The market risk measurement of the warrants of the issuer

• Main Authors: ShinBin Wung, 翁勝彬
• Other Authors: Dai-Bei Shen
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/22693098261835080606

碩士 === 東吳大學 === 經濟學系 === 87 === Because the innovations of financial instruments and the expansions of the financial markets , the volatility of the prices of the financial instruments become sharp . Especially the great bear market since 1987, the investment institutions in the market expose themselves to the terrible risks. Until now ,the jobs of controlling the market risks become the great issues in financial institutions. First listed warrant in the domestic warrants market in Nov 1996. Following the great bear stock market ,the warrants market became withering. Most people accuse this to the bear market and the confines of the warrant markets and the jobs of the control of the market risks.Until now ,the best approaches to measure the market risk of the warrants does not come to the world .But most people can accept the VaR model is one of the best approaches to measure the risk of the warrants. In this paper ,I try to measure the volatilities of the target stock of warrants by the equally weighted moving average approaches,the exponentially weighted moving average approaches,and GARCH approaches,and try to measure the market risk .The results of the research is that :By the benchmark of the missing frequency,we find the exponentially weighted moving average approaches following the measuring days is 288 and the decay factor is 0.99 is the best ,and the GARCH approaches is the second best ,the worst is the equally weighted moving average approaches following the measuring days is 72.By the benchmark of the missing efficiencis ,we find the GARCH approaches is the best,and the measuring days is 288 and the decay factor is 0.99 is the second best,the worst is the equally weighted moving average approaches following the measuring days is 72.Finally,we find the three list approaches do well on the warrants which the target stocks is electric industries by the benchmark of the missing frequencies ,and by the benchmark of the missing efficiencies is inverse.