完整後設資料紀錄
DC 欄位語言
dc.contributor.author蘇裕淵en_US
dc.contributor.authorSu, Yu-Yuanen_US
dc.contributor.author王克陸en_US
dc.contributor.authorWang, Keh-Luhen_US
dc.date.accessioned2014-12-12T01:51:23Z-
dc.date.available2014-12-12T01:51:23Z-
dc.date.issued2010en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT079839538en_US
dc.identifier.urihttp://hdl.handle.net/11536/48111-
dc.description.abstract  根據世界銀行統計,目前全球碳交易成交金額已超過 1,400 億美元,交易量更超過8,000百萬噸二氧化碳當量,我國金管會於民國 97 年允許期貨商交易英國洲際期貨交易所之碳商品期貨,意謂著國內碳交易的參與者將日漸增加,本研究以風險管理的角度出發,運用簡單移動帄均模型、RiskMetrics 模型、GARCH 模型及 Power EWMA 模型建立風險值模型,並以穿透率檢定、資金使用效率及損失嚴重性指標進行模型驗證,提供金融機構及金融監管機關一個有效監控排放權交易市場風險之方法,研究結果發現管理角度以及管理者風險趨避程度不同,可能導致最適風險模型因此而有所差異。zh_TW
dc.description.abstract  According to the World Bank, the volume of transactions of carbon market has grown rapidly from 710 million tons in 2005 to 8,700 million tons in 2009. The futures commission merchants in Taiwan have been permitted to transact European Climate Exchange carbon financial instruments futures contracts in Intercontinental Exchange since 2008. In this paper we focus on the risk management in the carbon market, using simple moving average model, RiskMetrics model, GARCH model and Power EWMA model to calculate Value-at-Risk. Meanwhile, the performances of these VaR models are compared applying the failure test, capital efficiency and loss severity. After the model selection procedure, we determine an optimal VaR model for emissions trading for financial institutions and regulators.en_US
dc.language.isozh_TWen_US
dc.subject排放權交易zh_TW
dc.subject歐盟排放交易體系zh_TW
dc.subject市場風險管理zh_TW
dc.subject風險值zh_TW
dc.subjectEmissions tradingen_US
dc.subjectEU ETSen_US
dc.subjectMarket risk managementen_US
dc.subjectValue-at-Risken_US
dc.title排放權交易之市場風險管理zh_TW
dc.titleManaging the Market Risk of Emission Tradingen_US
dc.typeThesisen_US
dc.contributor.department財務金融研究所zh_TW
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