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政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/83325

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83325

Title:	以股價指數期貨規避系統性信用風險 Hedging Systematic Credit Risk with Stock Index Futures
Authors:	邱瀞玉 Chiu, Jing-Yu
Contributors:	沈中華 Shen, Chung-Hua 邱瀞玉 Chiu, Jing-Yu
Keywords:	系統性信用風險股價指數期貨避險 Systematic Credit Risk Stock Index Futrures Hedge
Date:	2000
Issue Date:	2016-03-31 16:35:52 (UTC+8)
Abstract:	系統性信用風險即倒帳風險，是各個企業和銀行都會面臨的問題，當景氣蕭條時，企業或個人可能無法按時支付本金與利息，此時信用風險的程度提高；相對而言，景氣佳時，不論個人或企業的償債能力均提高，信用風險明顯下降，因此這裡所謂的系統性信用風險其實就是景氣循環風險。 Systematic credit risk is default risk, which is a problem any enterprises and banks may face. When the economy is in the downturn, enterprises or individuals may not afford to pay the principal and interests on time. At this moment, the probability of the occurrence of the credit risk is very high. In contrast, when the economy is in the upturn, enterprises and individuals’ ability of paying back the debt is lifted. Apparently, the probability of the occurrence of the credit risk is low at this moment. Therefore, the so-called systematic credit risk is business cycle risk.
Reference:	1、朱浩民（民國八十九年）衍生性金融商品 2、向碧盈（民國八十四年六月）「外匯交易風險的避險策略—針對遠期外匯及期貨交叉避險之研究」國立交通大學科技管理研究所碩士論文 3、吳聲德（民國八十五年六月十八日）「指數期貨避險比率的探討—以S&P500指數期貨為例」國立東華大學企業管理研究所碩士論文 4、陳柏威（民國八十四年六月）「期貨避險比例與效率的估計：非線性方法的應用分析」國立中正大學國際經濟研究所碩士論文 5、張哲宇（民國八十六年五月二十一日）「股價指數期貨避險比率之研究」國立台灣工業技術學院管理技術研所管理學成碩士論文 6、信用衍生性商品之介紹與設計國際經濟情勢週報1306期
Description:	碩士國立政治大學金融研究所
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002002073
Data Type:	thesis
Appears in Collections:	[金融學系] 學位論文

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