近年來台灣的市場利率持續下滑，可能造成保險公司無法實現對被保險人之高預定利率的保單給付承諾，利率風險已經成為壽險公司是否能繼續經營之重要關鍵。壽險公司如未能衡量利率變動風險而貿然推出保單，將對財務造成極大的負擔，不但會影響公司清償能力，亦會對社會造成衝擊，因此壽險公司應先衡量現在及未來將面臨多大的利率風險，做適當資產負債管理，以避免將來失卻清償能力。 　　本研究利用財務上平均存續期間（duration）觀念與Barney（1997）所提出之K值來衡量利率風險，以民國87-89年財務報表資料，實證研究利率風險會對那些經營指標產生影響，以喚起業界對於利率風險之重視。研究結果發現： 　　1.利率風險對於壽險公司之投資報酬率、股東權益報酬率有顯著的影響，並且呈負相關。 　　2.利率風險對於壽險公司之流動比率無顯著相關；與負債比率有顯著之正相關。 　　3.利率風險對於新契約保費成長率、保單繼續率無顯著影響，顯示國內並無明顯之逆中介情況。 　　4.壽險公司可藉由投資較長期之公債、公司債及減少保單貸款、不動產投資與固定資產項目之利率敏感度，以增加壽險公司之獲利性。 / The interest rates have been decreasing recently. Under this circumstance, it might be difficult for insurance companies to gain sufficient investment returns to fulfill the commitment of insurance policies. The interest-rate risk has become one of the critical factors for the solvency of life insurance companies. Therefore, life insurance companies should evaluate the impact of interest-rate risk and perform asset-liability management to prevent insolvency. 　　This study applies the concept of duration and K value (Barney 1997) to measure interest-rate risk and its impact on the operations of life insurance companies in Taiwan. The empirical analysis is conducted based on the financial data of life insurance companies in Taiwan during the period of 1998-2000. The empirical findings are listed as follows: 　　1.Interest-rate risk has a significantly negative impact on both investment return and ROE.. 　　2.Interest-rate risk does not have significant impact on current ratio of the life insurance companies, but it is positively related to debt ratio. 　　3.Interest-rate risk does not have significant impact on either new contract growth rate or policy renewal rate, which indicates that the process of disintermediation does not happen in life insurance industry in Taiwan. 　　4.By investing in the long-term government bonds and corporate bonds and reducing the interest-rate sensitivity of policy loans、investment on real estates and fixed assets , life insurance companies may be able to increase their profits.

銀行保險通路近年來成為壽險公司主要保險通路之一，因此壽險公司在銀行保險通路所承擔的風險逐漸加重。近年來金融市場處在一個低利環境下，儲蓄型商品（例如：利率變動型年金）為銀行定存商品替代品之一，故，儲蓄型商品逐漸成為銀行保險通路吸引銀行客戶的主力商品。因此可知，壽險公司對銀行保險通路，尤其是，儲蓄型商品之風險管理日漸重要。主管機關為了確保壽險公司清償能力，近年來針對儲蓄性商品制定相關策略，希望藉由限制儲蓄型商品之銷售比例，加強壽險公司之風險管理，防止壽險公司因為銷售過多儲蓄型商品而造成財務負擔。 本研究以商品組合互補效果的概念達到風險管理，其中儲蓄型商品以利率變動型年金作代表；傳統型商品以傷害保險與定期壽險作代表。本研究使用現金流量分析法，透過壓力測試和敏感度分析，嘗試在不同情境下，尋找一個規律，並簡易設算銀行保險通路下主力商品之最適銷售比例。 模擬結果發現，傳統型商品可有效彌補儲蓄型商品帶來的風險；而銷售比例之訂定，應該依照壽險公司在不同壓力測試、可控制之利差之下，設算出最適可銷售比例；只要壽險公司將其資本額大小、預計總保費收入、預計銷售商品、宣告利率策略及各項利率關係在不同情境下作設算，即可求出在不發生盈餘虧損下，商品組合之最適銷售比例。 另外本研究也發現，傷害保險與利率變動型年金保險之替代效果，比定期壽險與利率變動型年金保險佳，因此可作為商品組合搭配之參考。 本研究貢獻在於透過簡易的測試，設算出實際數值，可望提供壽險公司在資產負債管理方面的新思維。 / In recent year, baccasurance has become one of the major channels for life insurance companies. Therefore, adding up the risk the baccasurance channel imposes, life insurance companies has undertaken heavier risks. Due to the fact that the interest rate has been comparably low for the last ten years, more and more consumers choose to buy deposit insurance (EX：interest sensitive annuity ) the substitute for periodic deposit. As the vital product in baccasurance channel, managing the risk of deposit insurance become more and more important. This study adopted the idea of mixing products to achieve complementary effect, so that the risks might be better managed. Interest Sensitive Annuity was chosen to represent deposit-oriented products, and Injury Insurance and Periodical Annuity Life Insurance to represent traditional commodities. The method used for analysis was Cash Flow Test, in which stress test and sensitivity analysis were included, through which the researcher attempted to induce a rule from various situations and compute out the optimum ratio of the major products on the bancassurance channel. The simulation result showed that traditional insurance products are able to compensate the deposit-oriented insurance, and the maximum percentage this product accounts for should be computed abiding by to controllable interest gain under various kinds of stress tests, for which the companies need to take into account its capital size, total premium, products being promoted, declared interest rate, and interest rates to help simulate all kinds of situations. It is possible to compute out the optimum ratio for the products when the goal surplus more than or equals to zero. In addition, it was also found that injury insurance is a better substitute for interest sensitive annuity insurance than term life insurance. It is suggested that insurance companies to carefully gauge the respective proportion for Periodical Annuity Life Insurance, Injury Insurance, and Interest Sensitive Annuity Insurance. Finally, it is hoped that the numerical number tested out by the current study provides insurance companies a new insight in asset liability management.

本研究探討關係人交易、公司治理與銀行利率之關聯性。根據我國財務會計準則公報第六號規定所揭露之相關關係人交易項目，以多元迴歸模型來解釋銀行在進行授信決策時，如何解讀企業財務報表中之關係人交易，以測試利益衝突假說。同時，為探求關係人交易與公司治理之關聯，將考量公司治理因素加入授信決策後，以多元迴歸模型解釋銀行對原關係人交易解讀是否產生改變。樣本取自於上市櫃公司，實證結果顯示關係人交易與銀行授信利率有顯著關係，且利益衝突假說成立。進一步探討後發現，當迴歸模型加入公司治理變數後，實證結果顯示公司治理變數對銀行授信利率有著非常顯著之影響，而關係人交易對銀行授信利率變成不顯著。 / This study investigates the relationship between the related party transaction and loan interest rate before/after the consideration of corporate governance mechanism. We also explain the effect of related party transaction on interest rate based on the conflict of interest hypothesis. The sample consists of firms listed in Taiwan Stock Exchange and OTC firms. The result shows that the related party transaction has significant effect on loan interest rate. However, this effect disappears after considering the corporate governance.

本文採用BGM模型評價兩個配息型態不同的利率連結商品。利用BGM模型，我們可以直接透過蒐集市場資料，即可描述LIBOR利率的期間結構。同時，對模型內遠期利率波動度與相關係數進行校準(Calibration)，使評價更為正確。 而本文評價的第一個商品為「三年期美元每日計息雙指標利率連動債」，第二個商品則是「10年期歐元逆浮動連動債」。使用BGM模型，並透過最小平方蒙地卡羅模擬，考慮提前買回條款及計算各期的配息，分別求得兩個商品的合理價格並計算避險參數。此外，從發行商與投資人的角度，分別給予避險與投資建議。 關鍵字：利率連動債、每日計息、逆浮動、BGM模型、LIBOR Market Model、Least-Squares Monte Carlo

隨著財務工程學的發展，結構型商品的架構日趨複雜，連結標的也更加多元化，可依投資人對市場未來的預期，設計出不同的商品型態，滿足投資人財富管理的需求或企業理財的規劃。但因為一般投資人不容易了解結構型商品複雜的設計，可能發生投資報酬不符預期或忽略商品潛在風險的情況。 本論文以建華銀行「美金組合式商品連動債券」與「固定期限交換利率利差連動債券」為例，進行評價與避險分析，以互換選擇權推導極小值選擇權的評價方法推導次小值選擇權的封閉解，並與蒙地卡羅模擬結果相較；利用對數常態遠期LIBOR利率模型評價連結固定期限交換利率的商品。最後進行投資與避險策略分析。希望能增進投資人對商品風險與報酬的認識，和提供金融機構未來設計相關類型商品時，對於評價與避險之理論基礎和方法的一個參考。

本論文第一章將 LIBOR 市場模型加入股價動態，並求出其風險中立過程下的動態模型，並利用此模型評價股籌交換契約。第二章將 LIBOR 市場模型擴展成兩國的市場模型，加入兩國股價動態，並求出風險中立過程下的動態模型，並利用此模型評價跨國股籌交換契約。本論文第二部份說明如何實際使用此模型，並使用蒙地卡羅模擬檢驗此評價模型的正確性。 / This thesis includes two main chapters. Chapter 2 is entiled as "Equity Swaps in a LIBOR Market Model" and Chapter 3 is entitled as "Cross-Currency Equity Swaps in a LIBOR Market in a Model". The conclusions of this thesis are made in Chapter 4. In Chapter 2, we extends the BGM (Brace, Gatarek and Musiela (1997))interest rate model (the LIBOR market model) by incorporating the stock price dynamics under the martingale measure. As compared with traditional interest rate models, the extended BGM model is easy to calibrate the model parameters and appropriate for pricing equity swaps. The general framework for pricing equity swaps is proposed and applied to the pricing of floating-for-equity swaps with either constant or variable notional principals. The calibration procedure and the practical implementation are also discussed. In Chapter 3, under the arbitrage-free framework of HJM, we simultaneously extends the BGM model (the LIBOR market model) from a single-currency economy to a cross-currency case and incorporates the stock price dynamics under the martingale measure. The resulting model is very general for pricing almost every kind of (cross-currency) equity swaps traded in OTC markets. The calibration procedure and the hedging strategies are also provided in this paper for practical operation. The pricing formulas of the equity swaps with either a constant or a variable notional principal and with hedged or un-hedged exchange rate risk are derived and discussed as examples.

本文採用市場利率模型中的Lognormal Forward LIBOR Model（LFM)，針對附有可贖回條款並具有界限選擇權性質的利率連動債券進行相關的評價與避險分析，由於此商品的計息方式為觀察每日利率的型態，過去通常直接使用內插法將每天的利率求出，本文則使用由Brigo and Mercurio(2001)所提出的Drift Interpolation進行每日利率的模擬，並據此計算出每天的固定期間交換利率；而在處理可贖回式商品的部份，由於此商品內含界限選擇權具有路徑相依的性質，因此不具有封閉解，一般較常使用蒙地卡羅法進行模擬，然而蒙地卡羅法不易處理可贖回式商品的評價，所以本文使用由Longstaff and Schwartz(2001)所提出的最小平方蒙地卡羅法，來解決同時具有可贖回與路徑相依特性商品評價的問題並進行實證分析與探討。

當保險契約被發行時，保險公司必須被要求盡可能的具備承擔未來不可知的風險的能力。本文將死亡風險、利率風險、脫退風險以及流動性風險引入，並針對生死合險契約進行盈餘分析。在此以 Vasicek (1977) 所提出之隨機利率模型、根據被保險人理性行為作為基礎之脫退模型以及引入簡化後的 Longstaff、Mithal與Nies (2005)流動性風險債券價格來描述各種風險。根據上述模型假設下計算保費及準備金，遂以蒙地卡羅模擬法量化源於各種風險之盈餘。最後，本文計算保險公司之盈餘對各風險參數之敏感度分析，並計算各期破產與發生流動性問題之可能性。 / Once insurance contracts are issued, the insurers should be capable to deal with the unknown conditions in the future as possible. In this paper, we analyze the impact of mortality, interest rate, surrender and liquidity risks on the surplus of endowment contract. We model the interest rate risk by Vasicek model, the surrender rate based on the rational behavior of policyholders and introduce the discounted price of zero coupon bonds as the liquidity risk. Under such assumptions, we compute the premium and reserve, demonstrate the simulated insurance surplus, and finally exhibit the statistics of the surplus from different sources. The simulated results show the sensitivity of the surplus to the parameters of the risks. At the same time, we also show the probabilities of insolvency and illiquidity of the insurer before the maturity date of the contract due to the fluctuating surrender rate and liquidity risk resulting from the stochastic interest rate.

我們使用一個新方法來評價美式或歐式的或有求償權，其受到本地利率和權益價值的影響。我們使用標的資產的遠期價格的樹狀圖，進而對或有求償權作定價。其中我們評價了美式與歐式的股票選擇權，以及利率期貨和利率期貨選擇權。 / We introduce a methodology for pricing American or European style contingent claims, influenced by domestic interest rates, and equity prices. Instead of using trees of short-term interest rate, bond price or forward interest rate, this tree method will use the forward prices of underlying assets to derive implied binomial spot-price tree and in turn price long term American or European options, and interest rate futures and interest rate futures options.

歐元的問世，代表的是從1970年代固定匯率被打破以來，世界金融體系最大一次的變革，其對全球之金融及社會文化有很深遠的意義；因此，有關美國與歐元區間之匯率、利率及物價關係的探討遂成為國際金融市場所關心的焦點之一；本文以Frankel (1992)所提出衡量國際間資本移動性的三種利率平價說：拋補利率平價說(Covered Interest Parity，CIP) 、無拋補利率平價說 (Uncovered Interest Parity，UIP)、實質利率平價說 (Real Interest Parity，RIP)為基礎，來檢驗此三種利率平價說是否成立。在實證方法上，本文以Dickey & Fuller (1979,1981)之ADF單根檢定來確定變數之數列特性，再採Johansen (1988)之最大概似估計法，對CIP、UIP與RIP進行實證分析。實證結果發現，於1999 年 1 月至 2004 年 7 月期間，美國與歐元區間 CIP 與 UIP 同時成立，表示當兩國資產報酬率有差異時，可以經由國際間資本的移動，使得報酬率最後有趨於相等的傾向；並且接受遠期匯率為未來即期匯率的不偏估計值之虛無假設，顯示歐元與美元間外匯市場具有效率性。另外，本文之實證結果並不支持 RIP 的成立，其有可能歐元區與美國在編制物價指數時，所使用的物價項目和比重情況不同而異，因此難以表示出公正之匯價；再者由於現實之貨幣、商品市場之不完全，與人民不一定能完全預期及存在貨幣幻覺等許許多多未考慮因素下，故在諸多驗證 RIP之文獻中，亦大多顯示無法找到其均衡之平價關係。 / The emergence of Eurodollar exemplified a significant reformation in the world financial system since the fixed rate had been broken in 1970, which brings far-reaching significance to the global finance and social culture. Therefore some discussions on exchange rate, interest rate and price relationship in the range of US Dollar and Eurodollar are one of focuses the international financial market concerns; On the basis of the three kinds of interest rate parity Frankel brought forward (1992) including Covered Interest Parity (CIP), Uncovered Interest Parity (UIP) and Real Interest Parity (RIP), this research mainly proves their feasibility. For the empirical methods, the Dickey & Fuller (1979, 1981)’s ADF unit root test was used to confirm the characteristics of variable series in this research; additionally, Johansen’s maximum likelihood method (1988) was adopted to do the empirical analysis on CIP, UIP and RIP. Based on the empirical results, we found out that the CIP and UIP are tenable simultaneously in the range of tenable US Dollar and Eurodollar from 1999 January to 2004 July. That means when return on asserts between two counties has some differences, it would become towards equality lastly on the basis of international capital mobility. And the null hypothesis that the forward rate is an unbiased predictor of the future spot rate can be employed, revealing the foreign exchange market in the range of Eurodollar and US Dollar has certain efficiency. Additionally, The empirical results of this research do not support the RIP, because it would vary with different prices and proportion used while making the price index in the range of Eurodollar and US Dollar, and cannot present equitable exchange rate; furthermore, because of imperfect current currency and commodity markets, and many unconsidered factors such as people’ incompletely anticipation and money illusion, most researches for validating RIP fail to find out its balanced parity relation.