淡江大學機構典藏:Item 987654321/23693
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/23693


    Title: SPAN系統風險參數之敏感度分析
    Other Titles: The Sensitive Analysis of SPAN Systematic Risk Parameters
    Authors: 蔡蒔銓;林蒼祥;李進生;段昌文
    Contributors: 淡江大學財務金融學系
    Keywords: 風險參數;敏感度分析;整戶風險保證金系統;期貨交易;Standard portfolio analysis of risk;SPAN
    Date: 2006-09
    Issue Date: 2010-05-26 17:39:15 (UTC+8)
    Publisher: 臺灣期貨交易所股份有限公司
    Abstract: SPAN系統為芝加哥商業交易所(Chicago Mercantile Exchange,CME)所推出的整戶風險保證金系統(Standard Portfolio Analysis of Risk,SPAN)，目前為多數重要的國際期貨交易所採用。相對傳統保證金計算系統的主要的優勢，在於SPAN系統以風險值(Value at Risk, VaR)的觀念為基礎，根據整戶交易部位所暴露的風險做為計算保證金的依據，同時考慮跨商品交易所產生的風險抵減效果。其目的在於有效地降低交易人因未來價格風險而產生違約的可能性，另一方面亦得以避免收取過高的保證金而降低市場資金之運用效率。
    Relation: 臺灣期貨市場 8(5), p.29-43
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article
    [Graduate Institute & Department of Banking and Finance] Journal Article

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