国际金融市场.ppt

1、國際金融市場,中央銀行 外匯局 賀蘭芝 研究員,99學年度第二學期 台大國企系所,2,課程大綱,3,4,外匯(一)：全球外匯市場概況,Traditional Foreign Exchange Markets Activity OTC Derivatives Markets Activity Global Positions in FX and Derivatives Markets,5,外匯市場(二)：匯率決定理論與預測能力,短期匯率決定理論與匯率預測能力一、Technical Analysis二、Position Indicators - Order Flow 三、Sentiment Ind

2、icators 中期匯率決定理論與匯率預測能力一、Interest Rate Parity二、Monetary & Portfolio Approach三、Mundell-Fleming Model 長期匯率決定理論與匯率預測能力一、Purchasing Power Parity二、Macro Balance Approach三、Long-run Equilibrium Exchange Rate,6,外匯市場(三)：避險與交易策略,一、價值型策略 (Value Strategies) Forward Rate Bias Hedging Forward Rate Bias Trading (C

3、arry Trade) 二、趨勢策略 (Trend Strategies) Momentum Hedging Momentum Trading,7,外匯市場(三)：避險與交易策略,三、波動度策略 (Volatility Strategies) Dynamic Hedging1. Synthetic Put 2. Portfolio Insurance3. VaR-based Hedging4. ES-based Hedging Option Trading 1. Selling Wings Volatility2. Selling Option & Buying Synthetic Optio

4、n,8,外匯市場(四)：外匯衍生性商品之發展與運作,Value Strategy linked Products Trend Strategy linked Products Volatility Strategy linked Products FX Derivatives in Taiwan,9,債券(一)：全球債券市場概況,US Fixed Income Markets OTC Interest Rate DerivativesGlobal ActivityGlobal Positions Credit Derivatives,10,債券(二)：投資工具訂價分析,US Fixed Inc

5、ome MarketsTreasury Bills, Notes and Bonds (UST)Inflation Linked Bonds (ILB)Mortgage-Backed Securities (MBS),11,債券(三)：殖利率曲線與投資策略,Yield Curve Building and FittingBootstrappingSpline FittingParsimonious Fitting Yield Curve Trading StrategiesSlope TradingCurvature Trading Relative TradingRiding on the Curve,12,債券(四)：資產配置理論、績效評估,資產配置 傳統資產配置模型Mean-Variance Optimization Model 風險預算資產配置模型Risk-Based Optimization Model 績效評估 股票基金績效貢獻分析(Performance Attribution) 債券基金績效貢獻分析,