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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/19599

    Title: 以風險值的觀點探討現行信用交易之最低擔保維持率
    Other Titles: Investigation on the Minimal Maintenance Ratio for Present Margin Trading Using Value at Risk
    Authors: 邱建良;林卓民;洪瑞成;陳逸君
    Contributors: 淡江大學財務金融學系
    Keywords: 信用交易;最低擔保維持率;風險值;EWMA;GARCH-t;GARCH-Beta-t;Margin Trading;Margin Minimal Maintenance Ratio;VaR;EWMA;GARCH-t;GARCH-Beta-t
    Date: 2004-09-01
    Issue Date: 2009-11-11 09:18:44 (UTC+8)
    Publisher: 臺北大學企業管理學系
    Abstract: 本文以風險值的觀點探討授信機構在現行最低擔保維持率為120%之風險控管能力及其是否能保障其債權。本文實證分析2000年1月10日到2002年12月18日750 筆電子類股指數、金融類股指數、塑膠類股指數三大指數。實證結果顯示EWMA模型風險控管的能力和GARCH-t模型、GARCHB-t模型差不多,但其資金使用效率為最佳。再者,本文根據EWMA模型進一步分析現行最低擔保維持率的適合度。結果顯示在不同的的信心水準下(99%、95%及90%),現行最低擔保維持率為120%之規定是足以擔保授信機構之債權的。
    Relation: 企業管理學報 62,頁 55-77
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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