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| Title: | 以 COS 法計算國際債券再投資風險之研究
Research on Measuring the Reinvestment Risk of International Bond through the COS Method |
| Authors: | 鍾馭帆
Chung, Yu-Fan |
| Contributors: | 張士傑
Chang, Shih-Chieh
鍾馭帆
Chung, Yu-Fan |
| Keywords: | 國際債
再投資風險
可贖回零息債券
COS法
International bond
Reinvestment risk
Zero-Callable bond
COS method |
| Date: | 2022 |
| Issue Date: | 2022-08-01 17:33:38 (UTC+8) |
| Abstract: | 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。
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. |
| Reference: | 一、中文文獻
李伊濘（2017），債券發行與交易之實務作業管理—外幣計價國際板債券
（寶島債券），證券櫃檯買賣中心。
杜昌燁、張士傑（2021），「國際板債券之再投資風險估計」，《證券市
場發展季刊》，第33卷第4期，77-102。
宣葳、張士傑（2019），「美金計價可贖回零息債券評價系統－理論與實
做」，《保險專刊》，第 35 卷第 3 期，245-278。
張士傑、吳倬瑋（2016），「台灣壽險業投資外幣計價國際債券之風險評
估」，《保險專刊》，第32卷第4期，333-365。
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2月」，擷取日期：2022年4月30日，檢自：https://www.tii.org
.tw/tii/research/research05/category03/000183.html
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期：2022年3月15日，檢自：https://www.sfb.gov.tw/ch/home.
jsp?id=622&parentpath=0,4,109
工商時報，壽險業挺過最大國際板贖回危機 2020年被大量提前贖回逾1.35
兆，擷取日期：2022年3月1日，檢自：https://www.chinatimes.
com/newspapers/20210114000068-260202?chdtv
經濟日報，國際債券市場規模突破新台幣6兆元、再創歷史新高，擷取日
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二、英文文獻
Fang, F. (2010). The COS Method: An Efficient Fourier Method
for Pricing Financial Derivatives. Shizuishan,P.R.China.
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Fang, F., & Oosterlee, C. W. (2009). “Pricing Early-Exercise
Options and Discrete Barrier Options by Fourier-Cosine
Series Expansions.” Numer. Math., Vol. 114, 27–62.
Huang, C. K., Chinhamu, K., Huang, C. S., & Hammujuddy, J.
(2014). “Generalized Hyperbolic Distributions And Value-
At-Risk Estimation For The South African Mining Index.
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Prause, K. (1999). “The Generalized Hyperbolic Model:
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Ph.D. thesis, University of Freiburg. |
| Description: | 碩士
國立政治大學
風險管理與保險學系
109358027 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109358027 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200738 |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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