以專家知識為基礎之可轉債資產交換決策輔助系統建構之研究

Abstract

由於可轉換公司債資產交換是國內一項新興的衍生性金融商品，因此國內並無相關決策輔助系統的研究。本文的研究目的，並不是以設計一套處理交易流程的系統為出發點，而是以輔助經理人進行持有部位之風險控管為主要目的。首先蒐集國內外可轉換公司債資產交換的相關文獻，並且在訪問執行此項業務的券商之後，整理相關的領域知識，再結合金融資訊管理的概念，建構出符合學術界研究與實務界應用之決策輔助系統。然而在決策輔助系統的設計方面，先是從傳統的決策輔助系統架構開始設計，進一步地融入智慧型管理決策系統的概念，並結合專家知識規則（利率交換避險策略），完成『以專家知識為基礎之可轉換公司債資產交換決策輔助系統』的初步架構。整個系統的發展成果，除了可以輔助經理人進行可轉換公司債資產交換的評價之外，還提供經理人風險控管及利率交換避險策略之輔助介面；此外，由於本系統是以利率型衍生性商品為發展基礎，所以未來可以將目前的『可轉換公司債資產交換決策支援系統』持續發展成『利率型衍生性商品決策輔助系統』。

The Convertible Bond Asset Swap is a new derivative in the Taiwan financial market, therefore, there is not yet any research done on the DSS of Convertible Bond Asset Swap. The objective of this study is not to design the trading process system but to focus on assisting the manager to control the interest rate risk of holding positions. First of all, I collected research papers on the Convertible Bond Asset Swap and visited the security vendor which is experienced in the Convertible Bond Asset Swap trading. After that, the DSS, which agrees with academic research and practical applications, is constructed by integrating the known knowledge and concepts of financial information management system. Firstly, this study designs the system by using the traditional DSS method, and then integrates the concept of intelligent management decision system to the traditional DSS. Finally, the DSS is combined with the expert knowledge（IRS hedging strategies）, and then the “Convertible Bond Asset Swap DSS Based on Expert Knowledge” is constructed. The result of this study not only assists managers to evaluate the price of the Convertible Bond Asset Swap, but also provides them the support interface of the interest rate risk control and the IRS hedging strategies. Moreover, the development of the system is based on the interest rate derivatives, so future research can extend the Convertible Bond Asset Swap DSS to the Interest Rate Derivatives DSS.