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研究生:姚宏儒
研究生(外文):Hung-Ju Yao
論文名稱:具有提前履約特性的金融與天然巨災債券之評價
論文名稱(外文):Pricing Financial and Natural CAT Bonds With Early Exercise Feature.
指導教授:張傳章張傳章引用關係
指導教授(外文):Chuang-Chang Chang.
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:37
中文關鍵詞:巨災債券提前履約蒙地卡羅模擬法隨機利率道德風險基差風險
外文關鍵詞:Moral HazardBasis RiskCAT BondsStochastic Interest RateMonte Carlo SimulationEarly Exercise
相關次數:
  • 被引用被引用:2
  • 點閱點閱:164
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
在巨災債券的文獻中,由金融事件(主要是由利率與匯率所引起)所引起的災害損失從未被考慮過,我們在此將介紹”金融巨災債券”,它的利率期間結構與災害風險是相關的,且金融巨災債券是相對於天然巨災債券,而天然巨災債券的損失是由天然巨災事件所引起(主要為洪水、颶風、地震),此外,我們建立了一個合併隨機利率以及隨機巨災損失的訂價模型,我們也考慮違約風險、道德風險以及基差風險,同時我們也容忍巨災債券具有提前履約的特性,利用蒙的卡羅模擬分析法來研究參數如何影響巨災債券的價格,結果發現具有提前履約優點的巨災債券的價格較高,且違約風險、道德風險及基差風險都會明顯地降低巨災債券價格,另外,在金融巨災債券中,當利率期間結構與災害損失次數的相關係數愈負相關時,則債券的價格會愈高。
The loss from financial catastrophic events (mainly caused by interest rate and exchange rate movements) has never being considered in the CAT bond literature. We introduce “financial CAT bonds”, whereby the term structure of interest rates is dependent of the catastrophe risk, and “financial CAT bonds” are opposite to “natural CAT bonds” whose loss is caused by natural catastrophic events (mainly floods, windstorms, and earthquakes). We construct a pricing model incorporating stochastic interest rates and a catastrophic loss number process, and allowing for the practical consideration of default risk, moral hazard, and basis risk. We also take an early exercise feature of CAT bonds. We carry out Monte Carlo simulations to investigate how the key parameters affect the value of CAT bonds. The results show that CAT bond prices will more valuable under an early exercise advantage. We also find that out both moral hazard and basis risk drive down bond prices substantially. In “financial CAT bonds”, the higher negative correlation is between the term structure of interest rates and the catastrophic loss number process, the more valuable bond prices will be.
1. Introduction---------------------------------------------------1

2. A Model for CAT Bond Issuers-----------------------------------4

2-1 Asset dynamics------------------------------------------------4

2-2 Aggregate loss dynamics---------------------------------------5

3. Pricing Cat Bonds----------------------------------------------7

3-1 Default-free CAT bonds----------------------------------------7

3-1-1 Natural CAT bonds-------------------------------------------7

3-1-2 Financial CAT bonds-----------------------------------------9

3-2 Default-risky CAT bonds--------------------------------------10

4. Numerical Analysis--------------------------------------------13

5. Conclusion----------------------------------------------------17

Appendix---------------------------------------------------------18
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Vaugirard, V. E., 2003, Valuing Catastrophe Bonds by Monte Carlo simulations, Applied Mathematical Finance, 10, 75-90.
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