頁籤選單縮合
題名 | 動態調整利差之衡量=On the Measurement of Option-Adjusted Spread |
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作者 | 薛立言; 江文興; | 書刊名 | 證券金融 |
卷期 | 60 1999.01[民88.01] |
頁次 | 頁19-39 |
分類號 | 563.538 |
關鍵詞 | 動態調整利差; Option-adjusted spread; |
語文 | 中文(Chinese) |
中文摘要 | 近年來,發行公司債逐漸成為國內企業籌募中長期資金的重要管道,為了配合發行者或因應投資人的需求,這些債券的設計往往附有不同的賣方或買方權利(例如提早贖回、賣回權等),而如何衡量不同附權利債券的報酬績效及風險差異,軌成為投資此類債券的核心問題。過去市場中常用的評價方法往往因為附權利之存在而導致無法適用。近來文獻中提出了動態調整利差 (OAS) 分析法,主要就是針對傳統評價方法之缺失加以改進,目的在於求得一個比較客觀的相對報酬績效。雖然多數學者對此一衡量方法持肯定的態度,市場人士也廣為應用,但是對於動態調整利差應如何計算仍缺乏共識。本文試圖針對OAS的衡量,分別以路徑等值,路徑平均,以及乘項結構等三種OAS之計算方式,透過數值模擬方法,比較其在不同市場、利率期限結構下,對附權利債券之評價及風險衡量之差異。此外,本文還針對債券組合OAS之最適估計方法作一探討。這些研究結果將能彌補相關文獻在探討OAS估計方法上之不足,也能有效的幫助市場投資人來衡量附條件債券的投資績效及風險性 。 |
英文摘要 | Researchers have long been interested in finding an objective and accurate ways of measuring and comparing risk and returns among bonds with embedded options. Recently, the option-adjusted spread (OAS) analysis has attracted significant interests among market practitioners and academicians and become a promising valuation method in the fixed income market. Nevertheless, there is a lack of consensus concerning the appropriate way of measuring the option-adjusted spread, as well as the calculation of bond portfolio OAS. This study examines three different measures of OAS under various interest rate environments. Furthermore, we test and attempt to identify the better way of measuring portfolio OAS. The findings of this study should improve our understanding of this innovative evaluation method and appease some of the controversies surrounding it. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。