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    Title: 使用選擇權成交價格調整SPAN盤中保證金之研究
    Other Titles: Transaction price of the option to adjust the SPAN intraday margin
    Authors: 王昭智;Wang, Chao Chih
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱建良
    Keywords: 風險值;保證金;SPAN;risk;MARGIN;option
    Date: 2013
    Issue Date: 2014-01-23 13:31:07 (UTC+8)
    Abstract: 臺灣期貨交易所自2007年規劃整戶風險保證金制度,使用SPAN風險值計收保證金,主要對象為期貨商等法人為主。實施初期,交易所於每日發送五次SPAN參數檔,其中盤前盤後各一檔,盤中僅有三檔。2008年則推動實施交易人端整戶風險保證金計收制度,將SPAN保證金列為計收交易人保證金的選項之一。截至本文撰寫時,則盤中至少每半個小時發送一次參數檔。本研究利用選擇權盤中的成交價格,即時調整相鄰兩個SPAN參數檔之間的保證金計算。本研究同時檢視標的商品的價格及波動率資料,以了解其相關性。本研究使用基本統計分析檢定使用選擇權成交價格調整之SPAN保證金是否適切。研究結果顯示使用選擇權成交價格調整之SPAN保證金具備代表性。本文建議期貨商應使用選擇權成交價調整SPAN保證金計算,確保SPAN保證金能隨時反映當時的風險狀況。
    Taiwan Futures Exchange has planned entire household risk margin system since 2007, the main target is for the futures commission merchants and other corporate-based. The initial implementation is that the exchange sends five times daily from SPAN parameter file, in which each of a file premarket after-hours, after only third gear. In 2008, to promote the implementation of traders end risk margin entire household total income system, the system will collect SPAN margin traders .As of this writing, the dish at least once every half hour to send parameter file. In this study, the option intraday transaction price, instant adjustment parameter file between two adjacent SPAN margin calculations. In order to understand their relevance, the research also detects the underlying commodity prices and the volatility data. In this study, using basic statistical analysis test that use the option transaction price to adjust SPAN margin is appropriate. The results showed that use the option to adjust the SPAN margin transaction prices have representation. That proposal futures commission merchant shall use the option price adjustment SPAN margin calculation, to ensure SPAN margin can always reflect the current risk profile.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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