台灣股票認購權證避險之實證研究－最適VaR避險法與間斷性Delta避險法

Optimal VaR Hedge and Discrete Delta Hedge for Call Warrant in Taiwan's Stock Market

周恆志(Heng-Chih Chou) ； 涂登才(Teng-Tsai Tu) ； 盧陽正(Yang-Cheng Lu)

《風險管理學報》 3卷2期 (2001/11) Pp. 85-104

https://doi.org/10.30003/JRM.200111.0003

摘要

本文的主旨在檢驗台灣的認購權證發行商採用最適VaR避險法的避險效果，並與實務上常用的間斷性Delta避險法相比較。結果發現最適VaR避險法較能有效管理認購權證避險組合的下方風險，同時認購權證發行商的上方潛在獲利能部份被保留。採用信心水準較低的最適VaR避險法，其避險部位的調整頻率會較積極，需要較高的交易成本及資金成本，但其資本利得較穩定。另外在相同的信心水準之下，若發行商降低避險部位的調整頻率，交易成本會減少，但是其下方損失會增加。

關鍵字

認購權證 ； 避險策略 ； 最適VaR避險法 ； 間斷性Delta避險法

並列摘要

This paper examines the hedging effectiveness of optimal VaR hedge and discrete Delta hedge for the financial firms writing a call warrant in Taiwan's stock market. The results of Monte Carlo simulation show that optimal VaR hedge is better than discrete Delta hedge in terms of reducing the hedge portfolio's downside risk and retaining portion of its upside risk. Besides, optimal VaR hedge with a lower confidence level demands higher transaction cost and also higher capital cost, but it usually companies with more stable capital gains. Extending hedge horizon can decrease transaction cost, but it increases the hedge portfolio's downside risk.

並列關鍵字

Call Warrant ； Hedging ； Optimal VaR Hedge ； Discrete Delta Hedge