期貨與選擇權保證金系統之比較研究－回顧與實證

Abstract

本文對國內外期貨與選擇權市場保證金制度進行理論與實證之比較研究，發現台灣期貨交易所現行靜態的以策略基礎之保證金制度既非組合式，也非植基於合約組合之風險，已經不適合期貨市場的發展，因此建議借鑒國際經驗採用組合式且植基於風險值之保證金制度。對於台灣期貨交易所特殊的含股票期貨與股票選擇權商品交易之特性，本研究改良國際通用的保證金系統SPAN與TIMS，使用情節模擬法，透過單因子市場模型，提出全新的衡量含個股選擇權、指數期貨與股票組合保證金需求的新模型－Beta-Simulation，在計算程序上不但可以簡化SPAN保證金系統跨商品折抵問題，在理論與實證分析上亦可以改善TIMS系統跨商品信用折抵成數過於簡化的缺失。

This paper reviews and contrasts the margining systems used by Taiwan Futures Exchange (TAIFEX) and the leading world futures and options exchanges. Our empirical analysis shows that the current margining system used by TAIFEX is neither risked-based nor portfolio-based and suggests that a new portfolio risk-based margining system be adopted at TAIFEX. While both SPAN and TIMS are portfolio-based and risk-based margining system, they are awkward to use for TAIFEX who trades index futures, index option and stock options. We modify SPAN and TIMS to propose a new margining system called Beta-Simulation to calculate margin requirements for TAIFEX. The new system uses the beta factor from single factor Market Model to simplify the appropriate collateral requirement offset estimate for inter-commodity spread. The new model is easier than SPAN in computational procedure but offers sounder theoretical basis than TIMS for credit offset estimates among individual stock options. Tested among all competing models, the new Beta-Simulation system proves to be the best margining system that can provide enough risk coverage with the most efficient margin requirements.