隨機利率與信用風險下股權聯動結構型票券之訂價及避險策略

Abstract

在短期利率波動與信用違約事件頻傳的情境下，在同時考量隨機利率與發行券商及標的資產公司的信用風險之證券經濟設定下，以國內證券商之海外分支機構發行的友達科技高收益票券、明碁保本型票券與華邦電保本型票券為例，推導出股權聯動結構型票券的訂價公式。站在發行券商角度，在股票價格風險、利率風險及違約風險的利弊權衡下，本文亦推導出股權聯動結構型票券之最適避險策略。最後，以華邦電保本型票券契約規格為例，藉由數值分析可知：(1)華邦電保本型票券價值將隨著標的資產價格上升而增加，但增加幅度逐漸減小。(2)隨著標的資產價格逐漸增加，標的資產報酬率波動度或預期違約機率增加對華邦電保本型票券價值有先增後降情況。(3)隨著標的資產價格逐漸增加，在權衡標的資產避險部位規避標的資產價格風險之利益與標的資產公司違約使得標的資產價值變成零的損失下，發行券商標的資產避險部位隨著預期違約機率增加有先增後降的現象。本文所推導之公式解可供實務界參考，作為發行股權聯動結構型票券訂價與風險控管依據。

Taking the winbond-principal guaranteed note issued by a security corporation as an example, we propose a closed-form solution for this note under the consideration of stochastic interest rates and twofold default risks. By trading off the price risk, interest rate risk, and twofold default risks, we also provide the appropriate dynamic hedging strategy for this note. Further, from sensitive analysis, we conclude that: (1) The price of equity-linked structured note is an increasing function of stock price, but the growth rate is decreasing. (2) If the stock price increases, the value of equity-linked structured note increases first and then decreases as the stock return volatility or expected default probability of underlying asset increases. (3) If the stock price increases, the benefit from hedging stock price risk will be negatively influenced by the unexpectedly default loss if underlying asset defaults, and consequently the hedging position of stock increases first and then decreases as the expected default probability of underlying asset increases.