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題名 國際板債券之再投資風險估計
作者 張士傑
Chang, Shih-Chieh
貢獻者 風管系
關鍵詞 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
日期 2021-12
上傳時間 11-四月-2022 15:09:00 (UTC+8)
摘要 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.
關聯 證券市場發展季刊, 33(4), 77-102
資料類型 article
DOI https://doi.org10.6529/RSFM.202112_33(4).0003
dc.contributor 風管系
dc.creator (作者) 張士傑
dc.creator (作者) Chang, Shih-Chieh
dc.date (日期) 2021-12
dc.date.accessioned 11-四月-2022 15:09:00 (UTC+8)-
dc.date.available 11-四月-2022 15:09:00 (UTC+8)-
dc.date.issued (上傳時間) 11-四月-2022 15:09:00 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/139815-
dc.description.abstract (摘要) 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。
dc.description.abstract (摘要) 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.
dc.format.extent 175 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) 證券市場發展季刊, 33(4), 77-102
dc.subject (關鍵詞) 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
dc.subject (關鍵詞) callable bond;international bonds;reinvestment risk;optimal stopping problem;exponential Lévy process
dc.title (題名) 國際板債券之再投資風險估計
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.6529/RSFM.202112_33(4).0003
dc.doi.uri (DOI) https://doi.org10.6529/RSFM.202112_33(4).0003