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Title: Interest Rate Derivatives and Risk Exposure: Evidence from the Life Insurance Industry
Authors: 許永明
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: 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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