07
    Issue Date: 2013-07-09 15:03:31 (UTC+8)
    Publisher: Amsterdam: Elsevier BV * North-Holland
    Abstract: This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the same model, original and absolute returns are compared to explore which can accurately capture the true risk. For the same return, daily and tiered adjustment methods are examined to evaluate which corresponds to risk best. The results indicate that the clearing margin adjustment of the TAIFEX cannot reflect true risks. The adjustment rules, including the use of absolute return and tiered adjustment of the clearing margin, have distorted VaR-based margin requirements. Besides, the results suggest that the TAIFEX should use original return to compute VaR and daily adjustment system to set clearing margin. This approach would improve the funds operation efficiency and the liquidity of the futures markets.
    Relation: Physica A: Statistical Mechanics and its Applications 367, pp.353-374
    DOI: 10.1016/j.physa.2005.12.034
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback