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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源 | |
dc.contributor.author | Janet Tseng | en |
dc.contributor.author | 曾筱玲 | zh_TW |
dc.date.accessioned | 2021-06-08T02:51:03Z | - |
dc.date.copyright | 2017-08-24 | |
dc.date.issued | 2017 | |
dc.date.submitted | 2017-08-15 | |
dc.identifier.citation | [1] Geng Deng, PhD, FRM, Craig McCann, PhD, CFA, and Olivia Wang, PhD, 2012, Are VIX Futures ETPs Effective Hedges?,” SLCG
[2] Soren Fillemann, Jigar Patel, 2016, Global Credit Strategy CDS Index Option Basics, Barclays [3] Dominique Toublan, 2017, Credit Derivitives Workshop, J.P. Morgan [4] Jef Vuchelen, 2003, Electoral systems and the effects of political events on the stock market: The Belgian case, Economics and Politics 15, 85-102 [5] Macro Avellaneday and Lixin Wu, 2001, Credit Contagion: Pricing Cross-Country Risk in Brady Debt Markets, International Journal of Theoretical and Applied Finance Vol. 04 No. 06, 921-938 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20504 | - |
dc.description.abstract | 近年來全球經濟狀況改善,股市不斷上漲、芝加哥期權交易所市場波動率指數(VIX)也慢慢回到低水位;然而隨著景氣循環進入後期、總體經濟風險事件頻傳,找尋適合且有效的避險工具至關重要。
本文評估面臨2017 年法國總統大選這種總體政經風險事件下,握有美國股票部位的投資人能利用哪些避險工具避險,其中包括不同天期的VIX 期貨、VIX 選擇權、以及投資級及高收益級的信用違約交換選擇權等等。 結果顯示對這種短期的總經風險各個產品都有一定的避險效果,唯投資近期到期的VIX期貨避險效果較佳、而投資級信用違約交換選擇權的避險效果亦優於VIX指數選擇權及高收益等級信用違約交換選擇權。 | zh_TW |
dc.description.abstract | Global economy had recovered in the past few years, leading the stock market to go higher. At the same time, the Volatility Index by CBOE had drifted to record low. Nevertheless, as we were closer to the late cycle, macro risk events were happening more frequently. It was vital to search of the effective hedging products.
This article focused on VIX futures, VIX options, and investment grade/high yield CDS index options. We used French President Election in 2017 as an example to evaluate how the hedging products perform during the risk event. We concluded that all of the products provided the hedging function during the event. However, the short-term VIX futures performed better compare to the longer terms, and the investment grade CDS index options performed better than high yield CDS index options and VIX options during the event. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T02:51:03Z (GMT). No. of bitstreams: 1 ntu-106-R04723022-1.pdf: 1676763 bytes, checksum: b6b7e406926e4057181b8ad7f1d1546a (MD5) Previous issue date: 2017 | en |
dc.description.tableofcontents | 口試委員審定書................................................................................................................ i
誌謝.................................................................................................................................. ii 中文摘要.......................................................................................................................... iii Abtract .............................................................................................................................. iv 目錄.................................................................................................................................. v 圖表目錄......................................................................................................................... vii 表格目錄.......................................................................................................................... ix Chapter 1 緒論 ........................................................................................................... 1 1.1 研究背景與動機 ............................................................................................ 1 1.2 研究目的 ........................................................................................................ 4 Chapter 2 研究方法 ................................................................................................... 5 2.1 VIX 及VIX 相關產品 .................................................................................. 5 2.1.1 VIX 期貨 .............................................................................................. 5 2.1.2 VIX 選擇權 .......................................................................................... 6 2.2 CDS 及CDS 衍生性商品 ............................................................................. 6 2.2.1 CDS 指數選擇權 ................................................................................. 8 2.3 標普500 指數型證券投資信託基金(Exchange Traded Fund) ............ 12 Chapter 3 實證研究 ................................................................................................. 14 3.1 交易策略 ...................................................................................................... 15 3.1.1 VIX 期貨 ............................................................................................ 15 3.1.2 VIX 選擇權、CDX.IG 選擇權及CDX.HY 選擇權 ........................ 17 Chapter 4 結論 ......................................................................................................... 23 參考文獻......................................................................................................................... 24 | |
dc.language.iso | zh-TW | |
dc.title | 探討CDS指數選擇權的避險功能——以2017年法國大選為例 | zh_TW |
dc.title | Investigating Hedging Function of CDS Index Option – Studying the Case of 2017 French Election | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 蔡偉澎,鍾懿芳 | |
dc.subject.keyword | 信用違約交換指數選擇權,芝加哥期權交易所市場波動率指數,2017 年法國大選, | zh_TW |
dc.subject.keyword | CDS index option,VIX,2017 French Election, | en |
dc.relation.page | 24 | |
dc.identifier.doi | 10.6342/NTU201702242 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2017-08-16 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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