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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/85680


    Title: 考量流動性風險下巨災債券與颶風衍生性商品之評價、實證與風險管理
    Other Titles: The Evaluation, Empirical Performance and Risk Managemtnt of Catastrophe Bonds and Hurrican Derivatives
    Authors: 林士貴
    Contributors: 金融系
    Keywords: 巨災債券;颶風指數期貨;颶風指數期貨選擇權;Carvill 颶風指數;信用風險;流 動性風險;衍生性商品定價;風險管理
    Catastrophe Bond;Hurricane Index Futures;Hurricane Index Futures Option;Carvill Hurricane Index;Credit Risk;Liquidity Risk;Derivative Pricing;Risk Management
    Date: 2013
    Issue Date: 2016-04-20 14:31:00 (UTC+8)
    Abstract: 本研究在縮減式模型的架構下提出了一個一般化的巨災債券評價模
    型,同時包含了巨災風險、違約風險以及利率風險。本研究模型具
    有相當的彈性,可廣泛地適用於各種支付函數與不同契約條款的巨
    災債券商品。本模型可以透過標的災害在特定地區所適用的損失幅
    度分配以及災害發生頻率來刻畫最重要的巨災風險。此外,信用風
    險與利率風險也具體地建構於本研究的評價模型之中。透過敏感度
    分析可以驗證巨災債券條款設定與巨災債券的風險對於債券價格的
    影響方向與程度,最後本研究以兼具全面性且合理變動的數值分析
    結果來佐證本評價模型的正確與穩健性。
    This paper proposes a general pricing formula based on a
    reduced-form model to evaluate catastrophe bonds (CAT
    bonds) with catastrophe risks, default risks, and interest
    rate risks. This model is flexible and can be widely used
    in CAT bond markets with a variety of payoff functions and
    CAT bond provisions. With regard to the most important
    catastrophe risks, we can choose the specific distributions
    for loss severity and the counting process of the frequency
    of catastrophe events according to the underlying perils
    and region. Moreover, the credit risks and interest rate
    risks are concretely modeled and incorporated into the
    pricing model. The scenario analysis demonstrates how the
    provisions and the risks of CAT bonds affect bond price,
    and the reasonable numerical results reveal the validity
    and robustness of our pricing model.
    Relation: 計畫編號 NSC 102-2410-H004-028-MY2
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

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