臺灣博碩士論文加值系統

中文摘要
近年來由於台灣整體金融機構經濟環境的改變，以致於國內利率持續處於歷史相對低檔水位。台灣央行連續十四次的調降利率，創台灣金融史上最低點的利率維持了十六個月，至2004年10月台灣央行才在經濟景氣稍見復甦之下開始調升利率，儘管利率調升150個基本點，但仍處於歷史的相對低檔。在此情形下，國內金融機構為滿足投資者在選擇定存及傳統固定收益有價證券之外追求更高收益率的要求，結構式商品應運而生。
結構型商品是一個結合「固定收益商品」與「衍生性商品」的組合式金融商品，一般統稱此類「傳統債券」與「衍生性商品結合」而成之結構性商品為「結構式債券」。
本研究將結構債拆解成債券部分及內含利率衍生性商品，用拔靴法導出零息曲線，用CIR模型及蒙地卡羅法去算出衍生性商品合理價值；蒐集七個實際發行之結構債券資料，將其與實際市場所成交之價格做比較，分析其是否能有效反應市場真實價格及未實現損益；此外，分析利率之年波動率與長期平均利率水準對債券價格之影響性及其它影響因子，本研究得到結論如下：
一、根據利率模型及數值方法所計算出來結構債券之理論價值會低於市場實際所成交之價格，兩者價差除反應市場供需外，亦反應出模型所不足之處，無法捕捉到市場供需的變化。
二、依據實證結果發現，利率之年波動率對於債券價格的影響不大，反而是長期平均利率水準對債券價格影響較大，顯示投資人對於未來利率的預期影響其對於債券的需求。

Abstract
Due to the economics environment change faced by Taiwan financial institutions in the past few years, NTD interest rates stayed at historical low persistently. In order to stimulate the economy, Taiwan Central Bank has lowered the interest rates for 14 times, and the target rates stayed at historical low for more than 16 months. Taiwan Central Bank started to raise interest rates in October 2004 when the economy started to recover. Even though the CBC target rates have been raised for 150 basis points, interest rates were still relatively low. Since then, domestic financial institutions started to offer structured products to meet the investors’ demand for yields which can be higher than the deposit rates or traditional fixed income products.
Structured products combined fixed income products and derivative products. Those kinds of products which combined traditional bonds and derivative products are so called “structured bonds” generally.
In this research, structured bonds were decomposed into straight bonds and interest rate derivatives. The Zero Curve was calculated by the Bootstrapping method and theoretical prices of interest rate derivatives were derived from the CIR and Monte-Carlo Simulation models. There are 7 examples of structured bond theoretical prices which are compared with market prices to check if theoretical prices match the real market prices or justify the mark-to-market values. Besides, it is also examined that if yearly volatility of interest rates and long-term average interest rates would affect structured bond theoretical prices.
This research obtained results are as follows:
1. Structured bonds theoretical prices which calculated with term-structured model and Numerical methods are lower than the market prices. The difference should come from the demand and supply issues and shows the calculating models can not reflect the change of the demand and supply of structured bond market.
2. Empirical results show that comparing to the yearly volatility of interest rates, long-term average interest rates have more influences on the structured bond prices, which means that investors’ expectation of interest rates will affect the demand of structured bonds.

目錄……………………………………………………………………… Ⅰ
圖目錄…………………………………………………………………… Ⅱ
表目錄…………………………………………………………………… Ⅲ
目錄
第一章 緒論……………………………………………………………… 1
第一節 研究背景與動機……………………………………………… 1
第二節 研究目的………………………………………………………… 3
第三節 研究流程………………………………………………………… 4
第二章 文獻回顧……………………………………………………… 5
第一節 國外相關文獻回顧……………………………………………… 5
第二節 國內相關文獻回顧……………………………………………… 11
第三章 研究方法……………………………………………………… 13
第一節 零息曲線之建構與計算………………………………………… 15
第二節 利率選擇權模型………………………………………………… 17
第三節 利率連動式債券之分類……………………………………… 23
一、正浮動利率債券（FLOATING RATE NOTES, FRN）………………… 24
二、逆浮動利率債券（INVERSE FLOATING RATE NOTES, INVERSE FRN)25
三、槓桿型逆浮動利率債券（LEVERED INVERSE FRN）…………………28
四、區間計息債券（RANGE NOTES/ACCURAL NOTES）……………………29
五、基差浮動利率債券（BASIS FRN）……………………………………30
六、階梯債券（STEP –UP BOND）……………………………………… 30
第四節 本研究之分析標的……………………………………………… 31
第四章 模擬評價分析……………………………………………………… 39
第一節 資料樣本………………………………………………………… 39
第二節 實證分析結果………………………………………………………41
第五章 結論與建議………………………………………………………… 51
第一節 研究結論………………………………………………………… 51
第二節 未來研究建議………………………………………………………52
「參考文獻」………………………………………………………………… 53

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