保險業外匯價格變動準備金制度探討

Abstract

本文目的是研究外匯價格變動準備金對於降低損益波動度的分析。透過蒙地卡羅模擬10000次匯率情境，並考量在不同的避險成本以及曝險比率下，觀察損益在有使用準備金制度以及未使用準備金制度時各年度的分佈情形。研究結果發現，無論在何種避險成本以及曝險比率之組合，有加入外匯準備金制度之損益在各年度的波動度都較未使用之損益來得低，而波動度的降低會隨著固定提存比率以及額外提存或沖抵比率的升高有更好的效果。另外，研究結果亦顯示，使用外匯準備金能夠降低避險成本的付出，在同樣避險成本率的情況下，有使用外匯準備金機制能夠以較多的曝險比率，而與未使用準備金之損益相同。而在避險成本率較高的情況下，使用外匯準備金機制能夠增加的曝險部位，會較避險成本率低的時候少。

The purpose of this paper is to analyze the volatility of surplus when using foreign exchange valuation reserve system. By using Monte-Carol method to simulate foreign exchange rate and setting different hedging cost ratio and exposure ratio, this paper measures the distribution of surplus with and without the system. The result shows, the volatility of surplus with the system is lower than that without system in every portfolio of hedging cost ratio and exposure ratio in each year. Meanwhile, the higher the fixed deposit ratio and additional deposit/withdraw ratio is, the more the scope of the volatility of surplus could decrease. Moreover, the result also indicates that using the system may help reduce hedging cost. When focusing on the same hedging cost ratio, the surplus with the system could be the same as the surplus without the system, but with more exposure ratio. However, the higher the hedging cost ratio is, the less the degree of exposure may be increased when using the system.