SPAN期貨結算系統之風險參數估計

Estimation of risk parameters at SPAN futures clearing system

林姸秀(Yen-Hsiu Lin)

指導教授 ： 林蒼祥

共同指導教授 ： 顧廣平

淡江大學/商學院/財務金融學系碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00782

摘要

隨著期貨市場上交易商品類別日益多樣化，風險控管機制的完備性更顯得重要，其中保證金制度的合理規劃為影響期貨市場運作的重要因素。檢視傳統的策略基礎保證金制，為簡化計算過程，往往假設不同資產的價格風險具有獨立性、甚或假設部位僅受單一風險因子影響等，較無法合理計算出部位應收之結算保證金。為了解決此問題，愈來愈多國家改採整戶風險保證金計算系統－標準投資組合風險分析 (Standard Portfolio Analysis of Risk, SPAN)。本研究目的即考慮台灣期貨市場商品結構與各商品交易熱絡程度之特性，在台灣期交所訂定結算保證金標準之下(遮蓋率99.7%)，針對SPAN保證金系統風險參數的設計與估計方法提出適當的建議。透過回溯測試結果發現，綜合績效最佳的前三名方案，其參數設定只有估計價格偵測風險值(Price Scan Range,PSR)的方法不同，即PSR為決定風險參數方案優劣之最關鍵因素。此外，全部方案的遮蓋率都未能達到臺灣期貨交易所目前訂定之99.7%標準，本文建議期交所參考世界主要交易所之設定，適度降低標準，以利與國際市場接軌。

關鍵字

標準投資組合風險分析 ； 風險值 ； 跨月價差折抵 ； 跨商品組合風險折抵 ； 回溯測試

並列摘要

With futures market’s merchandise diversify increasingly, a fair margin system and a complete risk management become more important than before. Surveying the traditional strategy-based margin system, we find that we can not calculate the clearing margin fairly by assuming price risk unrelated to underlying, or the position is only affected by single risk factor. To solve this problem, many international futures exchanges adopt Standard Portfolio Analysis of Risk (SPAN). The purpose of our study considered the framework of products in Taiwan futures market and activities of trading volume; under the cover rate 99.7% ordered by Taiwan Futures Exchange(TAIFEX), we offer the proper suggestion of the design and estimation of risk parameters in SPAN. By using back testing, we find that only the estimation of Price Scan Range of the top three cases are different, it means that PSR is the key factor to valuate risk parameters cases. In addition, all cases can not approach the cover rate of 99.7%. We suggest TAIFEX refer to the setting of the world’s major exchanges, and lower the standard appropriately in order to integrate with the world .

並列關鍵字

SPAN ； VaR ； intermonth spread charge ； intercommodity spread credit ； back testing

參考文獻

Ackert, L. F. and W. C. Hunter (1994), “Rational Price Limits in Futures Markets: Tests of a Simple Optimizing Model, ” Review of Financial Economics 4, 93-108.

Chicago Mercantile Exchange (2003), “SPAN Technical Specifications.”

Duffie, D.(1989), Futures Markets, New York: Prentice-Hall.

Duffie, D. and J. Pan (1997), “An Overview of Value at Risk,” Journal of Derivatives 4(3), 7-49.

Edwards, F. and F. Neftci (1988), “Extreme Price Movements and Margin Levels in Futures Markets, ” Journal of Futures Markets 8(6), 639-656.