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研究生:林原發
研究生(外文):Yuan-fa Lin
論文名稱:系統跳躍風險下抗通膨證券之評價:以美國TIPS市場為例
論文名稱(外文):The Valuation of Inflation-Protected Securities in Systematic Jump Risk:Evidence in American TIPS Market
指導教授:徐守德徐守德引用關係林士貴林士貴引用關係
指導教授(外文):So-de ShyuShih-kuei Lin
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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:2009
畢業學年度:97
語文別:英文
論文頁數:59
中文關鍵詞:Jarrow and Yildirim模型系統性跳躍風險跳躍擴散模型TIPS債券TIPS債券選擇權Esscher transformation
外文關鍵詞:Jarrow and Yildirim modelSystematic Jump RiskJump Diffusion ModelTIPSTIPS European Call OptionEsscher Transformation
相關次數:
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  • 下載下載:13
  • 收藏至我的研究室書目清單書目收藏:1
過去有許多文獻探討跳躍擴散模型於財務上之應用,大多文獻都假設此跳躍風險是可被分散之個別風險,可是經由Kim, Oh, and Brooks (1994) 實證發現,市場上存在可被分散的風險之外,同時也存在不可被分散之系統性風險。本文是以Jarrow and Yildirim (2000) 推導之模型為基礎,再加入跳躍擴散模型來評價TIPS債券及TIPS債券選擇權之價格。此外,本文假設此跳躍風險是不可被分散之系統性風險,並運用Esscher transformation將實際測度轉到風險中立機率測度下,借此找出系統性風險所貢獻之風險溢酬,希望在評價TIPS債券及TIPS債券選擇權時能使用更精確的模型獲得更精確之價格。本文亦利用TIPS債券之市場價格以及其殖利率指數,運用Barndorff-Nielsen and Shephard (2004) 提出之方法分別計算出TIPS債券殖利率與TIPS債券報酬率之連續性變動風險以及報酬率跳躍性變動風險,並各別計算其對價格變化所佔之比例。之後本文運用Dunham and Friesen (2008) 提出之方法區分出系統性跳躍風險與系統性連續變動風險對個別TIPS債券價格變化所造成之影響。最後,運用數值方法分析跳躍風險之各參數變化時TIPS債券選擇權價格之反應。
Most of the derivative pricing models are developed in the jump diffusion models, and many literatures assume those jumps are diversifiable. However, we find many risk cannot be avoided through diversification. In this paper, we extend the Jarrow and Yildirim model to consider the existence of systematic jump risk in nominal interest rate, real interest rate and inflation rate to derive the no-arbitrage condition by using Esscher transformation. In addition, this study also derives the value of TIPS and TIPS European call option. Furthermore, we use the econometric theory to decompose TIPS market price volatility into a continuous component and a jump component. We find the jump component contribute most of the TIPS market price volatility. In addition, we also use the TIPS yield index to obtain the systematic jump component and systematic continuous component to find the systematic jump beta and the systematic continuous beta. The results show that the TIPS with shorter time to maturity are more vulnerable to systematic jump risk. In contrast, the individual TIPS with shorter time to maturity is more vulnerable to systematic jump. Finally, the sensitive analysis is conducted to detect the impacts of jumps risk on the value of TIPS European call option.
Abstract 5
I. Introduction 6
II. Literature Review 11
1. Interest Rate Model 11
2. Jump Diffusion Model 12
3. Systematic Risks 13
III. Valuation of Inflation Derivatives 15
3.1 Jarrow-Yildirim Model with Systematic Jump Risk 16
3.2 Valuation of Treasury Inflation-Protected Securities 19
3.3 Valuation of TIPS European Call Option 21
IV. Empirical Result and Sensitivity Analysis 23
4.1 Empirical methodology 23
4.2 Data Description 25
4.3 Empirical Properties of the Data 26
4.4 Systematic Jump Risks in Individual TIPS 29
4.5 Empirical Result 30
4.6 Sensitivity Analysis 34
V. Conclusion 37
References 38
Appendix A 40
Appendix B 53
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