Analysis of Risk Management Strategies for Contingent Convertible Bonds

或有可轉債之風險管理策略分析

林士貴(Shih-Kuei Lin) ； 陳亭甫(Ting-Fu Chen) ； 林建璋(Chien-Tsang Lin)

《財務金融學刊》 24卷4期 (2016/12) Pp. 47-83

https://doi.org/10.6545/JFS.2016.24(4).3

摘要

The contingent convertible bond (CoCo) is a structured instrument that emerged at the end of 2009. This paper explores the CoCo risk management strategy from the standpoint of investors. Taking the Equity Derivation Law as its framework, this study analyzes the hedging performance based on the static hedging of options and then introduces jumps risk to allow sudden bank defaults, observing the changes in hedging performance. By scenario analysis, this study finds that CoCo can control its investment risks via equity derivatives and that static hedging can effectively reduce the standard deviation and value-at-risk (VaR).

關鍵字

Contingent convertible bonds ； static hedge ； hedging performance ； value at risk

並列摘要

或有可轉換債券(CoCo)是新興結構式商品。本文以投資人立場出發，探討CoCo風險管理策略。以股權衍生性法為架構，本文藉由蒙地卡羅分析選擇權靜態避險的績效，隨後加入跳躍項允許銀行突然違約，並觀察避險績效的變化。透過情境分析，本研究發現CoCo可透過股權衍生性商品調控其投資風險，且靜態避險能有效降低標準差與風險值。

並列關鍵字

或有可轉換債券 ； 靜態避險 ； 避險績效 ； 風險值

參考文獻

Berg, Tobias, and Christoph Kaserer, 2011, Convert-to-Surrender bonds: A proposal of how to reduce risk-taking incentives in the banking system, Working paper.

Demirer, Riza, and Donald Lien, 2003, Downside risk for short and long hedgers, International Review of Economics and Finance 12, 25-44.

Derman, Emanuel, Deniz Ergener, and Iraj Kani, 1995, Static options replication, Journal of Derivatives 2, 79-95.

Ederington, Louis H., 1979, The hedging performance of the new futures markets, Journal of Finance 34, 157-170.

Flannery, Mark J., 2005, No pain, no gain? Effecting market discipline via reverse convertible debentures, in Hal Scott, ed.: Capital Adequacy Beyond Basel: Banking, Securities, and Insurance (Oxford University Press).