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Title: 國際板債券之再投資風險估計
Authors: 張士傑
Chang, Shih-Chieh
Contributors: 風管系
Keywords: 可贖回債券;國際板債券;再投資風險;最佳停止問題;指數Lévy過程
callable bond;international bonds;reinvestment risk;optimal stopping problem;exponential Lévy process
Date: 2021-12
Issue Date: 2022-04-11 15:09:00 (UTC+8)
Abstract: 本研究將可贖回零息債券所有贖回情境下的最大預期損失與其再投資風險做連結,以歷史資料校正建立基於指數Lévy過程的國際板債券隱含年利率隨機模型,利用Fang and Oosterlee(2008, 2009)提出的COS法計算不同起始隱含年利率值下國際板債券於屆滿評估期限時的再投資風險與可贖回時點臨界利率。實證計算結果顯示,國際板債券之十年期再投資風險落在113至189基點間。
The reinvestment risk of the international bonds is associated with the maximum expected loss in all redemption scenarios, and the underlying stochastic internal rate of return model of international bonds follows the exponential Lévy process. The evaluation of the reinvestment risk is equivalent to the pricing of a certain non-standard Bermudan option and efficient numerical method such as the COS method proposed in Fang and Oosterlee (2008, 2009) can be applied. Under current market condition the reinvestment risk is estimated to be 113 - 189 bps, depending on the initial internal rate of return.
Relation: 證券市場發展季刊, 33(4), 77-102
Data Type: article
DOI 連結: https://doi.org10.6529/RSFM.202112_33(4).0003
Appears in Collections:[風險管理與保險學系] 期刊論文

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