本篇論文從不同公司策略，以月資料來探討台灣532家上市公司在1999~2004年之公司對匯率風險曝露的敏感度，並以六十個月各上市公司股價報酬率為依變數，與台灣最大十五個貿易夥伴的匯率資料為自變數橫斷面資料，進行匯率風險對股價報酬關係之檢定。與之前實證研究不同之處是，本研究是利用多種貨幣模型來解釋各股價報酬，非只有一個貨幣當作唯一的指標。實證結果發現尚未加進大盤指數為控制變數時，只有0.93%受匯率風險暴露，反之，加進大盤指數之後，受到匯率風險的公司增加到88.2%。以公司策略及產業角度來看，結果顯示當公司外銷比例越大，此公司承受的經濟風險會越高。 / The purpose of this empirical study is to investigate sensitivity of company values to fluctuation in foreign exchange rates. Distinguishing from the previous research, this study employs a multiple currency proxy model to estimate firm’s exposures instead of using a single currency model. The research sample includes all Taiwan listed firms’ data for the period from 1999 to 2004. The empirical evidence from Taiwan listed firms indicates that 85.3 to 88.2 percent of firms are exposed to foreign exchange rate movements when market return control variable is included in the regression. A small percentage of firms are exposed to the foreign exchange rate movements with exclusion of the control variable. Results from ordinary least square analyses reveal that export intensity increases economic exposure to fluctuation of foreign exchange rate.

保險法第146條之4規範國外投資總額最高不得超過各該保險業資金45%，而2014年修正增列保險業依保險法規定投資於國內證券市場上市或上櫃買賣之外幣計價股權或債券憑證之投資金額，可不計入其國外投資限額。且因我國市場長期處於低利環境，壽險業即大量以台幣作為融資貨幣買入國外高利率環境下之標的貨幣進行利差交易，本研究擬以經濟資產模型進行資產與負債之模擬，衡量壽險公司的經濟資本與清償風險。 依據現行壽險公司資金運用決定投資之標的，並以Cox-Ingersoll-Ross (1985)模型模擬國內外短期利率，在無拋補利率平價說下建立匯率模型，以Heston (1993)隨機過程描述資產的變化，並考量壽險公司投資策略決定投資比率，再加入資產之相關性進行模擬；以與壽險公司投資連結之利率變動型年金為商品，加入各項風險因子進行負債價值模擬，諸如死亡率、解約率等因子；資產與負債皆在風險中立測度下以蒙地卡羅法進行模擬10,000次，探討公允價值下壽險公司之清償能力。 而現行清償能力指標為資本適足比率，但此標準下尚無法完整考慮各風險之相關性，本研究除考量資本適足比率中風險資本總額，亦加入經濟資本進行分析，可得以下結果： I.現行RBC風險資本總額介於VaR 99.5%與95%所計算之經濟資本間。 II.當匯率波動度與國外投資比例增加時，經濟資本亦將顯著增加。 III.隨國外債券投資比例增加，風險資本總額增加之幅度亦會加速成長。 IV.利率變動型年金商品宣告利率之擬定將顯著影響公司面臨之違約風險。 / The amendment of Article 146-4 of Insurance Act extended the overseas investment ceiling in 2014 that the International Bond was not included to be counted in overseas investment. Since we have been suffering from the low interest rate for a long time, life insurance industry often uses carry trade to enlarge their earnings. In this paper, the investment targets are chosen on the basis of the current life insurance industry. We simulate the short-term interest rate based on Cox-Ingersoll-Ross (1985) model, establish the exchange rate model by Uncovered Interest Rate Parity, and use Heston (1993) model to simulate stochastic process of assets. Then we consider the life insurance industry’s investment strategy to determine the investment ratio and also import the asset correlation into our models. The interest sensitive annuity policies we used to evaluate the liabilities are linked with life insurance companies’ investment. Some risk factors are also been considered, such as mortality, surrender rate and other factors. Through Monte Carlo simulations by 10,000 times, we analysis the life insurance companies’ solvency under risk neutral measurement by using Risk-Based Capital and Economic Capital. The results show that： I.Risk-Based Capital is between Economic Capital calculated by VaR 99.5% and 95%. II.When the volatility of exchange rate and overseas investment ratio increase, the Economic Capital will also increase significantly. III.With the increase in the proportion of foreign bond investment, the increase in the Risk-Based Capital will accelerate the growth. IV.The declaring interest rate of interest sensitive annuity policy will significantly affect the default risk faced by the life insurance company.

本論文包含台灣壽險業資產配置國際化及匯率避險兩個主題。首先，探討台灣壽險業積極向主管機關申請核准提高國外資產配置比率，與美國投資人偏好投資自己國家資產不一致的現象，是台灣壽險業資產配置不得不的策略，或是國際化的迷思? 以25家壽險公司2004 年至2008年財務資料實證結果發現，國外資產納入投資組合對壽險業投資績效有利。如果將樣本公司依據所有權區分為本資公司與外資公司，資料顯示，本資公司國際資產配置較為積極，惟其報酬績效與外資公司差異並不顯著。研究亦發現，2008年美國次貸風暴顯著負向影響台灣壽險公司國外投資報酬，即提高國外資產配置雖可提高報酬，惟匯率風險、信用風險及系統風險暴露亦相對提高，建議壽險公司於追球較高報酬同時，應同時加強風險管理。另實證亦發現，資產規模愈大公司之投資報酬率相對較遜，建議於追求保費市占率成長時，應重視投資報酬績效的實質提升。 第二部分探討2004年至 2008年台灣壽險業國外投資匯率風險管理策略對投資績效影響。以整體產業觀察，匯率避險對投資報酬率有正面效果；本資公司避險策略相較外資公司積極，報酬率亦相對較優；股票上市公司有財報揭露股價波動之壓力，經理人有較強誘因採取避險策略，投資報酬率相較優於股票未上市公司，惟差異並不顯著。實證結果支持Glen and Jorion (1993) and Campbell et al. (2010)避險可以降低匯率風險提升投資報酬績效之研究結論，2006年實施之34號會計公報，顯著影響本資公司與上市公司之避險行為。 / In this study, we study two essays on international asset allocation and the currency hedging problem for Taiwan life insurer industry. In the first essay, we investigate the high percentage of foreign investments placed by Taiwan life insurers and how this phenomenon is at odds with the bias for investing at home common among American investors. The holdings of 25 Taiwan life insurance companies, between the years 2004 and 2008, are scrutinized with a view towards evaluating home bias and its financial impact. We find that foreign investment has proven profitable for the life insurance industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, and that while the performance of investments made by domestic-owned life insurers differs from that of foreign-owned life insurers, the difference is insignificant. We also found that global financial turmoil in 2008 had a massively negative impact on the foreign investments of Taiwan life insurance companies and firm size and return on investment is negative correlated, suggesting that life insurers should focus on enhancing investment performance and risk management. In the second essay, we examine the currency hedging strategy and its impact on the performance of Taiwan life insurance industry investments from 2004 to 2008. We find that currency hedging strategies have yielded positive results, overall, for the industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, the results show that the currency hedging strategies employed by the domestic-owned companies enjoy advantages over those of foreign-owned firms. If the sample is further divided into those publicly listed on the TAIEX and others, our results show that a hedging strategy has positive effects on listed company. Our findings support the work in Glen and Jorion (1993) and Campbell et al. (2010), which reveal that hedging strategies improve foreign investment returns and can reduce currency risks in comparison to non-hedging strategies. Our empirical results indicate that SFAS No. 34 has a significant effect on currency hedging behavior among domestically owned and listed companies.

本論文含蓋三篇文章，分別從評價、避險和風險控管三方面，分析上限型股權連結保本票券。 第一篇文章為上限型股權連結保本票券之設計、評價和比較。本文考量投資人保守的投資行為與設限型股權連結票券所存在的delta跳躍(delta jump)現象，延伸Brennan and Schwartz (1976)模型，提出一個能在股價波動之際，使發行的避險部位delta呈現平滑變動且兼具保本(protected principal)功用的一般化模型(general form)。相較於一般的設限型股權連結保本模型，本模型具有以下特色。第一，加入股價成長率的調整因子(adjustable factor)，當景氣低靡，股價不停下跌時，正的調整因子可減緩股價下滑之勢，進而增加投資人在票券到期日時獲取更多資本利得(capital gain)的機會。同時，調整因子縮小了當期股價成長率與股價上限成長率(capped stock growth rate)之間的差距，繼而減緩delta 跳躍的幅度，降低發行者的避險成本。並且在HJM利率模型下，delta隨股價與股價波動度的變化更顯平滑(smooth)。第二，在保本率(protection rate)和參與率 (participation rate)不變之下，本模型的期初合理價格(fair price)較低，投資人能以較低的成本取得同等的投資保障。第三，若將本票券的名目面額(notional principal)視作共同基金(mutual fund)的淨值(net value)，而該淨值與股價連動，則本模型即成為股權連結的保本型基金(principal-protected fund)。 第二篇文章是路徑依賴之上限型股權連結保本模型之評價和風險測量。該文是擴展Brennan and Schwartz (1976)模型發展一個路徑依賴之上限型股權連結保本模型，並且提出一個比二元數模型更精確的封閉解。此外，也對七個時間序列進行股價波動度之精確檢定，得知AR-ARCH(1)模型對上限型股權連結保本票券而言，較其它時間序列模型，更能有效估計股價之波動度。 第二篇文章是外國資產的風險管理。目前在國內金融市場上，國外金融商品很多，大都以外幣計價，因此匯率風險是投資人不可忽視的因子。本文拓展Kupiec(1999)模型，將匯率風險加入模型中，使投資人更有效進行風險管理。 / This thesis studies valuation, hedge and risk management of capped equity-linked and principal-protected notes by means of the following essays: (1) Design, Valuation and Comparison of Capped Equity-linked and Principal-protected Notes (2) Valuation and Risk Measurement of Capped Equity-linked and Principal-protected Notes with Path Dependence (3) Risk Management of Foreign Assets Capped equity-linked and principal-protected notes are similar with barrier options. There exists delta jump as stock price or growth rate reaches the barrier. But previous studies about equity-linked and principal-protected notes with a restricted growth rate of stock price never explicitly discussed how the delta jump could be solved. In my first essay, I present a new design for capped equity-linked and principal-protected notes and add an adjustable factor to growth rate of stock price in such a way that the adjustable factor narrows the gap between the current stock growth rate and the capped stock growth rate and thus really reduces the magnitude of the delta jump and hence lowers the hedging cost for brokers. Recently, the focus of previous studies about principal-protected notes has been on either the restriction on the rate of stock return or the path dependence on the underlying asset, but not both in the same context. In my second essay, I develop a model on the capped, equity-linked and principal-protected notes with path dependence. There are two issues in this article. The first issue is valuation on the capped, equity-linked and principal-protected notes with path dependence. I find a closed-form approximation using the 2nd-order Taylor approximation and the method of Vorst (1992) that has higher accuracy than binomial tree model as maturity time or volatility becomes large. The second issue is risk measurement. I use VaR model to evaluate market risk of the principal-protected notes, and employ seven univariate time series models to forecast volatility and examine the accuracy. Additionally, investors may well encounter potential loss as the prices of financial products are reduced in the secondary market. The VaR is mainly concerned with the downside risk and becomes a standard measure of financial market risk that is increasingly used by investors. But if we want to apply 〝textbook〞formulation to risk management of foreign assets, there leaves exchange rate risk out of consideration. Therefore, I extend the work by Kupiec (1999) to present VaR formula with exchange rate risk for foreign assets and then to manage market risk usefully.