臺灣博碩士論文加值系統

本論文主要以風險值的觀點探討現行信用交易120%最低擔保維持率之適切性。利用跳躍擴散模型捕捉股價報酬率偏態與高狹峰的特性，常態擴散-均勻跳躍模型為配適較佳的股價報酬率模型；根據常態擴散-均勻跳躍模型進一步分析現行最低擔保維持率的適切性，實證發現各類股指數在持有期間兩天的擔保維持率臨界值皆低於現行的120%最低擔保維持率，表示台灣現行的最低擔保維持率足以涵蓋證券金融公司面對信用戶的違約風險。

This thesis explores the rational for the 120% lowest margin ratio on securities margin trading using VaR. Firstly, we apply diffusion- jump model to catch skewness and leptokurtic feature for returns. The normal-diffusion with uniform-jump model has better capability to fit the distribution of returns. This thesis also utilizes the normal-diffusion with uniform-jump model to carry out feasibility studies under the current lowest margin ratio. The empirical results show that 120% cash position holding can cover the default risk of financial institutions.

目錄………………………………………………………………………I
表目錄…………………………………………………………………III
圖目錄…………………………………………………………………IV
第一章 緒論……………………………………………………………1
第一節 研究背景………………………………………………………1
第二節 研究動機與目的………………………………………………1
第三節 論文結構………………………………………………………3
第四節 研究流程………………………………………………………4
第二章 文獻回顧………………………………………………………5
第一節 風險值概述……………………………………………………5
第二節 風險值相關文獻………………………………………………6
第三節 信用交易………………………………………………………6
第四節 資產報酬分配…………………………………………………7
第三章 研究方法………………………………………………………9
第一節 模型介紹………………………………………………………9
一、一般擴散過程………………………………………………………9
二、跳躍擴散過程……………………………………………………10
三、跳躍大小- 對數常態分配………………………………………11
四、跳躍大小- 對數均勻分配………………………………………12
五、模型比較…………………………………………………………12
第二節 風險值…………………………………………………………13
一、風險值基本概念…………………………………………………13
二、風險值與擔保維持率臨界值之轉換……………………………14
第四章 實證分析………………………………………………………15
第一節 資料來源與基本統計量分析…………………………………15
第二節 參數估計與模型比較…………………………………………16
第三節 風險值與擔保維持率…………………………………………22
第五章 結論與建議……………………………………………………24
第一節 結論……………………………………………………………24
第二節 建議……………………………………………………………24
參考文獻………………………………………………………………26
附錄（A）………………………………………………………………29
附錄（B）………………………………………………………………31
附錄（C）………………………………………………………………34

一、中文
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3.李訓民（1996），揭開美國保證金交易制度之面紗—兼論我國信用交易制度之比較研究，證交資料，410，20-31。
4.周恆志（2002），以涉險值模型初步探討風險值台灣股票市場信用交易的最低擔保維持率，華岡經濟論叢，2(1)，1-27。
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6.陳逸君（2003），以風險值的觀點探討現行信用交易之最低擔保維持率，淡江大學企業管理學系碩士論文。
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