本論文主要以風險值的觀點探討現行信用交易120%最低擔保維持率之適切性。利用跳躍擴散模型捕捉股價報酬率偏態與高狹峰的特性，常態擴散-均勻跳躍模型為配適較佳的股價報酬率模型；根據常態擴散-均勻跳躍模型進一步分析現行最低擔保維持率的適切性，實證發現各類股指數在持有期間兩天的擔保維持率臨界值皆低於現行的120%最低擔保維持率，表示台灣現行的最低擔保維持率足以涵蓋證券金融公司面對信用戶的違約風險。

This thesis explores the rational for the 120% lowest margin ratio on securities margin trading using VaR. Firstly, we apply diffusion- jump model to catch skewness and leptokurtic feature for returns. The normal-diffusion with uniform-jump model has better capability to fit the distribution of returns. This thesis also utilizes the normal-diffusion with uniform-jump model to carry out feasibility studies under the current lowest margin ratio. The empirical results show that 120% cash position holding can cover the default risk of financial institutions.

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