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    题名: 固定比例投資組合保險策略在信用投資組合之應用及實證分析
    其它题名: Analysis of CPPI Strategy for Credit Portfolios
    作者: 岳夢蘭
    贡献者: 國立政治大學財務管理學系
    行政院國家科學委員會
    关键词: 本金保護;固定比例投資組合保險策略;信用違約交換指數;信用違約擔保債權憑證分
    principal protection;constant proportion portfolio insurance;credit default swap index;collateralized debt obligation tranches
    日期: 2009
    上传时间: 2012-10-22 11:11:14 (UTC+8)
    摘要: 信用衍生性金融商品的成交量逐年增加，商品本身也成為投資人投資及避險的重要工具之一。而具有保本性質並以投資信用衍生性商品為主的投資組合，更因其本金保護 (principal guaranteed) 的特性，而受到眾多投資人的青睞。一般而言，保本型信用投資組合是藉由執行投資組合保險 (portfolio insurance) 策略來達到其保護本金的效果。其中具有動態調整性質的固定比例投資組合保險策略 (constant proportion portfolio insurance；簡稱CPPI) 是最常用於調整保本型投資組合資產配置的方法。 固定比例投資組合保險策略最早由Black and Jones在1987年提出，它是一個規則式的動態交易策略。此策略在給定的交易規則下，動態調整風險性資產及無風險資產的投資比重，希望在藉由投資無風險性資產滿足投資人保本需求的同時，也能因其對風險性資產的投資而獲取較高的報酬。在此策略下，風險性資產的曝險部位大小是由此策略中的一項重要參數目標乘數 (target multiplier) 所決定。因此固定比例投資組合保險策略可視為是一種利用槓桿作用原理，動態調整風險性資產的投資部位之策略。 本研究主要在探討保本型信用投資組合的實證績效。我們將分析執行固定比例投資組合保險策略的信用投資組合，其到期時的淨資產價值會如何受到此策略中的各項變數所影響。我們用信用違約交換指數為參考標的所發行的標準信用違約擔保債權憑證之各分劵 (CDO tranches) 為此保險策略的風險性投資標的，並利用iTraxx指數的歷史資料分析固定比例投資組合保險策略中的各項變數 (例如：目標乘數的大小，標的資產價格的波動度，以及各分劵的特性等) 會如何影響此投資組合的期末價值。此外，我們也將近一步探討是否執行了固定比例投資組合保險策略後，會使投資組合有效達到保本的特性。本研究的結果希望能讓投資人了解採行固定比例投資組合保險策略之保本型信用投資組合之報酬及潛在風險，並進一步探討槓桿效果對投資績效造成的影響。
    Credit derivatives have drawn increasing attentions and become important financial products in both investment and risk management practices. To meet a demand for principal protection at maturity, principal-guaranteed structured credit products utilizing portfolio insurance strategies therefore have emerged. In particular, the constant proportion portfolio insurance (CPPI) strategy, a dynamic investment strategy, has been widely employed to govern the dynamic switch of investment mix between risk-free and risky credit asset of a credit CPPI portfolio. CPPI is a rule-based portfolio insurance strategy first introduced by Black and Jones (1987). Its rationale is to maintain a highly leveraged exposure in risky assets while assuring principal protection at any point in time. The strategy is a dynamic asset allocation method as the amount invested in the credit portfolio is readjusted over time, depending on the actual performance of the credit portfolio. In order to generate higher returns, the amount to be invested in risky assets is kept as a multiple of the reserve, which is defined as the difference between the whole portfolio value and the floor level (i.e. the present value of the guaranteed amount). In a credit CPPI structure, an investor’s notional is levered up by a leverage factor and invested in a set of eligible credit products. This research study the empirical performance of the credit CPPI strategy by examining if a portfolio’s net asset value can always stay above the present value of the required floor level under various CPPI features. Because synthetic iTraxx CDOs have the major advantage of lower transaction cost, pricing transparency and enhanced liquidity, this research use them as the underlying risky investments in a credit CPPI strategy. This research will investigate how the features of a CPPI strategy, like the multiplier, the volatility of underlying asset, and characteristics of different tranches, affect terminal value of a CPPI credit portfolio. Morevoer, it will examine to what extent the implementation of a CPPI mechanism can reach the goal of principal protection. Through the performance analysis for a credit CPPI investment, it is expected that people can understand the risk/return profile of the product.
    關聯: 應用研究
    學術補助
    研究期間:9808~ 9907
    研究經費:489仟元
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

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