因應「境外基金管理辦法」的修正，將境外基金持有衍生性金融商品部位限制從淨資產價值的15%放寬到40%，此政策將提高基金經理人操作上的多樣性，也同時增加了基金的風險。本篇研究針對衍生性金融商品持有部位造成的風險做衡量，因為若使用非線性報酬的衍生性金融商品(如選擇權等)將造成非對稱的報酬分配，用傳統的VaR值並不能完整的表達其存在風險，因此我們改而計算下方風險來判斷不同操作目的、策略及工具下的風險差異；之後則納入動態調整過程，用以維持在法規的標準之下，使用避險指標LPMD檢測不同調整頻率下的結果；最後，再回到境外基金的績效表現上面，將實證分為三個類別，為股票型境外基金、專案豁免債券型境外基金以及未通過台灣核准幕資銷售的國外基金，分別檢測其VaR值以及下方風險，討論不同類型以及國內外基金差異。

cording to the adjustment of “Offshore Funds Regulation”, the percentages of derivatives holdings to fund net value have been risen from 15% to 40%. This policy not only increased the variety of managers’ strategies, but also increased the risks. As we focusing on the risk of portfolios, consist of stocks and derivatives, we notice that if the payoff of derivatives is nonlinear, the distribution of returns will be extreme asymmetric. Under this condition, the traditional VaR is not enough to present the concept of risk, so we bring the downside risk into consideration. Then, since the deltas of derivatives are changing over time, there are some chances that the holdings will exceed the regulation so we need to do the dynamic adjustment. Here we use LPMD to test the effects under different adjusted frequencies. The final part is the empirical analysis and this part is divided into three parts. We discuss about the VaR, downside risk and the difference between offshore funds and foreign funds.

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