本研究資料期間自2004年1月2日至2005年12月13日止，擷取政府債券期貨收盤價及10年期最具流動性之政府債券收盤價資料進行整理，2004年1月2日~2005年6月30日為樣本內期間，2005年7月1日~2005年12月13日為樣本外期間。以簡單避險法、最小平方法（價格）模型、最小平方法（報酬）模型及GARCH 模型之避險比率，應用於樣本外期間的避險。實證結果如下：避險績效方面，日資料無論何種模型均未降低其報酬率之波動度，週資料而言各模型均可降低原公債現貨之報酬波動度，其中以OLS（return）較佳，但避險成效不彰。日資料避險比率最小為OLS（報酬）模型，週資料避險比率最小為OLS（價格）模型。就報酬而言，無論日資料及週資料，各種避險模型所作之避險，均降低其報酬率，換言之，未作避險動作之報酬率最佳。 / The main purpose of this paper is to examine the hedging effectiveness of the Taiwan government bond futures under several hedging models. These models are Naive, OLS-reward, OLS-level and GARCH. The daily data is from January 2004 to December 2005. The in-sample data is from January 2, 2004 to June 30,2005. The out-of-sample one is from July 1, 2005 to December 13,2005. The hedging porformance is measured by the decreasing degree of portfolio variance.The empirical results show as follows:1. OLS（return）model has the better hedge performance from weekly data. 2.The smallest hedge ratio is OLS（reward）from daily data, and it’s OLS（level）from weekly data. 3.The reward is highest without hedge

這篇論文主要利用信用價差的時間結構與信用投資組合的損失分配評價擔保債權憑證選擇權。利用跨期因子相關結構性模型找到信用價差的動態過程及損失分配跨期相關性。這篇論文也探討了擔保債權憑證選擇權的風險值。最後，我們發現遠期生效擔保債權憑證與其選擇權對跨期損失相關性有高度敏感性。 / This article tries to find the term-structure of credit spread and portfolio loss distribution to price an option on CDO tranche. Our solution is based on a multiple period of factor copula model proposed by Andersen to fit the dynamic credit spread process by considering inter-temporal loss correlations through time. We also extend the model of valuing European options on CDO tranches presented by Hull and White and discuss the Greeks of the option formula. We numerically test the dependence of forward-starting CDOs on the correlation of loss across time. With the results, we price the options on CDO tranches. Finally, we find forward-starting CDOs and options on CDO tranches can have strong sensitivity to inter-temporal loss correlation.

近年來，我國上市上櫃公司發行公司債籌措資金的情形蔚為風潮。依據我國目前規定，公司擬發行的公司債須由證期會認可之信用評等機構進行評等，並出具報告。既無信用評等向來重視會計資訊的品質，因此引起了本研究探討資訊揭露是否會降低公司債資金成本的動機。關於資訊揭露與負債資金成本的關係，僅見於Sengupta(1998)的研究，而本研究則試圖以資訊揭露能降低代理成本的角度，探討在國內資本市場中，資訊揭露是否與負債資金成本存在一反向關係。 本研究評估揭露指數方法與之前文獻所採用的的內容分析法不同。本研究是以公司發行公司債前一年度盈餘概估情形評估揭露指數口本研究採用最小平方法迴歸分析(OLS)對測試假說，其結果如下： 1.公司發行公司債之增額負債資金成本與資訊揭露程度存在反向關係。 本研究之實證結果顯示，我國資本市場中，公司資訊揭露程度與公司債之殖利率存有顯著的反向關係。顯示在債券的初級市場中，除了債券的條件與公司體質的好壞以外，資訊揭露也可能成為公司債殖利率的決定因素。 2.若公司債的代理成本較高，其資訊揭露對負債資金成本之反向變動關係會較強。 本研究以公司債轉換條款與擔保條款的有無，區分公司債代理成本的高低。實證結果發現，發行具轉換條款公司債之公司與發行不具轉換條款公司債之公司，其資訊揭露對負債資金成本影響顯著較低。驗證了設有轉換條款或擔保條款之公司債將因為債券本身的代理成本下降，而削弱資訊揭露對公司債殖利率的影響。也就是說若公司債屬於普通公司債或無擔保公司債時，資訊揭露對公司債之殖利率影響更大。因此對於有意發行無擔保公司債或普通公司債的公司而言，資訊揭露將更能降低其負債資金成本。 關鍵字：代理成本，負債資金成本，揭露程度，資訊不對稱 / In recent years, it has become a common phenomenon for listed corporations to issue bonds in Taiwan. Currently in Taiwan, the Securities and Futures Committee (SFC) forbids a corporation to issue bonds unless it has been properly rated by a credit rating agency certified by the SFC. Since the credit rating agency all along have generally placed a great deal of emphasis on the quality of accounting information, this research purports to investigate whether fuller disclosure of accounting information can indeed reduce the cost of debt capital. Only one study by Sengupta (1998) focused on the cost of debt capital, and addressed the issue about the relation between the disclosure level the cost of debt capital, and this study attempts to investigate whether a reverse relationship exists between disclosure and cost of debt capital in Taiwan form the angle of the agency cost. The method to determine the score of the disclosure level applied by this research is different from the content analysis method applied by prior studies. This research uses the earning estimation disclosure made in the year prior to the bond issuance, for measuring the disclosure level. This research applies the QLS model to test the hypotheses. After controlling for other variables, this research concludes that: 1.There may exist a reverse relation between the incremental cost of debt capital and the disclosure level. The result shows that there exists a significant reverse relation between the yield to maturity of bond and the corporate disclosure level. This finding leads us to conclude that because of the ability to lower the agency costs and control the information asymmetry, corporate disclosure level, couple with the terms of the bond and the issuing corporation's financial conditions, could be one determinant of the yield to maturity of the bond. 2.If the agency cost of the bond is higher, the reverse relation between the incremental cost of debt capital and the disclosure level could be stronger. In this research, agency costs are considered low when the bond is convertible or secured, or vice versa. The result shows that for the corporation issuing convertible or secured bonds, the impact of the disclosure is less significant. This finding verifies that when the bond is convertible or secured, the reverse relation between the cost of debt capital and the disclosure level could be weakened since the agency costs are lower. Therefore, this research draws a conclusion that for corporations that attempt to issue straight bonds or unsecured bonds, the disclosure level plays a more important rule to reduce the cost of debt capital. Key word: Agency Cost, Cost of Debt Capital, Disclosure Level, Information Asymmetry.

本論文是發展成一個方法論，將金融工程、資訊科技、商業模式這三件事情予以結合，使未來更多金融工程的研究，都可以透過這個方法論，得到更好的推廣與應用。 為了證實這個方法論，是可以被接受而且具有實務價值，所以本論文以「可轉債評價暨分析系統」（產品英文名稱為CBPA）為案例，探討可轉債評價模型，商業化成功的過程，並透過本文的方法論，來評估發展過程中的關鍵成功因素與面臨量的風險。希望透過這些業界實務經驗的分享，讓未來的類似應用，提高成功的機會。

本文整理市場上已發行結構債的現金流量型式，且利用風險中立評價法推導多資產Quanto模型，並以蒙地卡羅模擬法模擬外幣計價的結構型商品的理論價格，除了計算使用Quanto模型所求得的理論價格外，本文也比較使用Quanto模型與沒有使用Quanto模型評價商品時理論價格的差異，此外也進行商品的利率敏感度分析和相關係數敏感度分析；其後找到有效的控制變數，利用變異數縮減技術克服蒙地卡羅模擬法收斂不易的缺點，增進模擬的效率與精準程度，最後並做變異數縮減的Rubust分析，討論在何種參數的設定下變異數縮減的效果會最好，及如何透過參數的選取，如參與率與保本率，設計商品與成本分析。

本文主要藉由逐次改變二次擔保債權憑證的內層分券金額佔資產池發行金額比例、內層分券下層信用保護金額佔資產池金額比例、資產池參考標的間違約相關性、到期期限、及違約回收率等五項影響二次擔保債權憑證損失發生機率的風險因子，結合蒙地卡羅模擬法及關聯結構法模擬交易架構中內層、外層分券不同損失率的發生機率，並利用彈性分析，衡量二次擔保債券憑證在每單位風險因子變動下，內層及外層分券的損失發生機率。 研究結果顯示，相同的風險因子對於內層與外層分券的損失發生機率的影響效果並不相同，此一現象有別於一般認為風險因子對內、外層分券損失發生機率影響效果相同的看法。此外，依據分券損失發生機率對每單位風險因子變化的彈性敏感性分析，分券損失發生機率受風險因子的影響可分為: 彈性為正且數值逐漸增加、彈性為正且逐漸下降、彈性為負且數值 (絕對值) 逐漸下降、及彈性為負且數值 (絕對值) 逐漸增加四類。外層夾層分券的損失發生機率對內層分券厚度占資產池金額比例的彈性為負，其數值 (絕對值) 隨著內層分券厚度占資產池金額比例的增加而下降。外層夾層分券的損失發生機率對內層分券下層信用保護金額佔資產池金額比例的彈性、及外層夾層分券的損失發生機率對參考標的違約回收率的彈性為負，且數值 (絕對值) 隨著下層信用保護比例及回收率的增加而上升。外層夾層分券的損失發生機率對參考標的違約相關係數的彈性為正，其數值隨著相關係數的增加而下降；外層夾層分券的損失發生機率對參考標的之到期期限的彈性為正，其數值隨著到期期限的增加而上升。 / The researchers of this study combined Monte Carlo simulation approach and copula method to change the following five risk factors: the thickness of inner CDOs tranche on CDO-squared, the subordination in master CDOs tranche, the correlation of reference entities, the maturity of reference entities, and the recovery rate of reference entities, with a purpose of simulating the loss possibility of CDOs-squared. Besides, by elasticity analysis, the researchers measured the change of loss rate according to the change of each risk factor per unit. The result of the study shows that the same risk factor has different influence on the loss rate of inner and master tranche of CDOs squared, which mismatches the general belief that the same risk factor has the same effect on the loss rate of inner and master CDOs tranche. In addition, according to the tranche loss possibility elasticity analysis to the risk factors, this research reveals that four categories can be made due to the effect which risk factors have on loss rate : positive and increasing elasticity, positive and decreasing elasticity, negative and increasing elasticity, and negative decreasing elasticity. We found that for the master mezzanine tranche: the elasticity of tranche loss possibility to the thickness of inner CDOs tranche of CDO-squared is negative and will decrease with the increasing thickness of inner CDOs tranche. The elasticity of tranche loss possibility to subordination in inner CDOs tranche and the elasticity of tranche loss possibility to the recovery rate of reference entities are both negative and will increase with the increasing subordination of inner CDOs tranche and the recovery rate of reference entities. The elasticity of the loss rate possibilities to the correlation of reference entities default is positive and will decrease with the increasing correlation of reference entities. The elasticity of loss possibilities to the maturity of reference entities is positive and will increase with the increasing maturity.

立法院於1992年2月26日修定保險法第146條，將國外投資正式列入保險業資金運用之項目，引導保險業參與國外金融市場。保險業因國內利率環境與資本市場欠缺長天期金融工具下，衍生顯著利差損問題，而國外金融商品的多樣性、高創新能力與高收益率似乎提供保險業資金投資選擇。 本研究嘗試透過不同構面的探討，將國外投資所面臨的風險與金融主管機關的監理措施加以說明，並詳細分析資產負債管理策略－資產負債區隔，建議保險業者應從資產負債管理出發，考量不同性質負債，尋找適合金融資產做為支撐之標的，如此才能透過搭配性質相近且年期適合的國外金融工具進行負債面的管理，使得國外投資能充份地發揮其多樣性與享有較高之投資收益。 亦應利用支撐負債面之金融資產組合所計算出來市場利率做為負債面評價基礎，做到資產與負債皆採用市價評估，更能反應保險公司真實的價值，並可做為主管機關監理參考。保險業者除透過資產負債區隔了解本身國外資產配置的適當性外，應輔以嚴謹的風險管理機制與自律機制，如此才能保有永續經營的能力。 / The article 146 of Insurance Law had been amended by Legistrative Yuan on 26 February 1992. It allows insurance company invests funds into foreign financial assets and across boundary to attend foreign markets. Taiwan insurance industry face significant losses from the actual credit interest lower than the credit interest rate due to economic environments and lack of long-term investment vehicles. The foreign financial market with multiplicity, innovation and higher yield seems to provide Taiwanese insurance companys a channel to resolve its interest rate gap problem. This research employs boarder discussions on the foreign investment risk of the life insurance industry from various angles. This paper also analyzes the control issues from regulator’s rerspective and outlines the asset-liability management tool “segmentation”. We also provide suggestions to Taieanese life insurance industry to adopt the asset and liability segmentation as their major tool in performing oversea investment. In the same time, the realistic surplus of the insurance company can be monitored by measuring the difference between mark to market assets and contingency liability that is calculated by market yield from replicated portfolio. In recent years, the foreign investment play a major role in Taiwanese Life insurance company’s asset portfolio, hence they are required to carefully monitor appropriate financial assets to support their liabilities. It also includes enhancing the risk management framework and self-control mechanism in order to maintain their business ability.

本文從債務契約的角度，調查穩健會計對財務報表使用者的經濟效益，以及編製者提供穩健會計的經濟誘因。穩健會計的最主要受益者為債權人，選擇債務契約係基於，首先，本研究利用當期公司穩健特性預期次期該公司契約是否違約，研究結果發現穩健會計得以使債權人及時偵知債務人倒帳風險，其次，本研究調查編製者的經濟誘因，實證結果未能發現，其中經濟誘因的變數包括銀行貸款利率、異常應計與盈餘反應係數，本文建議未來研究可繼續探求財報提供者報導穩健之誘因，並進行跨國分析比較。 / Perceived from the perspective of debt contract, this paper investigates the benefit of accounting conservatism for users of financial statements and the motivation of financial preparers to provide conservative reporting. I choose this topic because main beneficiaries of accounting conservatism are the lenders. First, I use the measure of conservatism in current period to predict the default risk of borrowers in next period. The evidences show that conservatism benefits lenders through the timely signaling of default risk. Second, I try to discover the motivation of borrowers to provide conservatism accounting through the proxies of cost of capital, abnormal accruals and earning response coefficient but fail. One potential avenue for future research is to find the economic motivation of financial reporting preparers to report conservative accountings and do the cross-country comparisons.

本文延續Huang(2004, 2008)的研究，將單期與多期挹注資金的資產負債管理議題專化於DC確定提撥退休金制度上，其研究將問題化成二次函數，以一般化最小平方法(Generalized least square, GLS)求出具有唯一解特性的決策變數，利用的軟體求解速度相當快，能有效率地一次找出多項資產配置比例。 本研究引入三種投資模型及其薪資模型，分別是Wilkie(1995)模型、MacDonald and Cairns(2007)模型、Huang and Cairns(2006)及Li(2009)，以蒙地卡羅模型模擬出各投資標的年報酬率與薪資水準，並利用這些預期的模擬值在負債目標控制為隨機成長或固定比例成長下，找出最適投資比例、每期挹注的額度與提撥比例。 最適配置為了解決下方風險(downside risk)問題，在允許限定風險容忍度下去最大化投資績效，本研究將目標函數加入衡量報酬項，依據員工希望的報酬，討論此項權重如何最適。亦加入交易成本項以反映實務情況，此投資總交易成本為權重的函數，於足夠支付交易成本的前提下找出權重最小值。 / In this study, the simulation of the return for each investment and wage pattern is via introduction of three investment model and their wage model, namely, Wilkie (1995) model, MacDonald and Cairns (2007) model, Huang and Cairns (2006) model and Li (2009), by using Monte Carlo simulation. The optimal contribution rate of investments, the amount of injection of each period, and income replacement ratio are determined when simulation is targeted in the balance control for the random growth or growth under a fixed rate of liabilities. The asset-liability management of single-period and multi-period injection of funds is specialized in the Defined contribution plan (DC), which is the extension of Huang’s (2004, 2008) study. Huang’s research transforming his argument into a quadratic function to generalized least squares method (GLS) having a unique solution to derive the decision-making variables. This method can efficiently find a set of allocation by software at a fairly rapid speed. The optimal allocation is to maximize investment performance subject to a limited risk had to tolerance for deal with downside risk. This study ameliorates the objective function by adding a constant term, which does not affect the investment decision-making variable. This new generalized least squares method use a constant represented as a weight, which is based on the desire asset of the employee. This study also takes transaction costs into consideration to reflect the practical situation. The total transaction costs are the function of the weight introduced into the new objective function. The minimum of weight can be reached when the goal is set to be sufficient to cover the transaction costs

隨著金融財務工程演進，透過精密電腦運算，衍生性金融商品不斷推陳出新，提供銀行及投資人避險及投資等多元管道。但是，水能載舟亦能覆舟，次貸風暴的發生，主要原因正是銀行利用衍生性金融商品過度從事槓桿及投機交易，其面臨風險已非區區資本適足率8%所能承受，也因此造成全球銀行的倒閉風暴。 本研究主要藉由了解次順位債券的特色及功能，次順位債券的訂價與評價，以及透過台灣、中國大陸、及美國等三個國家發行次順位債券情形，和各國主管機關與巴塞爾資本協定對次順位債券監理與規範，分析探討銀行發行次順位債券的目的、影響次順位債券發行成本的因素、投資人對於次順位債券的投資行為、以及次順位債券對於銀行資本管理的影響。 研究顯示，銀行的財務結構、信用評等、及資本適足率與發行次順位債券的風險溢酬，呈現顯著的反向關係；逾期放款比率及信用價差與發行次順位債券的風險溢酬，呈現顯著的正向關係。銀行風險承擔能力的良窳決定次順位債券的發行成本，次順位債券風險溢酬的高低，也成為投資人判斷投資標的資訊來源之一。銀行可藉由發行次順位債券提高資本適足率，作為吸引損失準備；銀行信用評等越高、財務結構越健全，發行次順位債券的機率也越高。投資人可藉由銀行信用價差及次順位債券發行利率做為投資判斷的資訊，進而發揮間接的市場制約功能，輔助主管機關的金融監理。 / Several recent studies have recommended greater reliance on subordinated debt (SND) as a tool to discipline bank risk taking. Some of these proposals recommend using sub-debt yield spreads as triggers for supervisory discipline under prompt corrective action (PCA).This yield spread is considered to be a good measure of bank risk, as the holders of SND absorb the first loss in the case of a bank failure. Currently such action is prompted by capital adequacy ratio measures. Evidence from previous research suggests that yield information may be a better predictor of bank problems. This paper empirically analyzes potential costs and benefits of using SND signals to effect bank capital management and consideration should be given to using spreads to complement supervisory discipline. The goal of this study is to provide a comprehensive review and evaluation of purpose and potential of SND proposals and to present a regulatory reform proposal that incorporates what we believe are the most desirable characteristics of SND.