This thesis investigates the nature of joint dividend-and-earnings signalling in announcements to the New Zealand Stock Exchange in the 1990s. Initially the Market Model is used to compute expected returns, and the abnormal returns derived from these are subjected to restricted least squares regressions to separate out a putative dividend signal from the concurrent earnings signal. But with the Market Model, the zero-value company returns associated with an absence of trading in thinly traded stocks are over-represented in returns distributions leading to problems of bias. New models are developed that explicitly exploit zero returns. The first alternative methodology entails friction modelling, which uses a maximum likelihood estimation procedure to find the relationship coefficients and the range of returns that should be considered as zero, and then proceeds to treat them as a separate category. The second alternative methodology is that of state asset models, which take a fresh new look at investor perceptions of the connection between movements in company returns and those of the concurrent underlying market. Zero-value company returns cease to be zero in value, where a state model is rotated, or alternatively they can be modelled as an extra state. All three methodologies furnish some evidence of dividend signalling; but this evidence is highly dependent on small changes within the given methodology.

連動式債券已成為目前市場上最熱門的投資工具，標榜著高受益的條款下，常隱含著投資人所不瞭解的風險，利用理論的模型套用在實務商品上，可以令人更清楚認識複雜化的金融衍生性商品。本文在Libor市場模型與Hull-White利率模型的架構下，利用數值方法評價分析最常見的兩種連動式債券－固定期限利率交換利差連動債券與信用連結債券。 Libor市場模型直接拿取市場上可觀察到的遠期Libor利率做為模型的標的，有良好配適目前利率期間結構的優點。利用此模型為出發，校準出波動度期間結構，以蒙地卡羅模擬法來評價固定期限利率交換利差連動債券。由評價結果可量化分析出連動式債券內含的選擇權與零息債券價值為何，探討發行商的發行策略與投資人的風險來源。 繼股權、利率連動式商品之後，未來金融商品的連動標的將進入信用風險的階段。以公司債的市場資料建立出一條信用風險曲線(Credit Curve)，最能夠反映出當時市場上大多數人對於未來發生違約事件的預期。在假設利率市場風險和標的公司信用風險是獨立的前提下，將這條曲線和以Hull-White利率模型為基礎建立的利率三元樹與路徑函數結合，便可以適當地評價信用連結債券的價值。最後，求算債券內含的信用違約交換價值，對發行機構的策略與投資人的風險作分析。

本文以目前台灣市場上所發行之兩個結構型商品—信用連動債券與利率連動債券為研究主題，信用連動債券之連動標的為國巨電子股份有限公司的信用風險，利率連動債券則以不同年限之交換利率利差為連動標的，本文利用數值方法分別評價此二理論價格，分析此類商品之結構、風險與收益。 本文以Hull and White利率三元樹模型和Li (1998) 建構信用曲線模型評價信用連動債券，並進一步分析信用模型內的回復率參數對信用連動債券價格之影響；在評價利率連動債券時，則採用LIBOR市場模型，利用蒙地卡羅模擬法模擬此商品之理論價格，並進行配息條款改變下之情境分析。

經由愈來愈多的實證研究發現，的確在利率的變動過程中，除了包含連續性行為，即遵循”擴散”模式(diffusion process)，亦包含了不連續性行為，也就是有著跳躍(jump)的情形發生。因此顯示出假設利率隨機過程僅為連續性的擴散模型已是不足夠的，跳躍-擴散模型(Jump-diffusion model)顯然會比純粹擴散模型有著更好的解釋能力。而市場模型(LIBOR market model)的提出，則說明了遠期LIBOR利率模型較能描述市場實際的利率型態，並且可方便使用市場資訊，進行模型參數校準。 所以本研究旨在以LIBOR market model 加上跳躍過程，即遠期LIBOR利率的跳躍-擴散模型，分別針對歐洲美元期貨與利率結構型債券中的滾雪球式累息債券建立評價方法。由於所選用動態模型的複雜度，使得封閉解的求出不易，因此在文中，最後是採用蒙地卡羅模擬法，求兩商品的數值解。在後續研究上，本文還挑出了幾個最直接影響商品價值的因素，如殖利率、波動度、跳躍幅度等，進行各種情境下商品價值的敏感度分析，以提供投資人與發行商在考量風險因子所在時的一個參考。

本論文針對市面上發行的兩檔結構型商品：『十年期美元計價雪球型利率連動票券』與多標的信用連動債券-『啄利信用連動債券』進行分析。分別利用LIBOR利率市場模型（LIBOR Market Model）來評價利率連動票券，以及Kijima與Muromachi（2000）評價一籃子信用違約交換的方法來評價信用連動債券。計算出合理價值後，再因應不同的經濟環境作敏感度分析。

Die studie ondersoek die inligtingswaarde van dividende as 'n moontlike verldaring van die waargenome aandeleprysreaksie op dividendaankondigings. Twee algemene hipoteses is getoets, naamlik dat 'n betekenisvolle verandering in 'n maatskappy se dividendbeleid inligting oor daardie maatskappy se toekomstige verdienste per aandeel bevat, en tweedens dat hierdie inligting in die reaksie van aandelepryse na die aankondiging van die verandering gereflekteer word. Die belangrikste bevindinge is soos volg: • Die inligting vervat in huidige dividendaankondigings kan nie deur beleggers gebruik word om die volgende jaar se verdienste per aandeel van 'n maatskappy te voorspel nie. Die aandeleprysreaksie op positiewe, negatiewe en neutrale nuus is statisties beduidend, maar vind hoofsaaklik in dieselfde rigting plaas. Beleggers sou dus nie die inligting vervat in dividendaankondigings kan gebruik om bogemiddelde opbrengskoerse te genereer nie. • Die inligtingswaarde van dividende is dus 'n onwaarskynlike verldaring van die invloed van 'n maatskappy se dividendbeleid op die waarde van sy gewone aandele. / This research investigates the information content of dividends as a possible explanation for the observed share price reaction to dividend announcements. Two hypotheses were tested, namely that a significant change in a company's dividend policy contains information on that company's future earnings per share, and secondly, that this information is reflected in the share price reaction after the announcement of the change. The most important findings are as follows: • Investors cannot use the information contained in current dividend announcements to predict a company's earnings per share for the next year. • Share price reactions to positive, negative and neutral news are statistically significant, but will be in the same direction. Hence investors cannot use this information to generate above-normal returns. The information content of dividends is therefore an unlikely explanation of the influence a company's dividend policy has on the value of its ordinary shares. / Business Management / MCom (Sakebestuur)

固定期信用違約交換(Constant Maturity Credit Default Swap)是移轉固定年期信用違約交換信用價差(CDS Spread)變動風險的信用衍生性金融商品，目前僅Brigo(2005)以及Krekel and Wenzel(2006)探討固定期信用違約交換的評價，也各自推導出近似封閉解，但對於相關參數之估計以及避險參數並沒有涉及，因此本研究將利用歷史資料估計Krekel and Wenzel(2006)評價公式中的參數，讓評價模型更加完備，並求算避險參數，提供發行商與投資人避險資訊。 本文利用目前信用違約交換(Credit Default Swap)市場中各到期日流動性較高的美國Eastman Kodak Company公司債作為標的物，發行一檔固定期信用違約交換，並利用現有市場資訊估計模型中的參數。在避險實證上，本文利用標的物債券信用價差曲線的變動，對固定期信用違約交換契約價值以及五年期及十年期信用違約交換契約價值的影響，建構了一個避險投資組合，使得避險後總投資組合價值波動減少。 / Constant Maturity Credit Default Swap (CMCDS) is one of the credit derivatives, whose function is to circumvent the fluctuating risk of CDS Spread. Brigo (2005) and Krekel and Wenzel (2006) focused on not only probing into the evaluation of the CMCDS but also deriving the approximated closed-form solution in their recent research separately. However, they seldom concern the hedging approach and the estimated parameters of pricing model, which could be major variable in the measurement. This paper is aiming to calculate the history data of hazard rate to estimate the parameters by using the formula from Krekel and Wenzel (2006) and compute the hedging approach of the pricing model to make it become more complete and provide the hedging information for both financial institutions and investors. By using the corporation bond of Eastman Kodak Company which with higher liquidity and various maturity as the main reference asset to issue a CMCDS and utilizing the current available market data to estimate the parameters of the pricing model to evaluate the value of the product, I find that the various credit spread curve of reference bond will influence the value of CDS and CMCDS and try to structure a hedging portfolio to eliminate the fluctuation of the product.

歐式信用違約交換選擇權通常都以短天期較富流動信，造成這樣情形的原因很可能是因為長天期的信用違約交換選擇權必須承擔標的公司的倒閉風險。美式信用違約交換選擇權讓持有者可以在選擇權到期以前履約，這使得持有者可以只注意信用違約交換溢酬的變動，而不必擔心標的公司的倒閉風險。在這篇論文當中，我們結合最小平方法以及單期信用違約溢酬模型評價美式信用違約交換選擇權，其中單期信用違約溢酬模型是由布瑞格在2004年所發表的模型。本篇論文評價方法的最大優點在於此方法類似於利率理論的市場模型，因此我們可以利用類似的想法評價任何與信用違約交換合約相關的信用衍生性商品。 / The most liquid European CDS options are usually of short maturities. This may result from that options with longer maturity have to bear more default risk of the reference company. American CDS options allow the holders to exercise options before option matures so that they can focus on spread movements without worrying about default risk. In this paper, we price American CDS options with one-period CDS spread model presented by Brigo (2004). The primary advantage of this model is that it is similar to LIBOR market model in interest rate theory. Therefore, path-dependent CDS-related products can be easily priced with familiar ideas.

在過去二到三年之中，能源、金屬、軟性商品等原物料價格漲勢強勁，成為市場上最炙手可熱的商品。然而，原物料價格漲升為全球帶來了通膨隱憂，世界各國紛紛採用各種貨幣政策和財政政策試圖緩解通膨壓力。其中，利率政策即是相當重要的一環。在這樣的背景之下，是否對於能源、貴金屬和利率衍生性商品的設計和定價上產生影響，值得進一步檢視。因此，本論文選擇以中國大陸的原油與黃金連結複合式選擇權，以及利率（HIBOR）連結可贖回每日區間計息等兩種結構性存款作為研究個案，以財務工程的理論模型為中國銀行的金融創新產品作評價與分析。 在原油與黃金連結複合式選擇權部分，分別假設金價和油價服從幾何布朗運動（Geometric Brownian Motion）推導出封閉解，以及Schwartz的一因子均數回歸模型，採蒙地卡羅模擬法模擬標的資產之價格路徑並以之估算商品理論價值和發行機構利潤，之後則就避險參數和商品預期收益率作分析。在利率連結可贖回每日區間計息結構性存款部分，由於具有發行機構可提前贖回的特性，本論文採用LIBOR市場模型（BGM Model）為評價基礎，先利用市場報價資訊計算期初遠期利率及進行參數校準，再以蒙地卡羅模擬法模擬遠期利率路徑，最後以Longstaff and Schwartz（2001）提出的最小平方蒙地卡羅法（LSM）計算商品理論價值和發行機構利潤。 除估算商品理論價值以檢視中國銀行的商品定價合理性之外，本文也針對中國大陸的外匯和利率政策對金融機構在商品設計方面的影響作分析，最後則分別就財務工程與金融創新以及總體政策與金融市場兩方面提出結論與建議，以供各界參酌。 / The prices of physical commodities have risen a lot and led to pressure of inflation for several years. Many countries over the world have tried hard to tackle inflation threat with monetary and fiscal policies. Under this circumstance, the design and pricing of structured products should be affected. Therefore, the oil and gold-linked and interest rate-linked structured deposits launched by Bank of China are selected to be the case study in this thesis. Prices of the underlying assets are assumed to follow Geometric Brownian Motion, and the close-form solution of the oil and gold-linked structured deposit embedded with compound options is derived. Moreover, Schwartz’s One-Factor Mean Reversion Model is adopted to derive the fair value by simulation. In addition to the fair value and issuer’s profit, the expected rate of return, hedge parameters (Greeks) and model difference are presented in this thesis. As for the interest rate-linked Callable Daily Range Accrual Deposit, the thesis presents the steps of pricing by simulation. LIBOR Market Model (BGM Model) is adopted to derive the fair value of Callable Range Deposit with Least Squares Monte Carlo approach. Besides, the design and pricing of structured products are actually influenced by those policies in relation to interest rates and currencies adopted by government of Mainland China. The influence is discussed in the thesis as well. Eventually, the conclusions and suggestions are made with respect to macroeconomic policy and financial market as well as financial innovation.

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。