政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/127916

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51713691 Online Users : 800

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/127916

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/127916

Title:	Analysis of the Risk Management Strategies for Contingent Convertible Bonds 或有可轉債之風險管理策略分析
Authors:	林士貴 Lin, Shih-Kuei 陳亭甫 Chen, Ting-Fu 林建璋 Lin, Chien-Tsang
Contributors:	金融系
Keywords:	Contingent convertible bonds, static hedge, hedging performance, value at risk 或有可轉換債券; 靜態避險; 避險績效; 風險值
Date:	2016-12
Issue Date:	2019-12-19 14:38:09 (UTC+8)
Abstract:	The contingent convertible bond (CoCo) is a structured instrument that emerged at the end of 2009. This paper explores the CoCo risk management strategy from the standpoint of investors. Taking the Equity Derivation Law as its framework, this study analyzes the hedging performance based on the static hedging of options and then introduces jumps risk to allow sudden bank defaults, observing the changes in hedging performance. By scenario analysis, this study finds that CoCo can control its investment risks via equity derivatives and that static hedging can effectively reduce the standard deviation and value-at-risk (VaR). 或有可轉換債券(CoCo)是新興結構式商品。本文以投資人立場出發，探討CoCo風險管理策略。以股權衍生性法為架構，本文藉由蒙地卡羅分析選擇權靜態避險的績效，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。透過情境分析，本研究發現CoCo可透過股權衍生性商品調控其投資風險，且靜態避險能有效降低標準差與風險值。
Relation:	財務金融學刊, 24卷4期, pp.47 - 83
Data Type:	article
DOI 連結:	https://doi.org/10.6545/JFS.2016.24(4).3
DOI:	10.6545/JFS.2016.24(4).3
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
54.pdf		474Kb	Adobe PDF2	365	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...