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https://ah.lib.nccu.edu.tw/handle/140.119/127198
題名: | Interest Rate Derivatives and Risk Exposure: Evidence from the Life Insurance Industry | 作者: | 許永明 Yung-MingShiu Hui-HsuanLiu ArianaChang |
貢獻者: | 風管系 | 關鍵詞: | Interest rate derivatives; Interest rate risk exposure; Life insurers. | 日期: | 2019 | 上傳時間: | 5-十一月-2019 | 摘要: | 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. | 關聯: | North American Journal of Economics and Finance, | 資料類型: | 期刊論文 | DOI: | https://doi.org/ 10.1016/j.najef.2019.04.021 |
Appears in Collections: | 期刊論文 |
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