IFRS 17規範下以Smith-Wilson模型建構無風險利率曲線之期限結構

Abstract

在IFRS 17的規範下，要求各國需因應國際會計準則在無風險利率的變動下，從原先的固定折現因子改變為需要隨著市場資料即時變動之折現因子，本文藉由IANs與ICS的建議下使用Smith-Wilson 模型，再從此模型中的假設進行穩定度測試與現金流波動，觀測終極遠期利率訂定的合理性。從計算結果中可以得知，僅使用1、5、10年期之債券資料穩定性最高，使用1、5、10年期之債券資料先進性二次插值之方式次佳，最後使用1-10年期債券資料表現最差，因此未來在考慮使用市場資料時，應將市場流通性等問題納入考量範圍。在商品現金流測試中，可發現使用二次插值之方式下，相較於其他兩者有較小的波動結果。從分析結果中可以得知無風險利率曲線會受到許多的變因影響，因此在使用可觀察區間資料上需要進行詳細的探討以及終極遠期利率的給定也會直接地影響線段的穩定性，在UFR上之設定也是重要的議題。

Under the IFRS 17 standard, it’s required to change from the locked-in discount rate which is applied around the world, to the current discount rate. In this paper, we use the Smith-Wilson model, which based on IANs and ICS to perform stability and cash flow test to observe the rationality of the ultimate forward rate setting. According to the result of the testing, it can be shown that using the Taiwan government bonds of 1y, 5y and 10y to interpolate the first ten-year interest curve is the most stable situation while the second-order interpolation of the advanced information is the second best. However, the performance of 1y to 10y Taiwan government bond is the worst among three different situations. Therefore, when it comes to the usage of market data in the future, issues such as market liquidity should be taken into consideration. Moreover, in the cash flow test it can be found that the second-order interpolation method has the result with smaller fluctuation compared with the other.\nThrough the analysis outcomes, it can be seen that the risk-free interest rate curve will be affected by many factors, so the detailed discussion on the use of observable interval data and the given final forward rate will directly influence the stability of the line segment. Furthermore, the setting on the UFR is also an important issue.