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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/127198

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/127198

Title:	Interest Rate Derivatives and Risk Exposure: Evidence from the Life Insurance Industry
Authors:	許永明 Yung-MingShiu Hui-HsuanLiu ArianaChang
Contributors:	風管系
Keywords:	Interest rate derivatives;Interest rate risk exposure;Life insurers.
Date:	2019.04
Issue Date:	2019-11-05 11:20:13 (UTC+8)
Abstract:	Our primary aim in this study is to determine the relation that exists between the use of interest rate derivatives by public-traded life insurance firms and their exposure to interest rate risk. Based upon the annual reports and 10-K filings of US life insurers, covering the years 2000 to 2016, we find that those insurers with greater inherent exposure to interest rate risk also have a propensity for extensive engagement in the use of interest rate derivatives. We further reveal that life insurers with a propensity for the extensive use of such instruments during the 2000-2009 sub-period tend to have greater observable exposure to interest rate risk. However, during the 2010- 2016 sub-period life insurers that use more interest rate derivatives tend to have smaller interest rate exposure. Since restructuring the balance sheet of a life insurer is costly, our results suggest that managers probably use derivatives as a means of modifying their risk tolerance to achieve the same results of direct duration matching.
Relation:	North American Journal of Economics and Finance,
Data Type:	期刊論文
DOI 連結:	https://doi.org/ 10.1016/j.najef.2019.04.021
DOI:	10.1016/j.najef.2019.04.021
Appears in Collections:	[風險管理與保險學系] 期刊論文

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