2014-01-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/680806摘要：此計畫的目的在於提出一個在每日漲跌幅限制下，得出隱含的違約機率的新方法。除了利用歷史報酬數據，違約機率也可由跌停的頻率導出。由於低估波動率，違約機率可能會在市場價格限制下被低估，尤其是當每日價格漲跌幅限制或股票價格波動很高的時候。當每日價格漲跌幅限制或股票價格波動很高的時候，波動率會表現特別優異。因此，一種混合以上兩種方法的方式會提供較好的方式去評價從公開市場的每日漲跌幅限制下得出的隱含違約機率。此計畫會提供信用風險管理的分析方法去證實此混合式方法的表現。再者，波動風險是個相當重要的財務金融的研究議題。此計畫的另外一個目的是去發展一個包含隨機波動性及跳躍過程的避險架構。為了證明此方法的正確性，我們將比較使用風險管理方法得出的數據實例和由蒙地卡羅方法得出的基準值做比較。另外，在這一年的計畫中，除了股票市場外，此計畫將會擴大規模加入衍生性商品及債券市場。又因為風險管理研究時常會牽涉資產訂價，故今年會將資產訂價議題加入本計畫的研究範疇。<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. In addition to Equity Market, I will enlarge the scope of this sub-project to include Derivatives and Bond Markets this year. Furthermore, since research on risk management often involves asset pricing, the pricing issues will also be investigated in this sub-project.