Title page for etd-1115116-155944


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URN etd-1115116-155944
Author Chao-Fei Chen
Author's Email Address No Public.
Statistics This thesis had been viewed 5350 times. Download 3 times.
Department Finance
Year 2016
Semester 1
Degree Ph.D.
Type of Document
Language English
Title Comparison of the Traditional Option Margining System and SPAN-- Does SPAN Really Charge Less Margin
Date of Defense 2016-11-15
Page Count 58
Keyword
  • Margin System
  • SPAN
  • Margin Efficiency
  • Abstract Taiwan Futures Exchange (TAIFEX) freezes a trader’s fund based on traditional A B margin system when a trader place orders. Once orders are executed, the trader can stick to the old margin system or choose the portfolio-based margin system SPAN to calculate margin requirements. Conventional wisdom suggests that SPAN should be adopted as SPAN will charge less margin requirements than the traditional margin system and maximizes margin efficiency.
    This study shows that two conditions must hold for SPAN to charge less margin requirements than the traditional margin system. We demonstrate by simulation that under certain situations SPAN may ask for more margin requirements than the traditional margin system when shorting vanilla options. Although SPAN may prove more accurately in calculating the risk for a portfolio that includes options, SPAN may not always charge less margin requirements than the traditional margin system. For small traders who trade one-side option market, sticking to the tradition margin system might still be a better policy sometimes.
    Advisory Committee
  • Lee, Chien-Chiang - chair
  • Chen, Miaoling - co-chair
  • Lieu, Derming - advisor
  • Files
  • etd-1115116-155944.pdf
  • Indicate in-campus at 2 year and off-campus access at 5 year.
    Date of Submission 2016-12-15

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