在利率及違約風險下：具有嵌入式選擇權特質之資產負債管理分析

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姓名

何仁譯(Jen-I Ho ) 查詢紙本館藏

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財務管理研究所

論文名稱

在利率及違約風險下：具有嵌入式選擇權特質之資產負債管理分析
(Surplus Management with Embedded Option Properties under Interest Rate and Default Risks)

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摘要(中)

Bierwag [1987] 指出甚少有研究探討違約風險對於存續期間相關策略的影響，本研究探討在考慮違約風險與嵌入式選擇權下，兩種不同計算利率風險方法的差別。
Tzeng, Wang and Soo [2000] 提出一個新的免疫策略，可以獲得最大的凸性效益。我們延續這個策略，但是假設金融機構的資產負債表上的債券是有違約風險與嵌入式選擇權性質的。最後，我們舉一個例子說明凸性效益的重要性。

摘要(英)

Bierwag [1987] points out that there has been very little research into the default effects on duration-based strategies. This study compares two duration measures for evaluating the interest rate risk of a non-default-free bond with embedded option properties.
Tzeng, Wang, and Soo [2000] demonstrate that linear programming can implement a new optimal immunization strategy to maximize the convexity gain. We follow this strategy but assume the financial institution has non-default-free bonds with embedded options on their balance sheets. Further, we illustrate a example to show the importance of the convexity gain

關鍵字(中)

★ 免疫策略
★ 利率風險
★ 嵌入式選擇權
★ 有效存續期間
★ 資產負債管理
★ 違約風險

關鍵字(英)

★ Default risk
★ Effective duration
★ Embedded option
★ Immunization strategy
★ Interest rate risk
★ Surplus management

論文目次

Contents
1. INTRODUCTION1
2. VALUATION MODEL3
2.1 Construction of a Risk-Free Interest Rate Tree3
2.2 Default-Risk Adjusted Cash Flows6
2.3 Non-Embedded-Option Bond Pricing8
2.4 Calculation of Callable Bond Values8
3. THE MEASURE OF INTEREST RATE RISK8
3.1 Effective Duration and Convexity8
3.2 Interest Rate Risk Measures with Default Risk8
4. SENSITIVITY ANALYSES8
4.1 Impact of the Probability of Default8
4.2 Impact of the Embedded Option8
4.3 Impacts of the Interaction between the Embedded Option and the Default Risk8
4.3.1 Embedded Call Options8
4.3.2 Embedded Put Option8
4.4 Impact of the Recovery Fraction on Duration8
4.5 Estimation of Interest Rate Risk8
4.5.1 Cash Flow Adjusted Method8
4.5.2 Discount Rate Adjusted Method8
5. NEW IMMUNIZATION STRATEGY8
6. NUMERICAL EXAMPLES8
7. CONCLUSIONS8
APPENDIX8
REFERENCES8
List of Tables
Table 1 A Sample Term Structure4
Table 2 Impact of the Embedded Option8
Table 3 Impact of Expected Recovery Fractions on Durations8
Table 4 Estimation of Bond Price Change under Cash Flow Adjusted Method8
Table 5 Estimation of Bond Price Change under Discount Rate Adjusted Method8
Table 6 Balance Sheet of a Hypothetical Bank8
Table 7 Liability Schedule of the Hypothetical Bank8
Table 8 Optimal Asset Allocation8
Table 9 Asset Allocation of the Counter-Example8
Table 10 The Comparison of Two Cases.8
List of Figures
Figure 1 A Three-Step Tree (Six-Month Rate)4
Figure 2 A Two-Step Tree (One-Year Rate)5
Figure 3 Arbitrage-Free Lattice of Six-Month Interest Rates8
Figure 4 Impact of the Probability of Default8
Figure 5 Impacts of the Interaction when Callable after 2.5 Years8
Figure 6 Impacts of the Interaction when Callable after 2 Years8
Figure 7 Impacts of the Interaction when Callable after 1.5 Years8
Figure 8 Impacts of the Interaction under Cash Flow Adjusted Method (Call Options)8
Figure 9 Impacts of the Interaction under Discount Rate Adjusted Method (Call Option)8
Figure 10 Impacts of the Interaction when Putable after 2.5 Years8
Figure 11 Impacts of the Interaction when Putable after 2 Years8
Figure 12 Impacts of the Interaction when Putable after 1.5 Years8
Figure 13 Impacts of the Interaction under Cash Flow Adjusted Method (Put options)8
Figure 14 Impacts of the Interaction under Discount Rate Adjusted Method (Put Options)8

參考文獻

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指導教授

張傳章(Chuang-Chang Chang)

審核日期

2001-7-2

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