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題名:傳統選擇權保證金與SPAN制度之比較--SPAN真的收較少的保證金?
書刊名:期貨與選擇權學刊
作者:陳操斐劉德明 引用關係
作者(外文):Chen, Cao-feiLieu, Der-ming
出版日期:2015
卷期:8:2
頁次:頁101-127
主題關鍵詞:保證金系統資金使用效率SPANMargin systemMargin efficiency
原始連結:連回原系統網址new window
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  • 共同引用共同引用:2
  • 點閱點閱:30
臺灣期貨交易所 (TAIFEX)在客戶委託選擇權交易時採用傳統AB值保證金方式凍結保證金,但允許客戶對成交後持倉部位選擇組合式的 SPAN保證金系統。是否應選擇 SPAN做保證金計算或繼續採用傳統保證金是選擇權的交易者的重大課題。期貨界一般的意見是SPAN能讓客戶有最佳的資金使用效率,問題是成交後持倉保證金採用SPAN計算是否真的一定會比傳統保證金需求低? 本文從理論上找出 SPAN保證金比傳統保證金節約的兩個條件,發現其中一個條件不見得成立,本文發現對於習慣做單一部位的投資者來說,改採SPAN保證金的計收方式不見得一定對交易人有利,在特定情況下,交易人不採行整戶風險保證金 SPAN計收方式,保證金計收仍依現行傳統的 AB值計算保證金可能更為有利。本文舉出實例並分析其原因。
Taiwan Futures Exchange (TAIFEX) freezes a trader’s fund based on traditional A B margin system when a trader place orders. Once orders are executed, the trader can stick to the old margin system or choose the portfolio-based margin system SPAN to calculate margin requirements. Conventional wisdom suggests that SPAN should be adopted as SPAN will charge less margin requirements than the traditional margin system and maximizes margin efficiency. This paper shows that two conditions must hold for SPAN to charge less margin requirements than the traditional margin system. We demonstrate that under certain situations SPAN may ask for more margin requirements than the traditional margin system when shorting vanilla options. Although SPAN may prove more accurately in calculating the risk for a portfolio that includes options, SPAN may not always charge less margin requirements than the traditional margin system. For small traders who trade one-side option market, sticking to the tradition margin system might still be a better policy sometimes.
Other
1.陳家智,張繼惟(20150128)。上證50ETF期權的交易策略與風險。  延伸查詢new window
期刊論文
1.李進生、顧廣平、林研秀、袁淑芳(20060700)。SPAN保證金系統風險參數之設計。臺灣期貨市場,8(4),51-63。  延伸查詢new window
2.戴良安、劉德明(20080700)。期貨與選擇權保證金系統之比較研究--回顧與實證。管理與系統,15(3),497-522。new window  延伸查詢new window
3.Kupiec, P(1994)。The Performance of S&P 500 Futures Product Mmargins under the SPAN Margining System。Journal of Futures Markets,14(7),789-811。  new window
4.林蒼祥、顧廣平、孫效孔(20060700)。SPAN系統與現行保證金制度之比較。臺灣期貨市場,8(4),22-50。  延伸查詢new window
研究報告
1.劉德明(2002)。組合式風險評量保證金系統與TAIFEX保證金之比較分析。  延伸查詢new window
2.張傳章(2003)。整戶風險保證金分析與評估之研究。  延伸查詢new window
圖書
1.Chicago Mercantile Exchange(2005)。SPAN Risk Parameter File Layouts for the Positional Formats。Chicago:Chicago Mercantile Exchange Inc.。  new window
2.Chicago Mercantile Exchange(2001)。PC-SPAN Version 4 Technical Specifications。Chicago:Chicago Mercantile Exchange Inc。  new window
3.Hull, John C.(2006)。Options, Futures, and Other Derivatives。Upper Saddle River, New Jersey:The Pearson Press。  new window
其他
1.廣東期貨網。臺灣市場期權風控等業務調研報告,http://www.gdqhkh.com/gtjaqh/vip_doc/714748.html, 2014/07/31。  延伸查詢new window
 
 
 
 
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