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題名 或有可轉債之避險策略分析
Hedging Contingent Convertible Bonds作者 林建璋
Lin, Chien Tsang貢獻者 林士貴
Lin, Shih Kuei
林建璋
Lin, Chien Tsang關鍵詞 或有可轉換債券
CoCo
靜態避險
避險績效
跳躍過程
Contingent Convertible Bonds
CoCo
static hedge
hedging performance
jump-diffusion日期 2012 上傳時間 1-Jul-2014 12:06:30 (UTC+8) 摘要 「或有可轉換債券」（簡稱CoCo）是2009年底新興的組合式商品，它在發行公司（或金融機構）財務狀況良好時如同一般公司債，定期支付投資者約定的利息，並於到期時償還本金；當公司財務惡化時，將「強制地」轉換成普通股。經由學者與監理者的提倡，CoCo目前在歐洲已有多間大型金融機構發行，並已被瑞士用作金融監理的工具。有關CoCo的文獻，目前大致可分為兩類，一類係站在監理者角度探討發行條款的設計，另一類重點則在評價。本論文以投資人的立場出發，探討CoCo的靜態避險策略。論文首先以「股權衍生性法」為架構，以蒙地卡羅法模擬用選擇權進行靜態避險的績效，隨後加入跳躍項允許銀行突然違約，並觀察避險績效的變化。經由分析不同參數改變下的避險績效，筆者發現，靜態避險能有效降低標準差與風險值（VaR）。在不考慮違約時，避險效率會隨波動度增加而提升；在考慮有違約時，相同參數下，避險效率會比不考慮違約時高出許多，同時績效也會隨著違約機率增加而提升。
Contingent Convertible Bond, aka CoCo, is a new form of financial product initiated by the end of 2009. When the issuing companies (or financial institutions) are solvent, the CoCos are similar to corporate bonds, investors receive periodic interests and principal repayment at maturity; when they become insolvent, however, the CoCos will be mandatorily converted into common shares. Being advocated by many academics and regulators, CoCos have now been issued by a number of major European financial institutions, and have been used as the Swiss financial supervisory tools. So far the literatures about CoCo can be broadly divided into two categories, with one category stands on the perspective of regulators, trying to figure out an optimum CoCo indenture; and the other focuses on CoCo valuation. In this thesis, we discuss the hedging strategies for CoCo from an investor`s standpoint. Firstly, based on the “equity derivatives method” framework, this thesis uses Monte Carlo simulation to evaluate the performance of static hedging with option; then followed by adding a jump diffusion term to allow banks to suddenly default. By analyzing changes in hedging performance under different parameters, the researcher found that static hedging can effectively reduce the standard deviation and the value at risk (VaR) of entire portfolio. Without considering defaults, hedging effectiveness will improve when the volatility of stock return increases; after considering defaults, the hedging effectiveness becomes much higher under the same parameters assumption. Moreover, the researcher found that hedging performance improves as the default probability increases.參考文獻 [1] Basel Committee on Banking Supervision, June 2011, “Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems”.[2] Berg T. & Kaserer C., 2010, “Convert-to-Surrender Bonds: A Proposal of How to Reduce Risk-Taking Incentives in the Banking System,” Humboldt- Universitaet zu Berlin, Working Paper.[3] Buergi M.P.H., 2012, “A Tough Nut to Crack On the Pricing of Capital Ratio Triggered Contingent Convertibles,” University of Zurich, Working Paper.[4] Cheridito P. & Xu Z., 2013, “Pricing and Hedging CoCos,” Princeton University, Working Paper.[5] Cotter J. & Hanly J., 2012, “Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil,” Contemporary Studies in Economic and Financial Analysis, Vol. 94, 259–280[6] Derman, E., Ergener D. & Kani I., 1995, “Static Options Replication,” The Journal of Derivatives, Vol.2, No.4, pp. 78-95[7] European Banking Authority, 2011, “EBA Recommendation on the Creation and Supervisory Oversight of Temporary Capital Buffers to Restore Market Confidence,” EBA/REC/2011/1.[8] Flannery M.J., 2005, “No Pain, No Gain? Effecting Market Discipline via Reverse Convertible Debentures,” In Capital Adequacy Beyond Basel: Banking, Securities, and Insurance. Oxford University Press[9] Flannery M.J., 2009, “Stabilizing Large Financial Institutions with Contingent Capital Certificates,” University of Florida, Working Paper.[10] George M., 2011, “Contingent capital to strengthen the private safety net for financial institutions: Cocos to the rescue?” Deutsche Bundesbank, Banking and Financial Studies, No 01/2011.[11] Glasserman P. & Nouri B., 2012, “Contingent Capital with A Capital-Ratio Trigger,” Management Science, Vol. 58, pp. 1816-1833.[12] Hilscher J. & Ravivy A., 2011, “Bank Stability and Market Discipline: The Effect of Contingent Capital on Risk Taking and Default Probability”, Brandeis University, Working Paper.[13] Himmelberg C.P. & Tsyplakov S., 2012, “Incentive Effects of Contingent Capital,” University of South Carolina, Working Paper.[14] Lujing S. & Rieger M.O., “How Likely is it to Hit a Barrier: Theoretical and Empirical Estimates,” University of Zurich, Working Paper.[15] McDonald R.L., 2010, “Contingent Capital with a Dual Price Trigger,” Kellogg School of Management, Working Paper.[16] Pennacchi G., 2010, “A Structural Model of Contingent Bank Capital,” University of Illinois, Working Paper.[17] Spiegeleer J.D. & Schoutens W., 2012, “Pricing Contingent Convertibles: A Derivatives Approach,” The Journal of Derivatives, Vol. 20, pp. 27-36.[18] Sundaresan S. & Wang Z., 2010, “Design of Contingent Capital with a Stock Price Trigger for Mandatory Conversion,” Federal Reserve Bank of New York Staff Report, No. 448.[19] Swiss Financial Market Supervisory Authority (FINMA), 2011, “Addressing ‘Too Big To Fail’,” The Swiss SIFI Policy 19, 23/06/2011.[20] Teneberg H., 2012, “Pricing Contingent Convertibles Using An Equity Derivatives Jump Diffusion Approach,” Working Paper.[21] Veronesi P. & Zingales L., 2010, “Paulson’s Gift”, Journal of Financial Economics 97, pp. 339-368[22] Wilkens S. & Bethke N., 2012, “Contingent Convertible (‘CoCo’) Bonds: A First Empirical Assessment of Selected Pricing Models,” BNP Paribas, Risk Methodology & Analytics, Working Paper. 描述 碩士
國立政治大學
金融研究所
100352008
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100352008 資料類型 thesis dc.contributor.advisor 林士貴 zh_TW dc.contributor.advisor Lin, Shih Kuei en_US dc.contributor.author (Authors) 林建璋 zh_TW dc.contributor.author (Authors) Lin, Chien Tsang en_US dc.creator (作者) 林建璋 zh_TW dc.creator (作者) Lin, Chien Tsang en_US dc.date (日期) 2012 en_US dc.date.accessioned 1-Jul-2014 12:06:30 (UTC+8) - dc.date.available 1-Jul-2014 12:06:30 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2014 12:06:30 (UTC+8) - dc.identifier (Other Identifiers) G0100352008 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67097 - 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) 100352008 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 「或有可轉換債券」（簡稱CoCo）是2009年底新興的組合式商品，它在發行公司（或金融機構）財務狀況良好時如同一般公司債，定期支付投資者約定的利息，並於到期時償還本金；當公司財務惡化時，將「強制地」轉換成普通股。經由學者與監理者的提倡，CoCo目前在歐洲已有多間大型金融機構發行，並已被瑞士用作金融監理的工具。有關CoCo的文獻，目前大致可分為兩類，一類係站在監理者角度探討發行條款的設計，另一類重點則在評價。本論文以投資人的立場出發，探討CoCo的靜態避險策略。論文首先以「股權衍生性法」為架構，以蒙地卡羅法模擬用選擇權進行靜態避險的績效，隨後加入跳躍項允許銀行突然違約，並觀察避險績效的變化。經由分析不同參數改變下的避險績效，筆者發現，靜態避險能有效降低標準差與風險值（VaR）。在不考慮違約時，避險效率會隨波動度增加而提升；在考慮有違約時，相同參數下，避險效率會比不考慮違約時高出許多，同時績效也會隨著違約機率增加而提升。 zh_TW dc.description.abstract (摘要) Contingent Convertible Bond, aka CoCo, is a new form of financial product initiated by the end of 2009. When the issuing companies (or financial institutions) are solvent, the CoCos are similar to corporate bonds, investors receive periodic interests and principal repayment at maturity; when they become insolvent, however, the CoCos will be mandatorily converted into common shares. Being advocated by many academics and regulators, CoCos have now been issued by a number of major European financial institutions, and have been used as the Swiss financial supervisory tools. So far the literatures about CoCo can be broadly divided into two categories, with one category stands on the perspective of regulators, trying to figure out an optimum CoCo indenture; and the other focuses on CoCo valuation. In this thesis, we discuss the hedging strategies for CoCo from an investor`s standpoint. Firstly, based on the “equity derivatives method” framework, this thesis uses Monte Carlo simulation to evaluate the performance of static hedging with option; then followed by adding a jump diffusion term to allow banks to suddenly default. By analyzing changes in hedging performance under different parameters, the researcher found that static hedging can effectively reduce the standard deviation and the value at risk (VaR) of entire portfolio. Without considering defaults, hedging effectiveness will improve when the volatility of stock return increases; after considering defaults, the hedging effectiveness becomes much higher under the same parameters assumption. Moreover, the researcher found that hedging performance improves as the default probability increases. en_US dc.description.tableofcontents 第一章、緒論 1第一節、前言 1第二節、CoCo概述 31.2.1 CoCo簡介 31.2.3 CoCo發行現況 71.2.4 CoCo與銀行監理 9第三節、研究動機與目的 11第二章、文獻回顧 12第一節、CoCo設計文獻 13第二節、CoCo評價文獻 171.2.2 CoCo轉換特徵 5第三節、CoCo避險文獻 21第三章、研究方法 22第一節、模型描述 223.1.1 到期前無違約 223.1.2 到期前可違約 24第二節、避險策略 26第四章、模擬分析 29第一節、模擬步驟 29第二節、模擬結果 31第五章、結論與建議 35參考文獻 37附 錄 40 zh_TW dc.format.extent 884795 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100352008 en_US dc.subject (關鍵詞) 或有可轉換債券 zh_TW dc.subject (關鍵詞) CoCo zh_TW dc.subject (關鍵詞) 靜態避險 zh_TW dc.subject (關鍵詞) 避險績效 zh_TW dc.subject (關鍵詞) 跳躍過程 zh_TW dc.subject (關鍵詞) Contingent Convertible Bonds en_US dc.subject (關鍵詞) CoCo en_US dc.subject (關鍵詞) static hedge en_US dc.subject (關鍵詞) hedging performance en_US dc.subject (關鍵詞) jump-diffusion en_US dc.title (題名) 或有可轉債之避險策略分析 zh_TW dc.title (題名) Hedging Contingent Convertible Bonds en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) [1] Basel Committee on Banking Supervision, June 2011, “Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems”.[2] Berg T. & Kaserer C., 2010, “Convert-to-Surrender Bonds: A Proposal of How to Reduce Risk-Taking Incentives in the Banking System,” Humboldt- Universitaet zu Berlin, Working Paper.[3] Buergi M.P.H., 2012, “A Tough Nut to Crack On the Pricing of Capital Ratio Triggered Contingent Convertibles,” University of Zurich, Working Paper.[4] Cheridito P. & Xu Z., 2013, “Pricing and Hedging CoCos,” Princeton University, Working Paper.[5] Cotter J. & Hanly J., 2012, “Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil,” Contemporary Studies in Economic and Financial Analysis, Vol. 94, 259–280[6] Derman, E., Ergener D. & Kani I., 1995, “Static Options Replication,” The Journal of Derivatives, Vol.2, No.4, pp. 78-95[7] European Banking Authority, 2011, “EBA Recommendation on the Creation and Supervisory Oversight of Temporary Capital Buffers to Restore Market Confidence,” EBA/REC/2011/1.[8] Flannery M.J., 2005, “No Pain, No Gain? Effecting Market Discipline via Reverse Convertible Debentures,” In Capital Adequacy Beyond Basel: Banking, Securities, and Insurance. Oxford University Press[9] Flannery M.J., 2009, “Stabilizing Large Financial Institutions with Contingent Capital Certificates,” University of Florida, Working Paper.[10] George M., 2011, “Contingent capital to strengthen the private safety net for financial institutions: Cocos to the rescue?” Deutsche Bundesbank, Banking and Financial Studies, No 01/2011.[11] Glasserman P. & Nouri B., 2012, “Contingent Capital with A Capital-Ratio Trigger,” Management Science, Vol. 58, pp. 1816-1833.[12] Hilscher J. & Ravivy A., 2011, “Bank Stability and Market Discipline: The Effect of Contingent Capital on Risk Taking and Default Probability”, Brandeis University, Working Paper.[13] Himmelberg C.P. & Tsyplakov S., 2012, “Incentive Effects of Contingent Capital,” University of South Carolina, Working Paper.[14] Lujing S. & Rieger M.O., “How Likely is it to Hit a Barrier: Theoretical and Empirical Estimates,” University of Zurich, Working Paper.[15] McDonald R.L., 2010, “Contingent Capital with a Dual Price Trigger,” Kellogg School of Management, Working Paper.[16] Pennacchi G., 2010, “A Structural Model of Contingent Bank Capital,” University of Illinois, Working Paper.[17] Spiegeleer J.D. & Schoutens W., 2012, “Pricing Contingent Convertibles: A Derivatives Approach,” The Journal of Derivatives, Vol. 20, pp. 27-36.[18] Sundaresan S. & Wang Z., 2010, “Design of Contingent Capital with a Stock Price Trigger for Mandatory Conversion,” Federal Reserve Bank of New York Staff Report, No. 448.[19] Swiss Financial Market Supervisory Authority (FINMA), 2011, “Addressing ‘Too Big To Fail’,” The Swiss SIFI Policy 19, 23/06/2011.[20] Teneberg H., 2012, “Pricing Contingent Convertibles Using An Equity Derivatives Jump Diffusion Approach,” Working Paper.[21] Veronesi P. & Zingales L., 2010, “Paulson’s Gift”, Journal of Financial Economics 97, pp. 339-368[22] Wilkens S. & Bethke N., 2012, “Contingent Convertible (‘CoCo’) Bonds: A First Empirical Assessment of Selected Pricing Models,” BNP Paribas, Risk Methodology & Analytics, Working Paper. zh_TW
