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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 2019.04
上傳時間 5-Nov-2019 11:20:13 (UTC+8)
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
dc.contributor 風管系-
dc.creator (作者) 許永明-
dc.creator (作者) Yung-MingShiu-
dc.creator (作者) Hui-HsuanLiu-
dc.creator (作者) ArianaChang-
dc.date (日期) 2019.04-
dc.date.accessioned 5-Nov-2019 11:20:13 (UTC+8)-
dc.date.available 5-Nov-2019 11:20:13 (UTC+8)-
dc.date.issued (上傳時間) 5-Nov-2019 11:20:13 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/127198-
dc.description.abstract (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.-
dc.format.extent 661028 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) North American Journal of Economics and Finance,-
dc.subject (關鍵詞) Interest rate derivatives; Interest rate risk exposure; Life insurers.-
dc.title (題名) Interest Rate Derivatives and Risk Exposure: Evidence from the Life Insurance Industry-
dc.type (資料類型) 期刊論文-
dc.identifier.doi (DOI) 10.1016/j.najef.2019.04.021-
dc.doi.uri (DOI) https://doi.org/ 10.1016/j.najef.2019.04.021-