論期貨信託基金之風險管理機制

The Risk Management of Futures Fund

蔚中傑(Chung-Chieh Yue)

指導教授 ： 林允永 ； 李進生

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00426

摘要

自美國第四大的投資銀行雷曼兄弟所引發的一連串金融風暴，於國內也未能免損害。有部分的原因，乃是各理專或銀行銷售人員，對於相關之衍生性金融商品，如連動債在未有充分告知風險與揭露風險的情形下，即出售予一般的投資人，而導致受到無法預期的損失。而許多金融危機事件，其共通點就是缺乏一致性的風險管理政策。
關於期貨基金的風險管理制度，歐盟與英國不僅要求充分揭露，同時也要求風險分散，而美國之風險控管主要著重於充分揭露。至於我國的風險管理則是交由業者自律的方式，並採取英國與歐盟及我國現行證券信託基金之模式，除要求風險揭露外，並要求分散投資商品比重。
期貨信託基金並非萬靈丹，以國外對沖基金失敗之案例可知。一檔未做好風險管理之對沖基金，所引發的將是整體金融市場之系統性危機。至於新版巴塞爾協定( Basel II)之第三支柱，其市場紀律的要求，更是將來發行期貨信託基金時，應予以注意與遵行的，亦即需特別注意風險的揭露與預告，以避免類似近來連動債因未為清楚的風險告知而產生的爭議，並保障一般的投資大眾。但是97年10月30日修正「期貨信託事業管理規則」及「期貨基金管理辦法」後，卻一味的以降低業者成本促進期貨信託市場發展為由，放寬指派專人告知風險之作業及基金銷售機構人員資格條件及風險管理的限制與要求，是否符合新版巴賽爾協定對於第三支柱之要求，以做好風險的揭露與告知，並且是否能夠確實達到風險管理與控制的目的，甚而保障市場投資人，恐有待商榷。
基於基金經理人為第一線的風險管理人員的地位，除應控管風險額度並定期或隨時進行壓力測試外，也應善用期貨基金的多空操作策略，以為投資策略上的避險。在風險無法完全規避的情形下，更應符合「市場紀律」的要求，確實進行風險揭露與風險預告等程序，就質與量進行完全的揭露，以使一般投資大眾瞭解所購買期貨基金的風險，而非如近來連動債的情況一般，在完全不清楚產品的風險下即予以購買。

關鍵字

新版巴塞爾協定 ； 期貨信託基金 ； 市場紀律 ； 風險管理

並列摘要

The forth biggest investment bank “Lehman Brothers” has been making a series of financial crises and Taiwan’s economy was injured as well. The one of reasons is while financial advisors were selling related derivatives such as structured note without any risk revealing and advice which caused unpredictable loss. And the common point of financial crises is lack of strategy of consistent risk management.
Regarding the system of risk management for futures fund, both E.U. and U.K. not only demand to sufficiently reveal related information but also require risk sharing, and U.S.A. is concentrating on revealing sufficient information. As for Taiwan's system, which is including sellers' self-discipline, taking the present securities trust fund pattern of U.K., E.U. and itself, in addition to risk-revealing, also demand to share the ratio of investment.
Futures trust fund is not a catholicon, which can be learned from the failed cases of overseas hedge funds. A hedge fund without well risk management will bring a systematical crisis for the entire financial market. The revised “Basel II” the third pillar demands market discipline which should be paid more attention and complied for publishing futures trust fund in the future, which means to avoid such controversy caused by unclear advice for selling structures note recently and protect mass investors, to reveal and advise risk in advance is especially needed to take care of. Since "Regulations Governing Futures Trust Enterprises" and "Regulations Governing Futures Trust Funds" were amended on 30OCT, 2008, which allow to loosen the restriction and requirement of risk management, assigned clerk for risk notice, and the qualifications/conditions of fund sellers base on cost-down and improving the development of futures trust market, and whether the amendments can be conformed with the requirement of the revised “Basel II” the third pillar for risk revealing and notice, and accomplishing the purpose of risk administrating and even protect mass investors, which will be a problem.
As fund manager is a risk managing person in frontline, in addition to administrate risk limit, to proceed with pressure test periodically or from time to time, and should take advantage of bull/bear market strategy of futures fund for as a hedge in investment strategy as well. As the risk can not be completely hedged, the demand of market discipline should be conformed even more, the procedure of risk revealing and advance notice must be exactly proceeded, and to completely reveal the quality and quantity to assure mass investors of understanding the risk of futures fund what they purchase, unlike structured note was bought under totally unclear risk lately.

並列關鍵字

Basel II ； Futures Fund ； Market Discipline ； Risk Management

參考文獻

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