Risk Measurement and Margin Systems of Equity Derivatives’ Portfolio: Theory and Evidence
博士 === 國立中山大學 === 財務管理學系研究所 === 102 === We modified the popular SPAN margining model with a diagonal model to construct a margining system called Beta-Simulation. We use Beta-Simulation to calculate margin requirements for portfolios that include stock index futures contract, stocks, and stock optio...
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| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/24396568437289379180 |