臺灣博碩士論文加值系統

論文摘要
隨著主管機關對金融商品創新愈趨開放，進而使得國內金融業者能夠提供多元化之投資商品給予投資人。然外匯市場在全球推動自由化改革影響下，匯率的變動不再是微量幅度，變動頻率也隨之增加，外匯風險對個人及企業的影響力實在不容輕忽。本文的目的即為探討以外匯避險工具來規避匯率風險及避險效益之優劣。本研究進行所採用的避險比較方式分別為(1)完全不避險方式、(2)遠期外匯交易避險方式、(3)外匯選擇權中 Buy Put 及 Sell Call 避險方式。 模擬該個案公司於2005年初於每個月投入USD1,000,000.-承作一個月期DCD，而貨幣以美元對作歐元為主進行避險。分別採用利率平價理論(Interest rate parity)及選擇權定價公式以Black Scholes模型加以修正進而推演出適合外匯選擇權的評價模型「G&K模型」，計算出上述三種避險工具四種方式契約到期的履約價格所產生的避險風險及避險效益，並將避險結果之優劣進行比較分析，提供未來投資者在外匯避險操作上選擇參考。
本研究採實質化推演的方式進行研究探討，針對模擬個案公司於外匯避險策略執行所產生相關的優勢加以探討、分析對照。研究發現如下:
1. 100 % Sell Forward 或 Sell Euro Call / USD Put Option所面臨的外匯風險遠較完全不避險來的高。
2. 就避險效益來考量發現其優劣順序為: Sell Euro Call / USD Put Option > Sell Euro Forward > Not-hedged > Buy Euro Put / USD Call Option。
3. 100% Buy Euro Put / USD Call 之避險效益為最差，且所面臨的外匯風險最低。而 100% Sell Euro Call / USD Put之避險效益為最好，但所面臨的外匯風險為最高。
4. Sell Forward 或 Sell Euro Call / USD Put Option 這二種避險方式，所分別產生出的避險效益有相同的趨勢，呈現出一致性的結果，其避險比率越高，避險效益愈佳，避險比率與避險效益有正相關性。
5. 採用75% 以下之Sell Forward 或 Sell Call Option 其避險風險&避險效益遠較完全不避險來的佳。

本研究建議投資者未來於從事衍生性金融商品避險操作時，可試行採取不同的避險方法及不同的避險比率，以測試出可降低投資風險的避險策略，並可針對其他本研究中未採用的避險方法、策略與不同的避險比率進行不同研究期間檢測避險風險與避險效益的相關性來更進一步探討。

Abstract
As the restrictions and regulations on financial instruments / products are becoming loose, banks and securities firms can now provide a more variety of investment products for the investors. The FX risk / impact on individuals and institutions should not be overlooked because the movement of FX rates are more volatile, and the frequency of rate hikes / drops are higher than before, due to the global trend. The purpose of this article is to explore the effectiveness of various FX hedging instruments. The comparison method that this study employs are (1) no hedge strategy used, (2) hedge strategy – forward, (3) hedge strategy – FX options, including Buy Put and Sell Call. At the beginning of 2005, the subject company buys USD1,000,000 of DCD every month, each with a tenor of 1 month, using USD as the base currency, and EUR as the converted currency. Interest rate Partity and a modified Black Scholes model (G&K Model) were used to calculate the hedging results from the 3 different hedging strategies mentioned above. The results are to provide an insight for future investors when conducting FX hedge strategies in the future.

This study explores and analyzes the results. The findings are as follows:
1. There is a higher FX risk exposed using 100% Sell Forward or Sell Euro Call / USD Put Option than when no hedge strategy is used at all
2. The effectiveness of FX strategies from the best to the worst are:
Sell Euro Call / USD Put Option > Sell Euro Forward > Not Hedged > Buy Euro Put / USD Call Option
3. 100% buy Euro Put / USD Call has the result, but with the lowest FX risk. 100% sell Euro Call / USD Put has the best result, but with the highest FX risk.
4. Sell Forward or Sell Euro Call / USD Put options share similar results, and can conclude that the percentage being hedged is positively correlated with the effectiveness of a hedge.
5. Employs less than 75% Sell Forward or Sell Call Option has better effect than with no hedge strategy.

This study suggests that investors can try various hedging methods with various percentages in order to determine a hedging strategy that is suitable to lower his/her investment risk. He/She can also try methods, strategies and different percentages that were not used in this study to conduct different studies to determine the relationship between the different hedging risks and their effectiveness.

論文摘要 3
表目錄 9
圖目錄 10
第一章 緒論 11
第一節 研究背景 11
第二章 文獻探討 17
第三章 研究方法 33
第二節 避險策略 40
第三節 個案模擬避險操作方法 42
第四章 避險策略分析結果 43
第一節 模擬假設避險方法分析 43
第二節 模擬避險策略結果分析 45
圖.4-4-1 平均避險效益分析圖 55
圖.4-4-2 平均避險效益分析圖 55
第五章 結論與建議 57
參考文獻 59


表目錄

表3-1 歐元相關基本資料會總表...............38
表.4-1 各避險比率之平均損益表.............49
表.4-2-1 報酬率變異數......................50
表.4-2-2 平均損益..........................50
表.4-2-3 總避險報酬分析表..................51


附表1 選擇權避險績效 - 以完全不避險方式 .63
附表 2 遠匯到期的避險績效 - 以遠期外匯100%方式 .64
附表3 遠匯到期的避險績效 - 以遠期外匯75%方式. 65
附表4 遠匯到期的避險績效 - 以遠期外匯50%方式 .66
附表5 遠匯到期的避險績效 - 以遠期外匯25%方式 .67
附表6 選擇權避險績效 - 以Buy Put Option 100%方式.68
附表7 選擇權避險績效 - 以Buy Put Option 75%方式 .69
附表8 選擇權避險績效 - 以Buy Put Option 50%方式.70
附表9 選擇權避險績效 - 以Buy Put Option 25%方式.71
附表10 選擇權避險績效 - 以Sell Call Option 100%方式.72
附表11 選擇權避險績效 - 以Sell Call Option 75%方式.73
附表12 選擇權避險績效 - 以Sell Call Option 50%方式.74
附表13 選擇權避險績效 - 以Sell Call Option 25%方式.75


圖目錄

圖.3-1 研究方法進行步驟研究流程圖.34
圖.3-2 歐元平均收盤價.36
圖.3-3 歐元波動率圖圖.37
圖.4-1 報酬率變異數圖.52
圖.4-2 避險風險分析圖.52
圖.4-3-1 避險比率結果圖100%.53
圖.4-3-2 避險比率結果圖 75%.53
圖.4-3-3 避險比率結果圖 50%.54
圖.4-3-4 避險比率結果圖25%.54
圖.4-4-1 平均避險效益分析圖.55
圖.4-4-2 平均避險效益分析圖.55
圖.4-5 總避險報酬分析圖.56

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