2013-01-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/680860摘要：本計畫欲提出一個新的方法來計算公開交易的公司在價格限制下的風險管理。除了利用歷史報酬數據，違約機率亦可以由跌停板的頻率得知。由於波動性的低估，透過價格限制市場中的歷史報酬數據，我們有可能極低估違約機率，尤其是當漲跌幅限制存在或是股票價格波動性很高時。在漲跌幅限制存在或是股票價格波動性很高時，藉由撞擊頻率預估的波動性相較之下應較為準確。因此，以上兩個方法的結合應可以為公開交易的公司在價格限制下的違約機率提供較準確的評估。此計畫亦將會對於風險管理提供比較分析，來證實新方法的績效如何。 波動性風險在過去和現在一直是風險管理研究的重點。本計畫的另一個重點在於提出一個總體的架構，包括隨機波動性及跳躍過程，來評價與規避波動性風險。為了驗證我們的方法的準確性，我們將運用大量的例子來比較藉Monte Carlo模擬方法所得到的基準數據以及藉由我們提出的方法所得到的數據。 <br> Abstract: A new approach to derive implied default probabilities from publicly traded firms with daily price limits will be proposed in this sub-project. In addition to the use of historical return data, the default probability can be derived from the frequency of limit down. Because of the underestimated volatility, the default probability may be extremely underestimated with historical return data in price-limit markets, especially when the daily price limits are restrictive or the stock price volatility is high. The volatility estimated from the hitting frequency may perform particularly well when the daily price limits are restrictive or the stock price volatility is high. Thereby, a new hybrid approach of these two methods may provide a much better way to estimate the implied default probability from publicly traded markets with daily price limits. This project will also provide a comparative analysis of credit risk management to verify the performance of the new hybrid approach. Volatility risk has attracted the spotlight in the recent past. Another purpose of this project is to develop a general framework, including stochastic volatility and jump processes, for pricing and hedging the volatility instrument. To demonstrate the accuracy of our proposed method, we will use numerical examples to compare the values of the risk management products from our proposed method with the benchmark values from the Monte Carlo simulation method.波動性違約機率撞擊頻率跳躍過程風險管理volatilitydefault probabilityhitting frequencyjump processrisk management