Author: |
林麗珍 Li-jen Lin |
---|---|
Thesis Title: |
台灣境內貨幣基金績效之個案研究 The Case Study on the Performance of Taiwan Currency Funds |
Advisor: |
劉代洋
Day-yang Liu |
Committee: |
繆維中
Wei-chung Miao 謝戎峰 Long-fon Shieh |
Degree: |
碩士 Master |
Department: |
管理學院 - 管理研究所 Graduate Institute of Management |
Thesis Publication Year: | 2013 |
Graduation Academic Year: | 101 |
Language: | 中文 |
Pages: | 52 |
Keywords (in Chinese): | 貨幣基金 、壓力測試 、CAMEL模型 、存續期間 、流動性 |
Keywords (in other languages): | Currency funds, Stress test, CAMEL model, Duration, Liquidity risk |
Reference times: | Clicks: 448 Downloads: 0 |
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面對當前總體經濟環境的不確定環境,貨幣基金之基金管理人面臨基金投資策略與風險管理政策之挑戰。經過本研究的深度訪談與討論,本研究結論如下:
一、 綜合績效管理與市場競爭壓力等兩面向,個案公司以絕對績效與相對績效兩者作為管理標準,優先強調流動性與安全性,其次為同業績效排名,再者為規模增長目標。
二、 個案公司的操作策略皆強調升息循環與降息循環的判斷,若預期市場資金浮濫,則在考量流動性與安全性前提下,盡量以提高定存比率為收益來源目標。
三、 當利率走低時,拉長資產之存續期間;反之,則減少資產之存續期間。
四、 至於決策後信用風險管理,個案公司以CAMEL模型提供一信用風險控管的評判標準,並發展自己的決策評分系統,搭配每季執行一次壓力測試,提供一量化數據,描繪未來利率風險與流動性風險所可能面臨的變局,修正既有部位與布局策略。
五、 金控集團可運用綜效策略使其貨幣基金更具彈性的流動性支持與費率的議價優勢,以取得較高與穩定的收益率表現。
六、 國內投信業應增加國際型貨幣基金的產品,提供全方位的服務。綜合國際資本移動過程,境內貨幣基金與國際型貨幣基金並行存在,可以發揮支援其他基金產品的功能。因此就貨幣基金管理文化而言,研究團隊應透過團隊討論,善用境內貨幣基金與國際型貨幣基金,收集國際資本移動資訊,以因應突發性國際事件的衝擊。
Under present global economic uncertainties, the managers of currency funds will deal with the challenges of investing strategy and risk management face strengthen. Through the in-depth interview and discussions, this study concludes the following points.
First, based on the performance management and market competition, the criteria of case company has focused the absolute performance and relative performance both, with the first priority of liquidity and safety of assets, followed by the performance rank, and asset scale growing.
Second, case company keeps focus on which stage the interest cycle belongs to. With the expectation of quantitative easing monetary policy and abundant market capital flow, case company will focus on how to elevate the yield rate, under the same criteria of liquidity and safe.
Third, when market interest goes lower, the duration of portfolio could be lengthened. On the contrary, the duration should be shortened.
Fourth, CAMEL model provides case company a solid solution to evaluate the credit risk, and case company develops a decision-making system to judge the bank credit score. With stress test deployed quarterly, stress test demonstrate a quantitative data to adjust the assets to lower the future risk.
Fifth, the financial group should utilize currency funds to provide stable liquidity and strengthen the yield rate.
Sixth, the mutual fund companies should increase the international currency funds to provide the comprehensive service, especially in the process of global capital movement.
中文文獻
1. 林智宏(2010)。選取債券型基金或基金組合之探討與分析。淡江大學管理科學研究所企業經營碩士在職專班碩士論文。
2. 周建新、于鴻福、張千雲(Chien-Yun Chang),利率期限結構變動與債券型基金投資績效,臺大管理論叢,20卷1期(2009/12/01),頁189 -225。
3. 陳芬英、陳靖 (2011),隨機利率模型與物價指數連動並具有信用風險之票券的評價與避險,中山管理評論,第十九卷第二期(2011年6月),頁279-304。
4. 黃仁德、陳淑郁 (2004),信用風險衡量-信用風險加成模型,台灣金融財務季刊,5卷3期(2004/09/01),頁77 -111。
5. 黃仁德、陳淑郁(2004),信用計量法的信用風險衡量,存款保險資訊季刊,17(3),頁69-102。
6. 黃仁德、陳淑郁(2004),穆迪KMV公司的信用風險衡量,存款保險資訊季刊,17(4),頁65-98。
7. 簡鴻信(2011),2008年金融海嘯對新興市場債券基金績效一致性及其持續性影響之研究,臺北大學企業管理學系學位論文。
英文文獻
1. Amihud, Y. and Mendelson, H.,(1986), “Asset Pricing and the Bid-Ask Spread,” Journal of Financial Economics, 17, 223-249.
2. Arturo Estrella and Trubin,M.R.,(2006), “The Yield Curve as a Leading Indicator: Some Practical Issues,” Federal Reserve Bank of New York, Vol 12(Number 5 July/August 2006), 1-8.
3. Cox, J. C., Ingersoll, J. E., and Ross, S. A., (1985), “A Theory of the Term Structure of Interest Rates,” Econometrica, Vol. 53, No. 2, 385-407.
4. Thomas, D.R. (2000), Qualitative Data Analysis: Using A General Inductive Approach. Health Research Methods Advisory Service, Department of Community Health University of Auckland, New Zealand.
5. Vasicek, O., (1977), “An Equilibrum Characterization of the Term Structure,” Journal of Financial Economics, Vol. 5, No. 2, 177-188.
6. Yin, R. K. (2003), “Case Study Research(3rd eds)”, London, England: Sage Publications.
網路資料
1. http://www.imf.org/external/research
2. http://www.worldbank/org
3. http://www.myoops.org/twocw/mit/global
4. 中華民國投信投顧公會網站http://www.sitca.org.tw/ROC/Industry