11 |
可轉換公司債存續期間之分析 / Anatomy of the convertible bond duration陳嘉霖, Cheb, Chia-Lin Unknown Date (has links)
論文名稱:可轉換公司債存續期間之分析
校所組別:國立政治大學金融研究所
畢業時間:九十年度第二學期
提要別:碩士學位論文提要
研究生:陳嘉霖
指導教授:陳松男博士
論文提要及內容:
本研究在分析可轉債的存續期間,在存續期間的衡量上是採用有效存續期間法;而在可轉換公司債的評價上,假設股票價格服從幾何布朗寧運動,無風險利率的變動符合Hu1I-white利率模型,並且考量利率與股票報酬之間的相關性,建立可轉換公司債評價六元樹形圖。
本研究分別針對到期期限長短、價內外程度、股價波動度、利率波動度、股價與利率相關係數及票面利率等六項參數,作可轉換公司債存續期間的敏感度分析,研究結果為:1 加入贖回條款後,可轉債的存續期間高於未加任何條款下的可轉債存續期間。2 加入賣回條款後,可轉債的存續期間低於未加任何條款下的可轉債存續期間。3 加入贖回及賣回候款後,可轉債的存續期間會介於僅含贖回條款與僅含賣回條款的存續期間之中。4 距到期日愈長可轉債的存續期間愈高。5 愈價外的可轉債其存續期間愈高。6 股票波動度愈高,可轉債的存續期間愈低。7 利率波動度增加則可轉債的存續期間上升。8 股票價格與利率相關係數由正至負,可轉債的存續期間上升。9 若贖回權愈小,則票息上升會增加可轉債的存續期間。
關鍵字:可轉換公司債、存續期間、有效存續期間、六元樹、Hull-white、利率模型 / Title of Thesis: Anatomy of the Convertible Bond Duration
Name of Institute: Graduate Institute of Money and Banking, NCCU
Graduate Date: June, 2002
Name of Student: Chen, Chia-Lin
Advisor: Dr. Chen, Son-Nan
Abstract:
This thesis uses effective duration method to anatomize the convertible bond duration. With the assumptions that stock price follows Geometric Brownian Motion and risk-free interest rate follows Hull and White model, we built a hexanomial tree to value the convertible bond.
This thesis analyses the effects of the six parameters . They are maturity date, the ratio of the stock price versus the strike price, the correlation between stock return and interest rate, stock return volatility, interest rate volatility, and coupons. The conclusions include nine points. First, the value of convertible bond duration including call clauses is higher then pure convertible bond duration. Second, the value of convertible bond duration including put clauses is lower than pure convertible bond duration. Third, the value of convertible bond duration including both call and put clauses is between only including call or put clauses ones. Fourth, the longer the time to maturity is, the higher the convertible bond duration is. Fifth, the higher the ratio of the strike price versus the stock price is , the higher the convertible bond duration is. Sixth, the higher the stock volatility is , the lower the convertible bond duration is. Seventh, the higher the interest rate volatility is , the higher the convertible bond duration is. Eighth, the value of the correlation between stock return and interest rate increases from a negative value to a positive one, then the convertible bond duration increases. Ninth, if the value of call right is very small , the convertible bond duration will increase by the increasing of the coupon .
Keywords: Convertible Bond, Duration, Effective Duration, Hexanomial Tree, Hull and White Interest Rate Model
|
12 |
自動提前贖回型結構商品之評價與分析-以CMS連結債券及股權連結債券為例鄭昭佑, Cheng, Chao You Unknown Date (has links)
本篇論文將研究目標鎖定為保本型自動贖回結構商品,分別探討利率連動及股權連動型之債券,採用LIBOR市場模型中的對數常態遠期LIBOR模型,以蒙地卡羅模擬法進行評價,進一步分析債券所附有之贖回權價值,一般認為自動贖回機制設計乃對發行公司有利,研究結果發現,市場上並非所有的自動贖回權價值皆屬於發行券商,本文所探討之CMS連結債券,其自動贖回權之設計乃有利於投資人,主因是商品在到期前的配息狀況皆低於市場條件,若達到自動贖回條件可提早領回本金,投資人將資金再投資較繼續持有商品至到期日獲利高,而本文探討之股權連結商品,其自動贖回機制乃有利於發行券商,主要由於發行公司可免去未來可能的配息;由於債券到期日長短之差異,對契約本金的變化幅度影響很大,預定到期期限愈長,增加投資人對自動贖回權的價值。
|
13 |
連結匯率變動之利率衍生性商品相關研究 / Valuation of quanto interest rate derivatives in a cross-currency LIBOR market model周奇勳 Unknown Date (has links)
在這篇論文裡,我們考量在跨貨幣經濟體系中的市場利率模型,除了本國利率,同時考慮外國利率與兩國匯率的變動過程。在這個架構之下,我們推導匯率連動利率衍生性商品的價格,此模型具有易於執行且參數估計容易的特點。
|
14 |
考量信用風險下之海外可轉債評價 / Pricing Euro-Convertible Bonds with Credit Risk吳岱恩, Wu, Tai En Unknown Date (has links)
鑒於近年全球海外可轉換公司債發行檔數大增,然而以此商品為研究主題的文獻並不多,於是決定以此為研究目標。
影響海外可轉換公司債的價格因素包括股票價格、匯率、國內利率、國外利率和發行公司的違約機率,因此可買回、可賣回海外可轉換公司債是一個複雜的商品,而評價也較為困難。本文採用三維度二項樹和最小平方蒙地卡羅法建立評價海外可轉債的數值模型。為了更貼近真實世界,本文考量各變數間相關性和動態信用風險;另外,為了使評價更為精準,於股價過程中加入跳躍過程。
本文將模型運用至兩檔台灣公司所發行的海外可轉債,發現理論價格傾向於高估,但是理論價格與市價極為接近,尤其當以最小平方蒙地卡羅法評價時。另外本文也針對發行條件和模型中各個變數作敏感度分析,其中重要的是發現股票波動度、股票與匯率間相關係數在海外可轉債評價中扮演重要的角色。 / The number of Euro-convertible bonds issued has highly increased in the early 2010s. However, the related literature is barely found. This paper studies the pricing models of this investment product. Euro-convertible bonds are complex instruments affected by the credit risk of the issuers, the dynamic process of stock prices, the term structure of the interest rate and the movement of the exchange rate in the same time. Accordingly, building the ECB pricing model is a hard work.
This paper presents a model considering the dynamic credit risk and jump in stock price process to make valuation more precise. Another advantage of models in this paper is use of stochastic interest rates for both local and foreign so as to make the model more staying with the real world. The other advantage is taking the correlation between each random variables into account. For pricing the Euro-convertible bonds, the numerical methodologies used in this paper are three-dimension binomial tree and least squares Monte Carlo approach.
For purpose of assessing the performance of the model, two Euro-convertible bonds issued by Taiwan companies are chosen as samples and the difference between the theoretical price and market price during its issue period are provided. The results demonstrate that in spite of pretty slight overestimation, the least squares Monte Carlo simulation does a better job.
In addition, this paper performs several kinds of sensitivity analysis to have in-depth understanding about the models. The consequence shows that the volatility of a stock return and the correlation between stock and exchange rate play a central role in ECB valuations.
|
15 |
含解約權之附保證變額壽險評價分析林威廷 Unknown Date (has links)
本文針對躉繳保費的附保證變額壽險進行評價,保單形式為生死合險,假設投保人可將期初的投資金額連結到兩種投資標的:股價指數及債券型基金,並以BGM模型描述利率的動態過程,然後分別計算不含解約權及含解約權的附保證變額壽險躉繳保費,進而求算出隱含在保單中的保證價值和解約權價值。針對含解約權的附保證變額壽險,以Longstaff and Schwartz(2001)提出的最小平方蒙地卡羅法處理解約的問題。最後,我們求算不同年齡下的男性保費,並且在投資比例、起始最低保證、最低保證給付成長率、針對解約的保證給付成長率和第一個允許的解約時點變動下,分別討論對於保證價值和解約權價值的影響。
結果顯示:(1)當起始最低保證給付等於期初投資金額時,投資在股票的比例越大,越能凸顯保證價值和解約權價值佔保費的比重。以30歲男性為例,保證價值佔不含解約權之附保證變額壽險的比例,由全部投資在債券型基金的0.03%,成長到全部投資在股票的13.86%;而解約權價值佔含解約權之附保證變額壽險的比例,由全部投資在債券型基金的0.05%,成長到全部投資在股票的9.12%。(2)投資比例、起始最低保證給付和最低保證給付成長率越大,保證價值越高。(3)起始最低保證給付和針對解約的保證給付成長率越大,解約權價值越大;而最低保證給付成長率和第一個允許的解約時點越大,解約權價值越小。(4)投資比例隨著最低保證給付不同對解約權價值有不同的影響。
關鍵字:附保證變額壽險、BGM利率模型、解約選擇權、最小平方蒙地卡羅法 / This study emphasizes on the pricing of variable life insurance with minimum guarantees. As an endowment policy in a single premium form, in this paper, it is assumed that the insured can distribute the initial investment amount into two underlying assets: the stock index fund and bond fund. Simulating the interest rate under a BGM model, computational procedures are performed for the single premium of the variable life insurance policy without surrender option and embedding a surrender option, and further, the guarantee value and surrender value embedded in the insurance policy. For the variable life insurance policy embedding a surrender option, the Least Square Monte-Carlo method proposed by Longstaff and Schwartz (2001) is applied to solve the surrender conditions. Finally, we calculate the premium for a male at different ages, and respectively analyze the variations of the guarantee value and surrender value under the influence of the investment portfolio, the initial minimum guaranteed amount, the growth rate of the minimum guarantee, the growth rate of the minimum guarantee for surrender and the first permitted surrender time.
The results show that: (1) when the initial minimum guaranteed amount equals the initial investment amount, higher proportion invested in stock will result in larger percentage of the guarantee value and surrender value to total premium. Take a 30-year old male as an example: the percentage of guarantee value to the premium of variable life insurance with minimum guarantee and without a surrender option, which is 0.03% when the initial investment amount thoroughly goes to bond fund, rises up to 13.86% with the entire amount invested in stock index fund. Likewise, the percentage of surrender value to the premium of variable life insurance with minimum guarantee and surrender option is 0.05% with total amount invested in bond fund, while it is 9.12% with the entire amount invested in stock index fund. (2) The higher proportion invested in stock, the initial minimum guaranteed amount and the growth rate of minimum guaranteed amount, the larger guarantee value. (3) Larger initial minimum guaranteed amount and the growth rate of the minimum guaranteed amount for surrender would contribute to a higher surrender value. The higher growth rate of the minimum guaranteed amount and the first permitted surrender time, the lower surrender value. (4) The influence of the investment portfolio to surrender value depends on the initial minimum guaranteed amount.
Key words: Variable life insurance with minimum guaranteed amount, BGM interest rate model, surrender option, least squares Monte Carlo approach.
|
16 |
LMM利率模型下可取消利率交換評價與風險管理 / Cancelable Swap Pricing and Risk Management under LIBOR Market Model廖家揚, Liao, Chia Yang Unknown Date (has links)
許多公司在發行公司債的時候,會給此公司債一個可提前贖回的特性,此種公司債稱為可贖回公司債(Callable Bond),用來規避利率變動風險的金融商品也與我們熟知的利率交換不同,稱為可取消利率交換(Cancelable Swap)。其實可取消利率交換可以拆解成百慕達利率交換選擇權(Bermudan Swaption)加上利率交換,由於利率交換之評價較簡單也有市場一致的評價方法,因此百慕達利率交換選擇權便成為評價的重點。
評價的部分,由於百慕達式的商品有提前履約的特性,造成其封閉解不存在,因此需要利用其他的近似解或是數值方法來求它的價格。由於本文採用BGM(1997)的市場利率模型(Libor Market Model),其高維度的性質導致數狀方法與有限差分法使用起來較無效率,因此本文選擇使用蒙地卡羅法做為評價的方法,同時利用Longstaff and Schwartz(2001)的最小平方蒙地卡羅法(Least Squares Monte Carlo Method)來解決提前履約的問題。
最後,本文將採用2種利率波動度假設與2種不同利率間相關係數的假設,共4種組合,在歐式利率交換選擇權的市場波動度下進行校準,使用校準出來的參數進行評價來得到4種價格。再進行商品的敏感度分析(Sensitivity Analysis)和風險值(Value at Risk)的計算。
|
17 |
可轉債評價 --- LSMC考慮股價跳躍及信用風險 / Convertible Bond Pricing --- Consider Jump-diffusion model and credit risk with LSMC丁柏嵩 Unknown Date (has links)
可轉換公司債是一種在持有期間內,投資人可以在規定的時間內將債券轉換為股票,或是到期時得到債券報酬的一種複合式證券。因此,可轉債除了具有債券性質之外,還包含另一部份可視為一美式選擇權的股票選擇權。
本篇論文將可轉換債券評價結合數值分析中的最小蒙地卡羅法(Least square monte carlo),使得在評價可轉債時,能夠具有更多的彈性處理發行公司自行設計的贖回條款與其他各種不同的契約情況。
此外,本篇論文針對股價考慮跳躍的性質,使用Compound Poisson 過程模擬發生跳躍的次數,導入Merton的跳躍模型(Jump-diffusion Model),在Merton的假設下,模擬未來股價的動態變化。
信用風險方面,本文採用Duffie提出的風險CIR模型評價。考慮存活函數(Survival Function)和違約強度(Hazard Rate Function),使用CIR模型描述信用違約強度在可轉債持有期間的動態變化,最後模擬出違約的時點,結合LSMC下的可轉債評價評價法。
最後利率部份,雖然Brennan and Schwartz(1980)認為隨機利率對於可轉換債券的評價,並沒有明顯的效果,反而會降低評價時的效率,但是為了符合評價過程的合理性,本文使用CIR短期利率模型。
|
18 |
考慮信用風險下新金融商品之評價分析許家瑜, Hsu Chia Yu Unknown Date (has links)
本文之信用風險模型屬於簡約模型(Reduced Form Model)之範疇,以COX過程解釋違約過程,解釋為何企業會發生連帶倒閉的現象。在考慮信用風險後,各期所產生之現金流量變得具不確定性,因此在計算現金流量之現值時,折現因子就必須考慮信用風險溢酬,本文選用信用風險模型中的一大分支-約簡模型,將信用風險量化(包含系統風險及非系統風險),進而估計出信用價差期間結構;就如同無風險利率期間結構對固定收益商品之重要性,在估計出公司之信用價差期間結構後,即可針對該公司發行之各種商品進行評價分析。本文並以花旗所羅門美邦控股公司為例進行實證,利用公司債理論價格與市價之誤差平方和,求解違約過程之參數估計值及信用價差期間結構;接著,針對花旗所羅門美邦控股公司所發行之連動債券〝TRAGETS〞,進行評價分析並比較考慮信用風險與否是否有助於理論價格與市價之配適。
|
Page generated in 0.0294 seconds