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(Taiwan Futures Exchange, TAIFEX)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，
　　本研究使用情節模擬法，透過對角化單因子結構化模型，提出全新的衡量含個股選擇權(stock options)、指數期貨(Index futures)與股票組合保證金需求的新模型─Beta模擬法(Beta-Simulation)，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。本研究以含股票選擇權組合的歷史資料對Beta-Simulation，進行保證金需求的回溯測試(back testing)，並與其他主要之含選擇權組合保證金系統進行比較分析。
　　實證結果顯示，SPAN與Beta-Simulation系統能有效的估計含選擇權投資組合之保證金需求，但Beta-Simulation在同樣程度的保護下比SPAN節省約12%~42%的保證金就能達到目的且計算方法遠比SPAN簡便。因此本研究提出之新模型不但是含股票選擇權組合計算保證金需求較佳的模型，也是計算含股票選擇權組合風險值評量之較佳依據。

　　This study aims to investigate the theories and empirical performance of the futures and options margin systems currently used in the domestic and international exchange houses. The current system used in Taiwan Futures Exchange (TAIFEX) is strategy-based rather than portfolio-based or and contract risk-based. It is no longer compliant with the development of the futures market. Therefore, it is suggested that TAIFEX should employ international experiences to adopt a portfolio-based and VaR-based margin system so as to meet the need of the local trading feature that portfolios contain both stock futures and stock options.
　　This study integrates scenario simulation and the diagonal model to propose a new model, called Beta-Simulation, to calculate the margins for portfolios containing stock options, index futures, and stocks. The proposed model can not only simplify the inter-commodity spread in SPAN but also theoretically improve the drawback of TIMS of using a simple credit offset multiplier. In the empirical test, back testing is performed on the margins calculated by Beta-Simulation with historic data of portfolios with stock options, and other common margin systems are also included in the test for comparison.
　　The empirical results reveal that only SPAN and Beta-Simulation can save approximately 12%~42% margin requirements for portfolios containing stock options, but under the same protection degree, Beta-Simulation requires significantly lower margins and a simpler calculation process than SPAN. Therefore, the proposed model is a better model of calculating margins and VaR for portfolios containing stock options.

1. Introduction……1
1.1 Problems with the Margin System of TAIFEX……2
1.2 Problems with the Margin Systems in Foreign Nations……4
1.3 The Demand for a New Margin System and its Advantages……5
2. A Review of Studies on Margin Requirement and VaR Estimation……8
2.1 VaR Estimation Methods……8
2.2 Taiwanese and Mainstream Margin Calculation Methods……14
3. Comparison of TAIFEX, SPAN, and TIMS with a Practical Example……21
3.1 Commodity classification and basic data……21
3.2. Comparison of TAIFEX, SPAN, and TIMS margin calculations……22
4. Design and Principle of Beta-Simulation……32
4.1 Theoretic Foundation of Beta-Simulation……33
4.2 Calculation Procedure of Beta-Simulation……34
5. Empirical Test and Analysis of Beta-Simulation……39
5.1 Measurement of VaR for Stock Portfolio……39
5.2 Back Testing of Margin Requirement for Portfolio Containing Stock Options……42
5.3 Empirical Back Testing……44
5.4 Out-of-Sample Back Testing Results……47
5.5 The Efficiency of the Proposed Model in Margining……63
6. Conclusion and Suggestion……65
6.1 Conclusion……65
6.2 Suggestion……67
7. References……68

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