本研究運用Vasecik、ARMA與VEC三種時間序列模型，以蒙地卡羅法，模擬未來五年台幣利率、美元利率與新台幣兌美元匯率的隨機漫步過程，並分析壽險公司的資產、負債與業主權益價值，在利率與匯率的隨機過程中所受到的影響。 藉由蒙地卡羅模擬之隨機漫步過程，本研究發現在利率模型方面，Vasicek利率模型因具有均數回歸的特性，較VEC模型擁有更穩定的隨機漫步過程；在匯率模型方面，VEC模型因同時考量長期影響與短期影響的效果，較ARMA模型擁有較穩定的漫步過程。 在負債面的模擬結果中，當利率下跌時，保單應提列準備金價值的成長速度較利率上升時快，此點反應壽險公司在低利率的環境下，將面臨較嚴峻的資本要求；同時，藉由歷史資料以Vasicek債券評價模型估計之利率期間結構，整體結構呈現負斜率與凹口向上的走勢，在此情形下，短期利率的值較長期利率的值高，保單應提列的準備金價值較原始估計時更高。 在長期的低利率環境中，上述現象反應於長期保單的價值變化尤為明顯。本研究建議在進行保單的精算訂價時，不應僅以預定利率做為保單全期的折現因子，而應將長期的利率風險納入考量。 同時，匯率的變化亦嚴重衝擊壽險公司的業主權益，在模擬結果中，當匯率落於風險值時，壽險公司配置於美元資產的減損將造成業主權益呈現虧損，此點亦反應當壽險公司將資產配置於海外時，必須謹慎地評估外匯避險的相關策略。 整體而言，在本研究中，將資產配置偏重台幣的投資策略擁有較穩定的業主權益價值，並在短期擁有較佳的風險轉換報酬能力；另一方面，將資產配置偏重美元的投資策略在長期擁有較佳的風險轉換報酬能力，然而，也因其擁有較高的風險值，壽險公司可能面臨較嚴重的損失。本研究建議壽險公司在進行海外資產配置時，應謹慎地將利率風險與匯率風險納入考量。 / This article uses Monte Carlo simulation method to forecast the random walk process of Taiwan interest rate, US interest rate, and Taiwan US dollar exchange rate between next five years. The simulation base on three time series model：Vasecik, ARMA and VEC. Through the random walk process, this article aims to analyze the influence in asset, liability and equity by the change of interest rate and exchange rate. In this paper, we find that the Vasicek interest rate model has a more stable stochastic process than the VEC model, which because of the effect by mean reversion. On the other hand, because the VEC exchange rate model takes both long-term and short-term impact in concern, it has a more robust stochastic process than the ARMA model. Through the simulation results of the liabilities, we find that when the interest rate fell, the reserve value of insurance policy will rise faster, which makes life insurance companies face more severe capital requirements in the low interest rate environment. Besides, we also find that the interest rate term structure in the Vasicek Bond Pricing Model displays negative slopes with concave upward, which means the value of short-term interest rate higher than the value of long-term interest rate. In this situation, the reserve value of insurance policy will become much higher than the value original priced. In the long-term low interest rate environment, the impact of interest rate risk has more effect in the long-term insurance policy. This paper suggests that when pricing the costs of insurance policy, we should not only use one interest rate as the full term discount factor. The better way is to discount with the interest rate term structure. Overall, in this paper, the asset allocation strategy, which focus on Taiwan commercial bonds, has both better performances in value at risk and better ability to covert risk into revenue in the short term. On the other hand, the asset allocation strategy, which focus on US commercial bonds, has better ability to covert risk into revenue in the long run. When conducting overseas asset allocation, we suggest that life insurance companies should carefully consider interest rate risk and exchange rate risk.

本研究以1993年到2017年3月間的193篇FOMC Minutes作為研究素材，先採監督式學習方法，利用潛在語意分析（latent semantic analysis，LSA）萃取出升息、降息及不變樣本的潛在語意，再以線性判別分析(Linear Discriminant Analysis, LDA)進行分類；此外，本研究亦透過非監督式學習方法中的探索性資料分析(Exploratory Data Analysis, EDA)，試圖從FOMC Minutes中找尋相關變數。研究結果發現，LSA可大致區分出升息、降息及不變樣本的特徵，而EDA能找出不同時期或不同類別下的重要單詞，呈現文本的結構變化，亦能進行文本分群。 / In this study, 193 FOMC Minutes from 1993 to March 2017 were used as research materials. The latent semantic analysis (LSA) in supervised learning methods was used to extract the potential semantics of interest rate increased, decreased, and unchanged samples, and then linear discriminant analysis (LDA) was used for classification. In addition, this study attempts to find relevant variables from FOMC Minutes through exploratory data analysis (EDA) in unsupervised learning methods. The results show that LSA can distinguish the characteristics of interest rate increased, decreased, and unchanged samples. EDA can find relevant words in different periods or different categories, show changes in the text structure, and can also classify the texts.

「凸性偏誤」（Convexity Bias），非債券的「凸性因子」（Convexity），來自利率非平行變動對債券價格的影響。對利率交換契約而言，有其特殊意義。是指利用一連串到期日連續的期貨契約，作為評價利率交換契約的模型，卻因為在期貨契約到期前，其隱含利率並不等於遠期利率的情況下，採用未經修正過的模型，將錯誤估算交換契約的價格。而此偏誤值因隨著到期日的增加，或利率的波動增高而逐漸擴大，呈曲線特性，故稱之為「凸性偏誤」（Convexity Bias）。 由於完整資料收集不易，本論文的重心就限於探討美國歷史上，從1994年至1996年間，美國聯邦準備理事會（Federal Reserve Board；FED），第一階段利息大幅變動期間，利率的變動對凸性偏誤的影響，並預測之後利率變動時，對利率交換契約價格的影響。旨在以實證資料作完整分析，希望藉此探討凸性偏誤是否也會因利率變動程度的不同，進而對利率交換契約價格產生不同程度的影響。並進一步利用簡單的模型，推算出準確的遠期利率，作為評價利率交換契約的指標。將來若利率發生變動，交換契約的交易雙方，也能因此得到正確的交換契約價格，進行交易或避險，以減低利率風險可能帶來的損失。

到目前為止，國內外對信用分配的實證研究，大抵不脫以總體資料(aggregate datas)說明在貨幣政策的傳導機制中「信用管道」(credit channel)的存在，但要以此解釋信用分配的現象則略顯不足，我們需要的是更直接的證據：那就是在信用管道背後，銀行用來壓抑地雷公司借款的「篩選工具」(Screening Devices)！ 本文便以分析整理個別公司借款資料的方式進行實證研究，首度將樣本區分為「地雷公司」與「正常公司」，以及「金融風暴前、後」的不同時期，並以「臨界放款利率」作為判斷標準。 本文得到以下三點結論： 1. 在三種樣本期間，地雷公司與正常公司所面對的放款供給曲線，幾乎都有後彎現象（除正常公司在金融風暴前例外），表示信用分配現象的確存在，且銀行以利率為信用篩選工具。 2. 在全部樣本期間與金融風暴後，地雷公司所面對的臨界放款利率均較正常公司為低，表示銀行對地雷公司與正常公司的臨界放款利率的確有異，且銀行成功以「數量」壓抑地雷公司借款。 3. 地雷公司與正常公司在金融風暴後，臨界放款利率均有所降低，且地雷公司臨界放款利率降幅（與全部樣本期間相較）較正常公司高出11個百分點，表示「金融風暴」的確會影響銀行授信態度，且對地雷公司影響較大。 實證結果與研究假說一致，並符合我們的直覺。

本研究計畫探討以RN神經網路模型預測國內債券價格的效度。目前一般用於財務預測的神經網路論著主要為BPN模型，惟BPN模型有其限制，所以本研究計畫將（1）分析比較統計計量模型，BPN神經網路，RN神經網路系統對國內公債價格之預測績效。（2）分析不同時期的預測能力，找出景氣和預測變數的關係，同時將比較各個時期統計計量模型和神經網路模型是否同時有效， 抑或有些有效， 有些無效，以探討各工具是否具有互補性或替代性。並探討預測績效是否受到背後經濟環境的影響。 我們研究對象為國內公債，其每日交易資料取樣時間自民國八十一年開始。影響債券價格的因素可拆解成實質利率，預期通貨膨脹率和風險貼水三層面，本研究總體變數之選取，亦循此三項範疇以求周延。 本研究之研究成果對理論及實務應用將有下列三項預期貢獻：（1）比較不同其常的債券在不同景氣狀況下，各不同預測模型的預測效度差異，探討各時期各工具之預測能力，可提供投資實務界對預測工具之選擇，應用與搭配。（2）對債券報酬率預測研究，分析總體變數，利率風險等變數對債券報酬率的影響，可進一步暸解影響債券價格的相關因素及程度。（3）以往神經網路應用在財務預測領域上， 皆以BPN 神經網路為主，此處引進RN神經網路，比較兩者的表現，可提供學術理論界之驗證。 / This research project empirically investigates the accuracy of Reasoning Neural Networks (RN) in forecasting Taiwan's bond prices. We explore (1) the relative predictive abilities of Vector Error Correction Model (VECM), which serve as a representative econometric model, Back Propagation Neural Networks (BPN), which is adopted by most current studies in the application of neural networks in finance, and RN, and (2) th3 potential variations in the three models' predictive power in different phases of economic cycle. Specifically, we aim to study if the three models substitute or complementone another. In addition, we explore the extent to which the relativepredictive abilities of the three models varies with underlying macroecomonic factors. The explanatory variables adopted in this study include all potential drives to (real) risk-free rate, expected inflation rate, and riskspremiums. In this study, we examine the government bond terms to maturity,coupon rate, and prices of government bonds during 1992-1995. This project would contribute to both academic and application researchin the following three aspects : (1) Few, if any , prior study explores whether and how various neuralnetworks and/or eco- nomic models perform under different macro-economicvariables. Our empirical results may indicate an appropriate model ( ormodels ) to improve forecasting of bond prices. (2) This study shows how RN, BPN, and VECM models perform in forecastinggovernment bonds yields to maturity. (3) The BPN model prevails in financial forecasting. Nevertheless, BPNis subject to a few short comings and may thus be a sub-optimal model. This study analyzes if RN is more cost-effective in forecasting bond prices than BPN.

本文的研究目的，在於直接以利率特性探究景氣循環，並以景氣循環探究利率特性，以了解兩者之間的關係；此模型的特色，在於避開了一般總體模型共通的一項缺點 : 必須先預測外生變數。以上談到的貨幣市場利率特性，計有持有報酬率、違約貼水、期限貼水等三者，至於景氣循環則採用經建會所認定的標準。 研究發現，民國75年到84年臺灣地區貨幣市場的利率特性與實質經濟活動，的確互有解釋及預測能力，實証結果如下： 1.持有報酬率與景氣循環 持有報酬率對景氣具有顯著的負向關係，以持有報酬率來解釋及預測景氣機率也獲致很好的效果；另外，在景氣由盛而衰及由衰轉強此二個景氣轉折月份，持有報酬率飛高和陡降的劇烈變化特別值得注意。並且可以藉由卡曼模型改變估計方法，提高景氣對持有報酬率的解釋和預測能力。 2.違約貼水與景氣循環 從違約貼水對景氣為固定係數的負向關係來看，顯著性雖然低，卻可藉由卡曼模型改變係數估計的方法，大幅改善違約貼水與景氣相互間的解釋和預測能力。 3.期限貼水景氣循環 下降或駝峰型的利率期間結構堪稱是衰退期特有的現象，和1938(1989美國的歷史資料不謀而合。

台灣幅員狹小，天然資源不足，唯有藉著大量出口才能換取外匯，情況使得台灣逐漸發展成一小型開放經濟。長久以來，美國一直是台灣最大的貿易夥伴，使得台灣產品對美輸出的多寡往往直接影響台灣總體經濟的表現。隨著政府外匯政策的逐漸自由化，匯率在總體經濟中所扮演的角色也越顯重要。近幾年來，台幣匯價在外匯市場上時有波動，不但影響政府政策的擬定、經貿活動的往來，外匯市場上的投炒作更造成熱錢的流動。是故，新台幣對美元匯率的決定及波動因素是值得我們深入探討的課題。基於此點，本文擬建立一個可供實証的小型開放經濟模型，試圖探討新台幣對美元匯率的決定因素。首先，參照Frankel(1979)所提出的實質利率差價模型(Real Interest Rate Differential Model)，作為實証研究的基礎。其次，利用Johansen(1988,1991)、Johansen & Juselius(1990)的共整合(cointegration)分析方法，以台灣地區1981年至1993年間的月資料，驗証縮減式的長期關係是否成立。最後，採用誤差修正模型(error correction model)，估計匯率的動態調整途徑，並對匯率變動率進行樣本後預測。 　　實証結果發現：(1)實質匯率差價模型所刻畫的匯率與其他經濟變數的長期關係在台灣是可以成立的；(2)傳統貨幣學派對兩國結構喜數相同的假設過於嚴苛，對於台灣及美國並不適用；(3)除了名目利率外，台灣及美國的貨幣供給、產出水準及通貨膨脹率具有一對一的關係；(4)以誤差修正模型預測台幣／美元匯率變動率，其效果優於隨機漫步模型。

本文採用LIBOR市場利率模型評價確定提撥制退休金計畫所附之收益率保證，此保證收益率連結至隨機LIBOR市場利率，在相關的文獻上(特別在隨機利率方面)，尚未有相關的研究。本文同時考慮兩種保證型態：到期日保證與多期保證，運用平賭過程理論，在延伸之LIBOR市場利率模型(ELMM)下推導此兩種保證的理論公式解。相較於其他利率模型或HJM模型，採用ELMM所推得之評價公式更適合於實務運用。為供實務運用，文中並探討如何進行參數校準，亦進行蒙地卡羅模擬以驗證模型理論解的準確性。 / We derive the pricing formulas for the guarantees embedded in defined contribution (DC) pension plans with the guaranteed minimum rate of return set relative to a LIBOR interest rate. The guaranteed rate associated with a stochastic LIBOR interest rate has not yet been studied in the relevant literature, particularly in the presence of stochastic interest rates. An extended LIBOR market model (LMM) is employed to price the interest rate guarantees embedded in DC pension plans under maturity and multi-period guarantees. The pricing formulas derived under the extended LMM are more tractable and feasible for practice than those derived under the instantaneous short rate models or the HJM model. Calibration procedures are also discussed for practical implementation. Monte Carlo simulation is provided to evaluate the accuracy of the theoretical results.

2008年初，正值美國籠罩次級房貸風暴影響、全球經濟景氣趨緩、產油國地緣政治因素造成能源價格創新高…等險峻經濟狀況之際，投資銀行設計一包含 :搭配出局條款之CMS Spread雪球型利率結構商品及結合附加WTI上限、USD/JPY匯率上下限之異型選擇權的混合結構性商品提案。本文依據標的資產屬性，參考相關文獻及近期在頂級期刊發表之利率資產評價模型研究中，選用Extended BGM模型(Ting-Pin Wu, and Son-Nan Chen(2007))、遠期曲線模型及匯率評價模型為個案之基礎評價模型；以無套利觀念依取得之市場各資產相關公開報價資料估算各模型所需之參數；由於屬於雪球利率結構型商品及路徑相關特性，在目前相關文獻無封閉解的條件下，使用蒙地卡羅模擬獲得未來各資產之現金流折現值，進而計算預期理論價值。依據上述方法論評價所獲得之預期理論價格顯示，個案並非具公平價值之交易，依此結論強烈建議客戶不應該承做本交易。 個案相當於投資銀行以買入一個5年期附帶出局條件，隱含看空經濟景氣循環之CMS Spread選擇權及買入一個1年期看空WTI價格選擇權建構此混合結構性商品。為強化客戶承做意願，設立一似乎觸及機會很大，但從交易後至今從未觸及的出局條件，又透過每日數位選擇權計息方式將WTI波動度資產化，提供大於10%之相對LIBOR rate 很高，但實際是被低估之半年收息固定費率。由於雪球型利率結構型商品特性，收益不僅取決於是否達成交易付款條件，更重要因素是達成時間點之速度。 在蒙地卡羅模擬資產價格路徑中，觸及頭一次CMS Spread付款條件天數之眾數區間為125至135，貼近實際136天。從評價結果，交易之付款條件內已隱含透過兩個不同標的資產選擇權之高預期獲利相互達到避險、套利及強化收益等效益;投資銀行可以不用額外對受眾多複雜不確定因數影響之WTI價格採取避險策略，而將所有避險成本轉嫁於選擇權賣方的客戶。在資本計提規範下及確保未來預期收益之考量下，投資銀行唯一要做是以低成本尋求中介銀行進行背對背交易以強化因市場風險所衍生之信用風險。 從研究過程，不禁讚嘆個案是投資銀行設計建構在財務工程科學上的卓越藝術及策略，從它一旦出現世界上之瞬間，個人預估其價值將達34,211,458.09美元! / Early 2008 was a steep economic era when U.S. was enveloped by subprimemortgage crisis, world's economy was slowing down, and energy prices were pushed to a historical record high by oil geopolitical factors. Under this situation, an investmentbank designed a hybrid structure product, which includes a CMS Spread Snowball interest rate structured product with USD/JPY FX rate Knock out condition, a WTIoption of an additional upper limit, a USD/JPY exchange rate combined exotic option of upper and lower limits. After considering assets attributes and reviewing the relevant literature and recent research published in top journals related to the interest rate assetpricing model, Extended BGM model (Ting-Pin Wu, and Son-Nan Chen (2007)), forward curve model, and FX Rate model are selected as the basic pricing models. Tocalculate the expected theoretical value of this structured product, the unavailable model parameters of assets are estimated through the public market data based on thearbitrage-free concept, and the discounted values of the assets future cash flows are obtained by Monte Carlo simulation because of snowball interest rate structured product and path dependency characteristic and no close form solution in current relevant literature. The results of the pricing models shows that the net present value(NPV) received by customers is lower than that received by the investment bank, theconclusion is : Strongly recommend customers should not to do this trade ! In this case, the investment bank used a long position of one 5-year period CMSSpread Option with knock out condition, which implies Bearish on the economic cycle, and a short position of a 1-year period WTI option with up and low limits condition to construct this hybrid structure product. To draw customers’ attention to this proposal, the investment bank designed a knock out condition that seemed to be met very easily,but the price never touched by the article finished date. Additionally, a daily accrued digital option is used to transfer WTI volatility to a semi-annual fixed yield over 10% that, compared to LIBOR Rate, is very high but actually is underestimated. For theSnowball structure product, the total profit depends on not only when but also, more importantly, how soon to meet the payment condition. According to the asset pricing path generated by Monte Carlo simulation, the mode range which CMS Spread payment condition first met is 125 to 135 days after the contract’s value date, very close to the actually history data of 136 days. From pricing results, terms of contract implied that two different options combined to hedge risk and gain profit from each other. Hence, the investment bank does not need to make extrahedge strategy to WTI price which is impacted by more complicated risk factors.However, customer must spend hedge cost because of taking much risk as a sell option role. Under the Capital Charge regulation, to lock up the expected profit, what the investment bank needs to do is only to pay a very low cost fee, which like insurancepremium, to look for an intermediary bank to offer a back to back trade to manage thecredit risk caused by market risk! During the research of this paper, I am amazed what an excellent art and strategy that designed by the investment bank based on financial engineering science! As this structure product appeared in this world, I estimated that it would worth 34,211,458.09 USD.

台灣利率自由化的演進過程，是採取循序漸進的方式，先由貨幣市場實施，再逐步推及到存放款市場。自1989年利率自由化及1991年政府開放新商業銀行設立以來，台灣銀行業的競爭就進入了白熱化的春秋戰國時代，金融版圖重新調整，產業的競爭有增無減。這期間經過兩次的金融改革，體質較弱的銀行紛紛走向讓售及被併購的命運，尤其是2008年發生金融海嘯，對銀行業的經營更是一大挑戰。觀察近年來銀行業的經營困境，存放款利差持續走低，多數銀行採取價格競爭策略，企業授信市場採用低利削價的手段，造成銀行業獲利率降低，危及銀行健全經營體質。所以本研究從文獻回顧探討影響放款利率定價決定因素，從樣本銀行實務授信政策及放款定價辦法探討影響放款利率定價決定因素，並利用樣本資料從實證模型的估計及檢驗來推估假設變數與企業貸款利率定價之間的具體關係及影響方向與程度，最後將實證結果提供予銀行管理當局擬定授信政策及建立完善放款利率定價模型之參考。 / From money market to deposit and loan markets, the development of interest rate liberalization in Taiwan has been in gradual progress. Since interest-rate liberalization in the year of 1989 and governmental approval on the establishment of new commercial banks in 1991, the competition among banks in Taiwan has become severe. Market shares among banks have thus changed. During the period, the financial market experienced two banking reforms. Banks with relatively weak financial nature have been forced to be sold or merged. Moreover, the financial turmoil in the year of 2008 made the business environment of banking industry even more challengeable. Running business in banking has been more difficult in recent years. Interest rate spread for banks has been narrowing. Most banks have adopted price competition strategies. Such price-cutting policy in commercial loan market has resulted in the deterioration of bank management in the industry. This research reviews study-papers focusing on the factors affecting commercial loan interest rate pricing, using bank A as a sample to review its actual operation of credit policy and loan pricing means. In addition, by adopting technique of empirical model measurement and statistical test on the sample data, the concrete correlation and extent of influence between hypothetical variables and pricing on commercial loan interest rate are also estimated. The aim of this paper is to provide empirical tested results to the banking authorities for their reference when designing fine credit policies and commercial loan pricing model.