以風險值觀點評論現行信用交易最低擔保維持率水準

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Title:	以風險值觀點評論現行信用交易最低擔保維持率水準
Other Titles:	Comment on Required Margin for Securities Margin Trading with VaR
Authors:	洪瑞成;沈育展;李命志;邱建良
Contributors:	淡江大學財務金融學系
Keywords:	風險值;信用交易;擔保維持率;GARCH模型;跳躍;Value-At-Risk;Margin Trading;Required Margin;Garch Model;Jump
Date:	2003-10
Issue Date:	2014-02-11 23:58:17 (UTC+8)
Abstract:	本文主要以風險值觀點探討國內現行的120%最低擔保維持率之適切性，能否涵蓋整戶擔保維持率向下觸及120%最低擔俘維持率後，證券金融公司要求委託人於兩個營業日補足擔保品之風險。本研究首先探討台灣上市公司股價報酬率分配形態，是否具有條件異質變異與跳躍－擴散過程，結果發現包含GARCH和跳躍行為的 Jump Garch Diffusion Process (JGD)模型為一較佳股價報酬率模型。根據 JGD模型實證結果發現在兩天與五天的持有期間下所計算得到的擔保維持率臨界值皆低於現行120%最低擔保維持率，表示目前的最低擔保維持率水準足以涵蓋証金公司所面對委託人的違約風險。本文以較為嚴謹的計量模型與研究方法得到較正確的報酬率分配形態，所計算得到的風險值與結論更具正確性與說服力。 This paper examines the rational for the 120% lowest required margin on securities margin trading in Taiwan, wondering that if 120% cash positions are enough to cover the default risk of financial holding company. Firstly, this paper distinguishes JGD to be the model, which has better capability to fit the distribution of returns. Next, we apply JGD model for VaR calculation and then transfer VaR into the critical value of required margin. The empirical results show that 120% cash position holding can cover the default risk of financial holding company very well by using correct econometric method.
Relation:	第二屆全國應用經濟學術研討會論文集，頁1-19
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Proceeding

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