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https://ah.nccu.edu.tw/handle/140.119/127198
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| Title: | Interest Rate Derivatives and Risk Exposure: Evidence from the Life Insurance Industry |
| Authors: | 許永明 Yung-MingShiu Hui-HsuanLiu ArianaChang |
| Contributors: | 風管系 |
| Keywords: | Interest rate derivatives;Interest rate risk exposure;Life insurers. |
| Date: | 2019.04 |
| Issue Date: | 2019-11-05 11:20:13 (UTC+8) |
| Abstract: | Our primary aim in this study is to determine the relation that exists between the use of interest rate derivatives by public-traded life insurance firms and their exposure to interest rate risk. Based upon the annual reports and 10-K filings of US life insurers, covering the years 2000 to 2016, we find that those insurers with greater inherent exposure to interest rate risk also have a propensity for extensive engagement in the use of interest rate derivatives. We further reveal that life insurers with a propensity for the extensive use of such instruments during the 2000-2009 sub-period tend to have greater observable exposure to interest rate risk. However, during the 2010- 2016 sub-period life insurers that use more interest rate derivatives tend to have smaller interest rate exposure. Since restructuring the balance sheet of a life insurer is costly, our results suggest that managers probably use derivatives as a means of modifying their risk tolerance to achieve the same results of direct duration matching. |
| Relation: | North American Journal of Economics and Finance, |
| Data Type: | 期刊論文 |
| DOI 連結: | https://doi.org/ 10.1016/j.najef.2019.04.021 |
| Appears in Collections: | [風險管理與保險學系] 期刊論文 |
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