English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 57970/91504 (63%)
造访人次 : 13688426      在线人数 : 45
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻

    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95252

    题名: Market Risk and Model Risk of Financial Institutions Writing Covered Warrants
    作者: Chung, Huimin;Lee, Chin-Shen;Wu, Soushan
    贡献者: 淡江大學財務金融學系
    关键词: 市場風險;模式風險;掩護性權證;金融業;模擬設計;交易成本;Market Risk;Model Risk;Covered Warrant;Financial Industry;Simulation Design;Transaction Cost
    日期: 1999-12
    上传时间: 2014-02-11 23:59:18 (UTC+8)
    摘要: Financial institutions writing derivative warrants are exposed tomodel risk, the risk that models may be incorrectly or inappropriatelyapplied. Fat tail return distributions, forecast error in thevolatility input, and inaccurate hedging calculation are possiblecauses of model risk. Understanding model risk in the valuation andtrading of derivative securities is particularly important foremerging markets, because asset returns are too fat-tailed to benormal, and volatility is hard to forecast accurately by any methodand forecast errors remain very large. This paper provides empiricalsimulation of market risk and model risk for financial institutionswriting derivative warrants in Hong Kong, Taiwan, and Japan markets.Important market imperfections such as transaction costs and issuingcosts are considered in the simulation design. Our empiricalsimulation results show that model risk is higher for derivativewarrant issuers in emerging markets such as Taiwan and Hong Kong . Wealso discuss possible methods for reducing the model risks, namelyreducing the issuing period, volatility markup, and timing ofissuance.
    關聯: 第八屆證券暨金融市場理論與實務研討會論文集,25頁
    显示于类别:[財務金融學系暨研究所] 會議論文


    档案 大小格式浏览次数
    Market Risk and Model Risk of Financial Institutions Writing Covered Warrants_英文摘要.docx16KbMicrosoft Word137检视/开启



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