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題名 考量違約風險、基差風險以及道德風險下之巨災債券價格封閉解：Muteki Ltd.地震債券之實證
A Closed-Form Pricing Formula for Catastrophe Bonds with Default Risk, Basis Risk and Moral Hazard: Evidence from Muteki Ltd. Earthquake Bond作者 李峻豪 貢獻者 林士貴
李峻豪關鍵詞 巨災債券
違約風險
基差風險
道德風險日期 2011 上傳時間 30-Oct-2012 10:59:00 (UTC+8) 摘要 本篇論文主要貢獻在於推導出考慮違約風險、基差風險以及道德風險下之巨災債券價格封閉解，透過敏感度分析來了解各個參數之變化對於巨災債券價格之影響，並依據市場上實際發行之Muteki地震債券的價格資訊以及實際損失資料來進行參數估計，以了解債券投資人對於災害發生的頻率以及損失的預期。本研究從敏感度分析的結果，驗證了在考慮違約風險、基差風險以及道德風險之下，巨災債券價格會隨著這些風險的提高而降低。另外也發現，在巨災發生到達率、巨災發生所造成的損失幅度、資產利率彈性等，會與巨災債券價格之變動呈現反向關係；然而在理賠門檻值的設定，以及巨災事件造成損失值達到理賠門檻後，投資人能領回之本金比例方面，則會與巨災債券價格之變動呈正向關係。最後，本文採用市場上實際發行之Muteki地震債券價格資訊，校估巨災事件發生頻率與預期損失，結果發現債券投資人對於災害發生頻率之預期遠高於債券發行方所提供的災害發生頻率，因此投資人只願意用較低的價格來購買此張地震債券以獲取較高的風險溢酬，也回應了一般而言巨災債券評等較低的現象。
The contribution of this article is deriving the closed-form formula for catastrophe bonds with default risk, basis risk and moral hazard. We also calibrate parameters with the market information of Muteki catastrophe bond and the loss data from National geophysical data center. In order to understand the influence of the parameters, we check the results with sensitivity analysis. The results show that the consideration of default risk, basis risk, and moral hazard will drive down the catastrophe bond prices. We also discover that the loss frequency, loss severity, and interest rate elasticity of asset are correlated positively with the price of catastrophe bond; the setting of the trigger and the portion of the principal that investors can get back when the forgiveness trigger has been pulled are correlated negatively with the price of catastrophe bond. Eventually, we adopt the issuant information and the market price of the Muteki earthquake bond to calibrate the parameters of loss frequency and loss severity with our closed-form formula. We find that investors’ expectation of the seismic frequency are higher than issuers’, so investors only want to buy the catastrophe bonds with lower price, and to enhance the risk premium.參考文獻 Aase, K. K., 2001, A markov model for the pricing of catastrophe insurance futures and spreads, Journal of Risk and Insurance 68, 25-49.Bantwal, V. J., and H. C. Kunreuther, 2000, A cat bond premium puzzle?, Journal of Psychology and Financial Markets 1, 76-91.Braun, A., 2011, Pricing catastrophe swaps: A contingent claims approach, Insurance: Mathematics and Economics 49, 520-536.Chang, C. W., J. S. K. Chang, and W. L. Lu, 2008, Pricing catastrophe options in discrete operational time, Insurance: Mathematics and Economics 43, 422-430.Chang, C. W., J. S. K. Chang, and W. L. Lu, 2010, Pricing catastrophe options with stochastic claim arrival intensity in claim time, Journal of Banking & Finance 34, 24-32.Chang, C. W., J. S. K. Chang, and M. T. Yu, 1996, Pricing catastrophe insurance futures call spreads: A randomized operational time approach, The Journal of Risk and Insurance 63, 599-617.Cox, S. H., and R. G. Schwebach, 1992, Insurance futures and hedging insurance price risk, The Journal of Risk and Insurance 59, 628-644.Cox, S. H., and H. W. Pedersen, 2000, Catastrophe Risk Bonds, North American Actuarial Journal, 4(4): 56-82Cummins, J.D., H. Geman, and Wharton Financial Institutions Center, 1993. An asian option approach to the valuation of insurance futures contracts (Wharton Financial Institutions Center, Wharton School of the University of Pennsylvania).Cummins, J. D., and H. Geman, 1995, Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach, Journal of Fixed Income 3: 46–57.Cummins, J. D., 2008, Cat bonds and other risk-linked securities: State of the market and recent developments, Risk Management and Insurance Review 11, 23-47.Duan, J. C., A. F. Moreau, and C. W. Sealey, 1995, Deposit insurance and bank interest rate risk: Pricing and regulatory implications, Journal of Banking & Finance 19, 1091-1108.Dassios, A., and J. W. Jang, 2003, Pricing of catastrophe reinsurance and derivatives using the cox process with shot noise intensity, Finance and Stochastics 7, 73-95.Doherty, N. A., 1997, Financial innovation in the management of catastrophe risk, Journal of Applied Corporate Finance 10, 84-95.Hainaut, D., 2010, Pricing of a catastrophe bond, with a seasonal effect., ENSAE-CREST Malako_ 92245 Cedex, France.Härdle, W. K., and B. L. Cabrera, 2010, Calibrating cat bonds for mexican earthquakes, Journal of Risk and Insurance 77, 625-650.Lee, J. P., and M. T. Yu, 2002, Pricing default-risky cat bonds with moral hazard and basis risk, The Journal of Risk and Insurance 69, 25-44.Naik, V., and M. Lee, 1990, General equilibrium pricing of options on the market portfolio with discontinuous returns, The Review of Financial Studies 3, 493-521.Vasicek, O., 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.Vaugirard, V. E., 2003, Pricing catastrophe bonds by an arbitrage approach, The Quarterly Review of Economics and Finance 43, 119-132. 描述 碩士
國立政治大學
金融研究所
99352004
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0993520041 資料類型 thesis dc.contributor.advisor 林士貴 zh_TW dc.contributor.author (Authors) 李峻豪 zh_TW dc.creator (作者) 李峻豪 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 10:59:00 (UTC+8) - dc.date.available 30-Oct-2012 10:59:00 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 10:59:00 (UTC+8) - dc.identifier (Other Identifiers) G0993520041 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54420 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 99352004 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 本篇論文主要貢獻在於推導出考慮違約風險、基差風險以及道德風險下之巨災債券價格封閉解，透過敏感度分析來了解各個參數之變化對於巨災債券價格之影響，並依據市場上實際發行之Muteki地震債券的價格資訊以及實際損失資料來進行參數估計，以了解債券投資人對於災害發生的頻率以及損失的預期。本研究從敏感度分析的結果，驗證了在考慮違約風險、基差風險以及道德風險之下，巨災債券價格會隨著這些風險的提高而降低。另外也發現，在巨災發生到達率、巨災發生所造成的損失幅度、資產利率彈性等，會與巨災債券價格之變動呈現反向關係；然而在理賠門檻值的設定，以及巨災事件造成損失值達到理賠門檻後，投資人能領回之本金比例方面，則會與巨災債券價格之變動呈正向關係。最後，本文採用市場上實際發行之Muteki地震債券價格資訊，校估巨災事件發生頻率與預期損失，結果發現債券投資人對於災害發生頻率之預期遠高於債券發行方所提供的災害發生頻率，因此投資人只願意用較低的價格來購買此張地震債券以獲取較高的風險溢酬，也回應了一般而言巨災債券評等較低的現象。 zh_TW dc.description.abstract (摘要) The contribution of this article is deriving the closed-form formula for catastrophe bonds with default risk, basis risk and moral hazard. We also calibrate parameters with the market information of Muteki catastrophe bond and the loss data from National geophysical data center. In order to understand the influence of the parameters, we check the results with sensitivity analysis. The results show that the consideration of default risk, basis risk, and moral hazard will drive down the catastrophe bond prices. We also discover that the loss frequency, loss severity, and interest rate elasticity of asset are correlated positively with the price of catastrophe bond; the setting of the trigger and the portion of the principal that investors can get back when the forgiveness trigger has been pulled are correlated negatively with the price of catastrophe bond. Eventually, we adopt the issuant information and the market price of the Muteki earthquake bond to calibrate the parameters of loss frequency and loss severity with our closed-form formula. We find that investors’ expectation of the seismic frequency are higher than issuers’, so investors only want to buy the catastrophe bonds with lower price, and to enhance the risk premium. en_US dc.description.tableofcontents 第一章 緒論 11.1 研究背景 11.2 研究動機與目的 2第二章 文獻回顧 52.1巨災期貨 52.2巨災選擇權 72.3巨災交換 82.4巨災債券 9第三章 巨災債券商品介紹 143.1 巨災債券之發行架構 143.2 巨災債券應考量之風險 173.3 巨災債券報酬型態說明 183.3.1無違約風險巨災債券之報酬型態 193.3.2違約風險巨災債券之報酬型態 193.3.3違約風險與基差巨災債券之報酬型態 203.3.4利息計算公式 21第四章 巨災債券評價 234.1 資產動態與總和損失過程 234.2 無違約風險巨災債券 264.3違約風險巨災債券 274.3.1 考慮道德風險之巨災債券評價 304.4同時考慮違約風險與基差風險之巨災債券 31第五章 敏感度分析與實證分析 345.1 資料描述 345.2 參數設定 355.3敏感度分析 365.3.1無違約風險之巨災債券 365.3.2違約風險之巨災債券 385.3.2.1考慮道德風險之巨災債券 395.3.3違約風險與基差風險之巨災債券 395.4 實證分析 40第六章 結論 42參考文獻 43附錄 57附錄A：無違約風險之巨災債券評價 57附錄B：違約風險之巨災債券評價 59附錄C：違約風險與基差風險之巨災債券評價 65附錄D：利息計算方式 70 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0993520041 en_US dc.subject (關鍵詞) 巨災債券 zh_TW dc.subject (關鍵詞) 違約風險 zh_TW dc.subject (關鍵詞) 基差風險 zh_TW dc.subject (關鍵詞) 道德風險 zh_TW dc.title (題名) 考量違約風險、基差風險以及道德風險下之巨災債券價格封閉解：Muteki Ltd.地震債券之實證 zh_TW dc.title (題名) A Closed-Form Pricing Formula for Catastrophe Bonds with Default Risk, Basis Risk and Moral Hazard: Evidence from Muteki Ltd. Earthquake Bond en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Aase, K. K., 2001, A markov model for the pricing of catastrophe insurance futures and spreads, Journal of Risk and Insurance 68, 25-49.Bantwal, V. J., and H. C. Kunreuther, 2000, A cat bond premium puzzle?, Journal of Psychology and Financial Markets 1, 76-91.Braun, A., 2011, Pricing catastrophe swaps: A contingent claims approach, Insurance: Mathematics and Economics 49, 520-536.Chang, C. W., J. S. K. Chang, and W. L. Lu, 2008, Pricing catastrophe options in discrete operational time, Insurance: Mathematics and Economics 43, 422-430.Chang, C. W., J. S. K. Chang, and W. L. Lu, 2010, Pricing catastrophe options with stochastic claim arrival intensity in claim time, Journal of Banking & Finance 34, 24-32.Chang, C. W., J. S. K. Chang, and M. T. Yu, 1996, Pricing catastrophe insurance futures call spreads: A randomized operational time approach, The Journal of Risk and Insurance 63, 599-617.Cox, S. H., and R. G. Schwebach, 1992, Insurance futures and hedging insurance price risk, The Journal of Risk and Insurance 59, 628-644.Cox, S. H., and H. W. Pedersen, 2000, Catastrophe Risk Bonds, North American Actuarial Journal, 4(4): 56-82Cummins, J.D., H. Geman, and Wharton Financial Institutions Center, 1993. An asian option approach to the valuation of insurance futures contracts (Wharton Financial Institutions Center, Wharton School of the University of Pennsylvania).Cummins, J. D., and H. Geman, 1995, Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach, Journal of Fixed Income 3: 46–57.Cummins, J. D., 2008, Cat bonds and other risk-linked securities: State of the market and recent developments, Risk Management and Insurance Review 11, 23-47.Duan, J. C., A. F. Moreau, and C. W. Sealey, 1995, Deposit insurance and bank interest rate risk: Pricing and regulatory implications, Journal of Banking & Finance 19, 1091-1108.Dassios, A., and J. W. Jang, 2003, Pricing of catastrophe reinsurance and derivatives using the cox process with shot noise intensity, Finance and Stochastics 7, 73-95.Doherty, N. A., 1997, Financial innovation in the management of catastrophe risk, Journal of Applied Corporate Finance 10, 84-95.Hainaut, D., 2010, Pricing of a catastrophe bond, with a seasonal effect., ENSAE-CREST Malako_ 92245 Cedex, France.Härdle, W. K., and B. L. Cabrera, 2010, Calibrating cat bonds for mexican earthquakes, Journal of Risk and Insurance 77, 625-650.Lee, J. P., and M. T. Yu, 2002, Pricing default-risky cat bonds with moral hazard and basis risk, The Journal of Risk and Insurance 69, 25-44.Naik, V., and M. Lee, 1990, General equilibrium pricing of options on the market portfolio with discontinuous returns, The Review of Financial Studies 3, 493-521.Vasicek, O., 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.Vaugirard, V. E., 2003, Pricing catastrophe bonds by an arbitrage approach, The Quarterly Review of Economics and Finance 43, 119-132. zh_TW
