| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.advisor | Chang, Shih-Chieh | en_US |
| dc.contributor.author (Authors) | 鍾馭帆 | zh_TW |
| dc.contributor.author (Authors) | Chung, Yu-Fan | en_US |
| dc.creator (作者) | 鍾馭帆 | zh_TW |
| dc.creator (作者) | Chung, Yu-Fan | en_US |
| dc.date (日期) | 2022 | en_US |
| dc.date.accessioned | 1-Aug-2022 17:33:38 (UTC+8) | - |
| dc.date.available | 1-Aug-2022 17:33:38 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Aug-2022 17:33:38 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0109358027 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/141082 | - |
| 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) | 109358027 | zh_TW |
| dc.description.abstract (摘要) | 為探討近期利率上升對國際債再投資風險之影響，本論文延續杜昌燁與張士傑（2021）之研究，基於指數型Lévy process隱含年利率模型以COS法衡量於評估期間再投資風險的變化。隱含年利率模型的部分以年期不小於30年、不可贖回期限5年、贖回頻率1年截至2022年4月之國際債發行資料進行模型的配適，配適結果eNIG模型較能捕捉國際債隱含年利率之統計特徵。再投資風險的評估相較於杜昌燁與張士傑（2021）之研究計算時點，與國際債隱含年利率走勢相近之美國儲備經濟數據30年期公債固定期限利率（DGS30）自1.93%上升至2.95%，以相同起始隱含年利率所計算出的再投資風險下降了20-30 bps落在94-155 bps，即在利率上升後購入相同殖利率（IRR）之國際債，所面臨的再投資風險有所下降；此外，國際債起始隱含年利率增加1%，再投資風險增加約30 bps，即購入之國際債殖利率增加1%，所面臨的再投資風險上升約30 bps。 | zh_TW |
| dc.description.abstract (摘要) | In order to explore the impact of the recent rise in interest rates on the reinvestment risk of international bonds, this paper continues the research of Tu and Chang (2021), and uses the COS method to measure the change in reinvestment risk during the evaluation period based on the exponential Lévy process implied annual interest rate model. The implied annual interest rate model is fitted with the international bond issuance data with a term of not less than 30 years, a non-redeemable period of 5 years, and a redemption frequency of 1 year as of April 2022. As a result, the eNIG model can better capture the statistical characteristics of the implied annual interest rate of international bonds.The assessment of reinvestment risk compared with the research and calculation time of Tu and Chang (2021), the U.S. Reserve Economic Data 30-year Treasury bond fixed-term interest rate (DGS30), which has a similar trend to the implied annual interest rate of international bonds, increased from 1.93% to 2.95% and the reinvestment risk calculated at the same initial implied annual interest rate has dropped by 20-30 bps to 94-156 bps. That is, the reinvestment risk faced by purchasing international bonds with the same yield (IRR) decreases after the interest rate rises; In addition, the initial implied annual interest rate of international bonds increases by 1%, and the reinvestment risk increases by about 30 bps. That is, the purchased international bond yield increases by 1%, and the reinvestment risk faced increases by about 30 bps. | en_US |
| dc.description.tableofcontents | 第一章 緒論 6第一節 研究動機 6第二節 文獻回顧與市場概況 10第二章 模型架構 14第一節 國際債利率模型 14第二節 模型參數估計 15第三章 再投資風險計算 19第一節 表示式 19第二節 COS法 21第三節 計算結果 25第四節 實證分析 32第四章 結論與建議 35參考資料 36 | zh_TW |
| dc.format.extent | 2070220 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0109358027 | en_US |
| dc.subject (關鍵詞) | 國際債 | zh_TW |
| dc.subject (關鍵詞) | 再投資風險 | zh_TW |
| dc.subject (關鍵詞) | 可贖回零息債券 | zh_TW |
| dc.subject (關鍵詞) | COS法 | zh_TW |
| dc.subject (關鍵詞) | International bond | en_US |
| dc.subject (關鍵詞) | Reinvestment risk | en_US |
| dc.subject (關鍵詞) | Zero-Callable bond | en_US |
| dc.subject (關鍵詞) | COS method | en_US |
| dc.title (題名) | 以 COS 法計算國際債券再投資風險之研究 | zh_TW |
| dc.title (題名) | Research on Measuring the Reinvestment Risk of International Bond through the COS Method | en_US |
| dc.type (資料類型) | thesis | en_US |
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| dc.identifier.doi (DOI) | 10.6814/NCCU202200738 | en_US |
