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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/50852
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/50852


    Title: 系統性風險之衍生性商品對投資組合之效益分析
    Authors: 賴建安
    Lai, Chien An
    Contributors: 江彌修
    石百達

    賴建安
    Lai, Chien An
    Keywords: 波動率指數
    投資級信用風險指數
    向量自我迴歸模型
    分量迴歸模型
    Date: 2010
    Issue Date: 2011-09-29 16:50:39 (UTC+8)
    Abstract: 利用系統性風險之系列商品來擴大投資組合之投資集合與避險為近來非常熱門的議題,本文除了將波動率指數納入投資組合之外,並額外加入信用風險指數,藉由各種績效指標來衡量系統性風險指數能為投資組合所帶來的綜合效益。根據效率前緣與績效指標的結果顯示,投資級信用風險指數可以有效提升投資組合的夏普值,但卻不會使投資組合之風險值提升太多。

    本文利用向量自我迴歸模型分析信用風險指數與大盤之間的動態關係,同時還利用分量迴歸進一步分析在不同報酬率之下,信用風險指數與大盤之間的關聯性。發現當市場狀況越差時,波動率指數與投資級信用風險指數間的相互影響幅度會越大,且分量迴歸其估計係數在中高分量時,明顯高於最小平方回歸模型。

      綜合來說,根據本文的實證結果與過去眾多學者所做之研究,系統性風險指數確實可增進投資組合的投資效率,擴大投資組合的夏普值。更重要的是,研究信用風險指數的論文相當稀少,本文可增加此系列商品的文獻。同時也可當作台灣推出信用風險指數來促進市場效率以及作為風險管理之工具時的參考。
    Reference: 1. Banerjee, P. S., J. S. Doran, and D. R. Peterson, 2006, “Implied volatility and future portfolio returns,” Journal of Banking & Finance.
    2. Becker, R., A. E. Clements, and A. McClelland, 2009, “The Jump Component of S&P 500 Volatility and The VIX Index,” Journal of Banking & Finance.
    3. Black, F. and J.C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of finance.
    4. Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy.
    5. Blanco, R., S. Brennan, and I. W. Marsh, 2005, “An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps,” Journal of Finance.
    6. Chen, H. C., S. L. Chung, and K. Y. Ho, 2010 , “The Diversification Effects of Volatility-Related Assets,” Journal of Banking and Finance.
    7. Figuerola-Ferretti, I. and I. Paraskevopoulos, 2010, “The Dynamic Relation between CDS Markets and VIX Index,” Working paper.
    8. Fung, H. G., G. E. Sierra, J. Yau, and G. Zhang, 2008, “Are the U.S. Stock Market and Credit Default Swap Market Related? Evidence from the CDX Indices,” Journal of Alternative Investments, summer.
    9. Lee, B. and Y. N. Lin, 2010, “Using Volatility Instruments as Extreme Downside Hedges,” Journal of Banking and Finance.
    10. Li, D., 2000, “On Default Correlation: A Copula Approach,” Journal of Fixed Income.
    11. Longstaff, F. A., J. Pan, L. H. Pedersen, and K. J. Singleton, 2008, “How Sovereign is Sovereign Credit Risk?” NBER working paper.
    12. Keating, C. and W. F. Shadwick, 2002, “A universal performance measure,” The Journal of Performance Measurement, spring.
    13. Meng, L., O. Ap. Gwilym, and J. Varas, 2009, “Volatility Transmission Among the CDS, Equity, and Bond Markets.” The Journal of Fixed Income.
    14. Merton, R., 1974, “On the Pricing of Corporate Debt: the Risk Structure of Interest Rates,” Journal of Finance.
    15. Szado, E., 2009, “VIX Futures and Options—A Case Study of Portfolio Diversification During the 2008 Financial Crisis,” Journal of Alternative Investments 12, 68-85.
    16. Whaley, R. E., 2009, “Understanding the VIX,” The Journal of Portfolio Management.
    17. Zinna, G., 2009, “Sovereign Default Risk Premia: Evidence from the Default Swap Market,” Working Paper.
    Description: 碩士
    國立政治大學
    金融研究所
    98352025
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098352025
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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