Analysis of Risk Management Strategies for Contingent Convertible Bonds=或有可轉債之風險管理策略分析

Abstract

The contingent convertible bond (CoCo) is a structured instrument that emerged at the end of 2009. This paper explores the CoCo risk management strategy from the standpoint of investors. Taking the Equity Derivation Law as its framework, this study analyzes the hedging performance based on the static hedging of options and then introduces jumps risk to allow sudden bank defaults, observing the changes in hedging performance. By scenario analysis, this study finds that CoCo can control its investment risks via equity derivatives and that static hedging can effectively reduce the standard deviation and value-at-risk (VaR). 或有可轉換債券(CoCo)是新興結構式商品。本文以投資人立場出發，探討CoCo風險管理策略。以股權衍生性法為架構，本文藉由蒙地卡羅分析選擇權靜態避險的績效，隨後加入跳躍項允許銀行突然違約，並觀察避險績效的變化。透過情境分析，本研究發現CoCo可透過股權衍生性商品調控其投資風險，且靜態避險能有效降低標準差與風險值。