Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data
學年 94
學期 2
出版（發表）日期 2006-07-01
作品名稱 Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data
作品名稱（其他語言）
著者 Chiu, Chien-Liang; Chiang, Shu-Mei; Hung, Jui-Cheng; Chen, Yu-Lung
單位 淡江大學財務金融學系
出版者 Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數 Physica A: Statistical Mechanics and its Applications 367, pp.353-374
摘要 This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the same model, original and absolute returns are compared to explore which can accurately capture the true risk. For the same return, daily and tiered adjustment methods are examined to evaluate which corresponds to risk best. The results indicate that the clearing margin adjustment of the TAIFEX cannot reflect true risks. The adjustment rules, including the use of absolute return and tiered adjustment of the clearing margin, have distorted VaR-based margin requirements. Besides, the results suggest that the TAIFEX should use original return to compute VaR and daily adjustment system to set clearing margin. This approach would improve the funds operation efficiency and the liquidity of the futures markets.
關鍵字 Value-at-risk;Clearing margin system;TAIFEX;RiskMetrics;GARCH-t
語言 en
ISSN 0378-4371
期刊性質 國外
收錄於 SCI
產學合作
通訊作者 Chiang, Shu-Mei
審稿制度
國別 NLD
公開徵稿
出版型式 紙本
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