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題名 | 基差浮動利率債券之評價與提前買回機率分析=Pricing of Basis Floating Rate Notes and Analysis of Early Redemption Probability |
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作者 | 陳耿忠; 何怡滿; 許溪南; Chen, Keng-chung; Ho, Emily; Hsu, Hsinan; |
期刊 | 商管科技季刊 |
出版日期 | 20061200 |
卷期 | 7:4 民95.12 |
頁次 | 頁705-728 |
分類號 | 563.538 |
語文 | chi |
關鍵詞 | 基差浮動利率債券; 結構性證券; 蒙地卡羅模擬法; CIR利率模型; Basis floating rate notes; Structured notes; Monte Carlo simulation; CIR interest rate model; |
中文摘要 | 本文主要目的在評價基差浮動利率債券,並分析發行機構提前買回的機率。本文除使用蒙地卡羅模擬法進行上述分析外,還進行敏感度分析,以瞭解利率模型參數變動對於基差浮動利率債券的價格以及提前買回機率之影響情形。研究結果發現:(1)基差浮動利率債券的理論外幣價格高於發行價格,但其理論台幣價格卻低於發行價格。(2)發行機構在到期日之前會提前買回此債券,且在可以開始執行提前買回的第一期之買回機率為最高。(3)敏感度分析結果顯示,利率回歸速度與利率年波動率對此商品的價格及提前買回機率之影響程度皆不大,只有長期平均利率水準對債券價格及提前買回機率的影響程度較大。 |
英文摘要 | This study investigates the pricing of basis floating rate notes by using Monte Carlo simulation method. We also analyze the probability of early redemption of the product. Furthermore, sensitivity analysis is used to examine the effects of parameters in the interest rate model on the bond price and the probability of early redemption. The findings indicate that: (1) The theoretical foreign currency price is higher than its issuing price but the theoretical price in terms of NT dollars for the product is lower than its issuing price. (2) The product will almost surely be recalled by its issuing institution before maturity, and the first period that the bond can be recalled has the highest probability of redemption. (3) The sensibility analysis reveals that both the mean-reverting speed and the fluctuating percentage of the interest rate have no significant influences on the bond pricing and the probability of early redemption. Only the average interest rate in the long term has a significant effect on the bond pricing and the probability of early redemption. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。