| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === With futures market’s merchandise diversify increasingly, a fair margin system and a complete risk management become more important than before. Surveying the traditional strategy-based margin system, we find that we can not calculate the clearing margin fairly by assuming price risk unrelated to underlying, or the position is only affected by single risk factor. To solve this problem, many international futures exchanges adopt Standard Portfolio Analysis of Risk (SPAN). The purpose of our study considered the framework of products in Taiwan futures market and activities of trading volume; under the cover rate 99.7% ordered by Taiwan Futures Exchange(TAIFEX), we offer the proper suggestion of the design and estimation of risk parameters in SPAN. By using back testing, we find that only the estimation of Price Scan Range of the top three cases are different, it means that PSR is the key factor to valuate risk parameters cases. In addition, all cases can not approach the cover rate of 99.7%. We suggest TAIFEX refer to the setting of the world’s major exchanges, and lower the standard appropriately in order to integrate with the world .
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