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題名 利率變動下美元計價可贖回債券之實證分析
An empirical examination of dollar-denominated callable bonds under the interest rate uncertainty作者 傅祥庭
Fu, Hsiang-Ting貢獻者 張士傑
Chang, Shih-Chieh
傅祥庭
Fu, Hsiang-Ting關鍵詞 國際債券
Hull White 短期利率模型
三元樹法
隱含選擇權
International bonds
Hull-White short rate model
Trinomial tree method
Implied option日期 2022 上傳時間 1-Aug-2022 17:33:25 (UTC+8) 摘要 國際債券市場中，以美元計價的可贖回債券占最多數，美國於2020年時連續降息，造成159檔國際債券遭提前贖回，顯現出壽險公司面臨的可贖回風險。因此本文參照宣葳與張士傑(2019)的方法，使用美國政府公債的利率資料以建立利率期限結構，並使用歐式利率交換選擇權來估計Hull-White短期利率模型的參數，最後以三元樹法來評價國際債券，衡量國際債券隱含可贖回權的價值。本研究將分別探討可贖回債券的隱含年利率、可贖回頻率、不可贖回期間對可贖回債券期初價值與可贖回權價值的影響。研究結果顯示，(1) 給定三十年期可贖回債券可贖回頻率為5年，不可贖回期間為7年，當隱含年利率從3.5%上升至5.5%時，該債券期初價值由30下降至22.1隱含選擇權價值由9.8上升至17.2。 (2) 給定三十年期可贖回債券不可贖回期間為10年，隱含年利率為4.5%當可贖回頻率由5年增加至1年時，該債券期初價值由27.5下降至27隱含選擇權價值由12上升至12.8。 (3) 給定三十年期可贖回債券可贖回頻率為5年，隱含年利率為 5.5%，當不可贖回期間由1年增加至10年時，該債券期初價值由20增加至24隱含選擇權價值由19.5降低至15.9。
In 2020, the United States has successively cut interest rates, resulting in the redemption of 159 international bonds, showing the call risk faced by the life insurance industry. In this study, based on the Hull-White short rate model, we detail how we use the US Treasury Constant Maturity Rate to construct the interest rate term structure, together with the implied volatility on the European swaption to calibrate the parameters of the Hull-White short rate model. Then we use the trinomial tree method to compute the fair value of the dollar-denominated callable bonds, and compute the value of implied option.We find that: (1) given a 30-year callable bond which has a call frequency of 5 years and a non-call period of 7 years, when the implied annual interest rate rose from 3.5% to 5.5%, the initial value of the bond decreased from 30 to 22.1, and the value of implied option increased from 9.8 to 17.2; (2) given a 30-year callable bond with a non-call period of 10 years and an implied annual interest rate of 4.5%, when the call frequency increased from 5 years to 1 year, the initial value of the bond decreased from 27.5 to 27, and the value of implied option increased from 12 to 12.8; (3) given a 30-year callable bond with a calla frequency of 5 years and an implied annual interest rate of 5.5%, when the non-call period increased from 1 year to 10 years, the initial value of the bond increased from 20 to 24, and the value of implied option decreased from 19.5 to 15.9.參考文獻 杜昌燁、張士傑（2021），國際板債券之再投資風險估計，證券市場發展季刊，第33卷第4期，頁77-102。宣葳、張士傑（2019），美金計價可贖回零息債券評價系統－理論與實做，保險專刊，第 35 卷第 3 期，頁245-278。張士傑、吳倬瑋（2016），台灣壽險業投資外幣計價國際債券之風險評估，保險專刊，第 32 卷第 4 期，頁333-365。Brigo, D. and Mercurio, F. (2006). Interest Rate Models: Theory and Practice, Berlin: Springer-Verlag, Second edition.Fabozzi, F. and Mann, S. (2010). Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures, and Valuation, Hoboken, New Jersey: John Wiley & Sons, Second edition.Hull, J. C. (2018). Options, Futures, and Other Derivatives, Boston: Pearson, Tenth edition.Cox, J. C., Ingersoll, J. E., and Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385-407.Hull, J. C. and White, A. (1990). Pricing interest rate derivative securities. The Review of Financial Studies, 3, 573-592.Hull, J. C. and White, A. (1993c). One-factor interest rate models and the valuation of interest rate derivative securities. Journal of Financial and Quantitative Analysis, 28, 235-254.Hull, J. C. and White, A. (1994a). Numerical procedures for implementing term structure models I: Single-factor models. The Journal of Derivatives, 2, 7-16.Hull, J. C. and White, A. (2001). The general Hull-White model and supercalibration. Financial Analysts Journal, 57, 34-43.Jamshidian, J. (1989). An exact bond option formula. Journal of Finance, 44, 205-209.Jen, F. C. and Wert, J. E. (1967). The effect of call risk on corporate bond yields. The Journal of Finance, 22(4), 637-651.Kalotay, A. J., Williams, G. O. and Fabozzi, F. J. (1993). A model for valuing bonds and embedded options. Financial Analysts Journal, 49(3), 35-46.Mann, S. V. and Powers, E. A. (2003). Indexing a bond`s call price: an analysis of Make-Whole call provisions. Journal of Corporate Finance, 9(5), 535-554.Thomas, S. Y. Ho and Lee, S.-B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance, 41(5), 1011-1029.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. 描述 碩士
國立政治大學
風險管理與保險學系
109358025資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109358025 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih-Chieh en_US dc.contributor.author (Authors) 傅祥庭 zh_TW dc.contributor.author (Authors) Fu, Hsiang-Ting en_US dc.creator (作者) 傅祥庭 zh_TW dc.creator (作者) Fu, Hsiang-Ting en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Aug-2022 17:33:25 (UTC+8) - dc.date.available 1-Aug-2022 17:33:25 (UTC+8) - dc.date.issued (上傳時間) 1-Aug-2022 17:33:25 (UTC+8) - dc.identifier (Other Identifiers) G0109358025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141081 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險學系 zh_TW dc.description (描述) 109358025 zh_TW dc.description.abstract (摘要) 國際債券市場中，以美元計價的可贖回債券占最多數，美國於2020年時連續降息，造成159檔國際債券遭提前贖回，顯現出壽險公司面臨的可贖回風險。因此本文參照宣葳與張士傑(2019)的方法，使用美國政府公債的利率資料以建立利率期限結構，並使用歐式利率交換選擇權來估計Hull-White短期利率模型的參數，最後以三元樹法來評價國際債券，衡量國際債券隱含可贖回權的價值。本研究將分別探討可贖回債券的隱含年利率、可贖回頻率、不可贖回期間對可贖回債券期初價值與可贖回權價值的影響。研究結果顯示，(1) 給定三十年期可贖回債券可贖回頻率為5年，不可贖回期間為7年，當隱含年利率從3.5%上升至5.5%時，該債券期初價值由30下降至22.1隱含選擇權價值由9.8上升至17.2。 (2) 給定三十年期可贖回債券不可贖回期間為10年，隱含年利率為4.5%當可贖回頻率由5年增加至1年時，該債券期初價值由27.5下降至27隱含選擇權價值由12上升至12.8。 (3) 給定三十年期可贖回債券可贖回頻率為5年，隱含年利率為 5.5%，當不可贖回期間由1年增加至10年時，該債券期初價值由20增加至24隱含選擇權價值由19.5降低至15.9。 zh_TW dc.description.abstract (摘要) In 2020, the United States has successively cut interest rates, resulting in the redemption of 159 international bonds, showing the call risk faced by the life insurance industry. In this study, based on the Hull-White short rate model, we detail how we use the US Treasury Constant Maturity Rate to construct the interest rate term structure, together with the implied volatility on the European swaption to calibrate the parameters of the Hull-White short rate model. Then we use the trinomial tree method to compute the fair value of the dollar-denominated callable bonds, and compute the value of implied option.We find that: (1) given a 30-year callable bond which has a call frequency of 5 years and a non-call period of 7 years, when the implied annual interest rate rose from 3.5% to 5.5%, the initial value of the bond decreased from 30 to 22.1, and the value of implied option increased from 9.8 to 17.2; (2) given a 30-year callable bond with a non-call period of 10 years and an implied annual interest rate of 4.5%, when the call frequency increased from 5 years to 1 year, the initial value of the bond decreased from 27.5 to 27, and the value of implied option increased from 12 to 12.8; (3) given a 30-year callable bond with a calla frequency of 5 years and an implied annual interest rate of 5.5%, when the non-call period increased from 1 year to 10 years, the initial value of the bond increased from 20 to 24, and the value of implied option decreased from 19.5 to 15.9. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究背景 2第三節 文獻回顧 6第二章 利率理論與平價方法 9第一節 金融商品與利率模型 9第二節 債券評價方法：三元樹法 12第三章 評價步驟與數值結果分析 15第一節 利率期限結構校正 15第二節 Hull-White模型參數估計 17第三節 國際債券評價 19第四節 可贖回債券隱含選擇權價值 21第五節 國際債券可隱含可贖回權價值－以選擇權調整利差估計 23第四章 結論 28參考文獻 30 zh_TW dc.format.extent 1597072 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109358025 en_US dc.subject (關鍵詞) 國際債券 zh_TW dc.subject (關鍵詞) Hull White 短期利率模型 zh_TW dc.subject (關鍵詞) 三元樹法 zh_TW dc.subject (關鍵詞) 隱含選擇權 zh_TW dc.subject (關鍵詞) International bonds en_US dc.subject (關鍵詞) Hull-White short rate model en_US dc.subject (關鍵詞) Trinomial tree method en_US dc.subject (關鍵詞) Implied option en_US dc.title (題名) 利率變動下美元計價可贖回債券之實證分析 zh_TW dc.title (題名) An empirical examination of dollar-denominated callable bonds under the interest rate uncertainty en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 杜昌燁、張士傑（2021），國際板債券之再投資風險估計，證券市場發展季刊，第33卷第4期，頁77-102。宣葳、張士傑（2019），美金計價可贖回零息債券評價系統－理論與實做，保險專刊，第 35 卷第 3 期，頁245-278。張士傑、吳倬瑋（2016），台灣壽險業投資外幣計價國際債券之風險評估，保險專刊，第 32 卷第 4 期，頁333-365。Brigo, D. and Mercurio, F. (2006). Interest Rate Models: Theory and Practice, Berlin: Springer-Verlag, Second edition.Fabozzi, F. and Mann, S. (2010). Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures, and Valuation, Hoboken, New Jersey: John Wiley & Sons, Second edition.Hull, J. C. (2018). Options, Futures, and Other Derivatives, Boston: Pearson, Tenth edition.Cox, J. C., Ingersoll, J. E., and Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385-407.Hull, J. C. and White, A. (1990). Pricing interest rate derivative securities. The Review of Financial Studies, 3, 573-592.Hull, J. C. and White, A. (1993c). One-factor interest rate models and the valuation of interest rate derivative securities. Journal of Financial and Quantitative Analysis, 28, 235-254.Hull, J. C. and White, A. (1994a). Numerical procedures for implementing term structure models I: Single-factor models. The Journal of Derivatives, 2, 7-16.Hull, J. C. and White, A. (2001). The general Hull-White model and supercalibration. Financial Analysts Journal, 57, 34-43.Jamshidian, J. (1989). An exact bond option formula. Journal of Finance, 44, 205-209.Jen, F. C. and Wert, J. E. (1967). The effect of call risk on corporate bond yields. The Journal of Finance, 22(4), 637-651.Kalotay, A. J., Williams, G. O. and Fabozzi, F. J. (1993). A model for valuing bonds and embedded options. Financial Analysts Journal, 49(3), 35-46.Mann, S. V. and Powers, E. A. (2003). Indexing a bond`s call price: an analysis of Make-Whole call provisions. Journal of Corporate Finance, 9(5), 535-554.Thomas, S. Y. Ho and Lee, S.-B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance, 41(5), 1011-1029.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200944 en_US
