風險值模型修正－期貨契約之應用

An Adjusted Value-at-Risk Model for Futures

李進生(Chin-Shen Lee) ； 袁淑芳(Shu-Fang Yuan)

《管理科學研究》 3卷2期 (2006/12) Pp. 45-60

https://doi.org/10.6873/MSR.200612_3(2).0003

摘要

風險值在於估算未來評估期間資產損益的損失風險金額，傳統的期貨契約風險值模式，直接利用期貨對於標的現貨價格之敏感度，來估算期貨風險值，其中隱含了基差值固定的假設，然而根據期貨的契約特性，基差值具有到期收斂的特性，使得傳統模型對於期貨契約風險值的估計將產生較大的誤差。本文納入基差（basis）於未來評估期間的收斂效應，並考慮無風險利率隨機變動特性，推導出適合的期貨風險值模式，並以指數期貨為實證標的，比較台灣加權指數期貨、摩根台指期貨，與S&P 500指數期貨對於模式適用性。

關鍵字

風險值 ； 基差 ； 基差收斂效果

並列摘要

An early VaR technique, which considers the first partial derivatives, is generally adopted in evaluating the risk exposures of futures. However, we believe that if the poor assumption where the basic convergence effect of the relationship between futures prices and spot prices presumed in traditional model is ignored, it will lead to the predicted VaR of futures being consistently underestimated. Hence, an adjusted VaR model that incorporates the basic convergence effect into the risk valuation process is highly encouraged in this article as a replacement for the traditional model. Our empirical results indicate that there is a significant improvement in the accuracy of the predicted estimates using the adjusted model as compared with the traditional model. The evidence supports the adoption of an approach that uses the adjusted model proposed in this paper to estimate the VaR for futures data.

並列關鍵字

Value-at-Risk (VaR) ； Basis ； Basis Convergence effect