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研究生： 何仁譯
Jen-I Ho
論文名稱： 在利率及違約風險下：具有嵌入式選擇權特質之資產負債管理分析
Surplus Management with Embedded Option Properties under Interest Rate and Default Risks
指導教授： 張傳章
Chuang-Chang Chang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 89
語文別： 中文
論文頁數： 42
中文關鍵詞： 資產負債管理 、違約風險 、嵌入式選擇權 、利率風險 、有效存續期間 、免疫策略
外文關鍵詞： Surplus management, Default risk, Embedded option, Interest rate risk, Effective duration, Immunization strategy
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    • Tzeng, Wang and Soo [2000] 提出一個新的免疫策略，可以獲得最大的凸性效益。我們延續這個策略，但是假設金融機構的資產負債表上的債券是有違約風險與嵌入式選擇權性質的。最後，我們舉一個例子說明凸性效益的重要性。


    Tzeng, Wang, and Soo [2000] demonstrate that linear programming can implement a new optimal immunization strategy to maximize the convexity gain. We follow this strategy but assume the financial institution has non-default-free bonds with embedded options on their balance sheets. Further, we illustrate a example to show the importance of the convexity gain

    Contents 1. INTRODUCTION1 2. VALUATION MODEL3 2.1 Construction of a Risk-Free Interest Rate Tree3 2.2 Default-Risk Adjusted Cash Flows6 2.3 Non-Embedded-Option Bond Pricing8 2.4 Calculation of Callable Bond Values8 3. THE MEASURE OF INTEREST RATE RISK8 3.1 Effective Duration and Convexity8 3.2 Interest Rate Risk Measures with Default Risk8 4. SENSITIVITY ANALYSES8 4.1 Impact of the Probability of Default8 4.2 Impact of the Embedded Option8 4.3 Impacts of the Interaction between the Embedded Option and the Default Risk8 4.3.1 Embedded Call Options8 4.3.2 Embedded Put Option8 4.4 Impact of the Recovery Fraction on Duration8 4.5 Estimation of Interest Rate Risk8 4.5.1 Cash Flow Adjusted Method8 4.5.2 Discount Rate Adjusted Method8 5. NEW IMMUNIZATION STRATEGY8 6. NUMERICAL EXAMPLES8 7. CONCLUSIONS8 APPENDIX8 REFERENCES8 List of Tables Table 1 A Sample Term Structure4 Table 2 Impact of the Embedded Option8 Table 3 Impact of Expected Recovery Fractions on Durations8 Table 4 Estimation of Bond Price Change under Cash Flow Adjusted Method8 Table 5 Estimation of Bond Price Change under Discount Rate Adjusted Method8 Table 6 Balance Sheet of a Hypothetical Bank8 Table 7 Liability Schedule of the Hypothetical Bank8 Table 8 Optimal Asset Allocation8 Table 9 Asset Allocation of the Counter-Example8 Table 10 The Comparison of Two Cases.8 List of Figures Figure 1 A Three-Step Tree (Six-Month Rate)4 Figure 2 A Two-Step Tree (One-Year Rate)5 Figure 3 Arbitrage-Free Lattice of Six-Month Interest Rates8 Figure 4 Impact of the Probability of Default8 Figure 5 Impacts of the Interaction when Callable after 2.5 Years8 Figure 6 Impacts of the Interaction when Callable after 2 Years8 Figure 7 Impacts of the Interaction when Callable after 1.5 Years8 Figure 8 Impacts of the Interaction under Cash Flow Adjusted Method (Call Options)8 Figure 9 Impacts of the Interaction under Discount Rate Adjusted Method (Call Option)8 Figure 10 Impacts of the Interaction when Putable after 2.5 Years8 Figure 11 Impacts of the Interaction when Putable after 2 Years8 Figure 12 Impacts of the Interaction when Putable after 1.5 Years8 Figure 13 Impacts of the Interaction under Cash Flow Adjusted Method (Put options)8 Figure 14 Impacts of the Interaction under Discount Rate Adjusted Method (Put Options)8

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