金融機構承做選擇權的模型風險與市場風險

Model Risk and Market Risk for a Financial Institution Writing Options

聶建中(Chien-Chung Nieh) ； 陳芾文(Fei-Wen Chen) ； 王友珊(Yu-Shan Wang)

《風險管理學報》 5卷3期 (2003/11) Pp. 295-317

https://doi.org/10.30003/JRM.200311.0006

摘要

本文依據Figlewski and Green（1999）的研究架構，分別以OUCH模型與GARCH模型估計變異數，應用B-S選擇權定價公式，建構避險與無避險的實證模擬。本研究將模型風險與市場風險加以量化，進行台灣實證，探討一銀行或是金融機構在承做選擇權時，其所遭受的模型風險與市場風險，並嘗試使用各種交易策略的模擬來檢視該風險經過量化後的程度大小。實證結果顯示，衍生性金融商品在交易與避險時存在很大規模的模型風險。此外，模擬結果顯示，將波動性加碼後再代入定價模型，將大幅提高各種交易策略的平均報酬，並能稍微降低風險的承擔，亦即較高的波動性能產生較高的選擇權價格，以此補償選擇權賣方承受的各種風險。

關鍵字

選擇權 ； 模型風險 ； 市場風險 ； OUCH模型 ； GARCH模型

並列摘要

Following the framework of Figlewski and Green (1999), this paper applies B-S options pricing formula incorporating OUCH and GARCH volatilities respectively, to constitute hedging and non-hedging simulations. A quantitative assessment is developed to investigate the model risks and market risks, which banks or financial institutions encountered when writing options and to examine the degree of the risk. We empirically found that there exists a huge model risk when financial derivatives are executing the trading and hedging activities. Moreover, by incorporating higher volatility in the pricing model, the average returns increase dramatically and the risks decrease moderately. This implies that a higher volatility leads on a higher options price, which is utilized to compensate all the risks the writer suffered.

並列關鍵字

Options ； Model Risk ； Market Risk ； OUCH ； GARCH

參考文獻

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