利率風險管理-反浮動利率債券與分紅保單之應用

Interest Rate Risk Management-Hedging by Inverse FRNs & Participating Policies

陳秀蘭(Hsiu-Lan, Chen)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10183

摘要

全球利率走勢在近年來不斷下滑，尤以2000年以來的降幅最為劇烈，以6個月的LIBOR為例：從2000年5月的7.06%一路下降，一直到今年2月只剩下1.20%；面對這樣的經濟趨勢，迫使金融機構都面臨到利率風險的問題，壽險業即為其中最顯著的例子。同時，這樣的情勢也促成新金融商品—反浮動利率債券的盛行，為吸引大眾的投資興趣，自2002年起越來越多的銀行投入反浮動債的發行，使其盛極一時。面對利率如此低迷的窘境，持有相當比例債券資產的壽險公司，能否利用新興的反浮動債券以及新推出的分紅保單來控制其利率風險，是一個值得探討的議題。

關鍵字

利率風險管理 ； 有效存續期間

並列摘要

Declining interest rates bring the greatest challenge for all financial institutions, especially for life insurance companies. This article will provide a method to manage the current interest rate risk.

When life insurance companies measure interest rate risks, traditional measurements usually leads to the result that is larger than . That means the liability side will vibrate with the change in interest rates to a greater degree than the asset side. And the purpose of the immunization strategy is to shorten the difference between and . Two strategies can be adopted to attend the effect of immunization. First, life insurance companies can lengthen through buying the inverse floating rate bonds since the effective duration of this kind of bonds is longer than it will be when it is due. Second, they can sell participating policies at the same time to transfer part of the interest rate risk to investors and thus attend the aim of reducing . With these two strategies, life insurance companies can efficiently and effectively manage the interest rate risk.

並列關鍵字

Effective Duration ； Interest Rate Risk Management

參考文獻

1、Babbel,D.F.,1995, “Asset-Liability Matching in the Life Insurance,”The Financial Dynamics of The Insurance Induetry,pp.239-255.

2、Babbel,D.F., Craig Merrill, and William Panning,1995,“Default Risk and the Effective Duration of Bonds,”Policy Research Working Paper.

3、Babbel,D.F.,2001,”Asset/Liability Management for Insurers in the New Era: Focus on Value,” The Journal of Risk Finance, Fall,pp.9-17.

4、Don M. Chance and James V.Jordan,1996,”Duration,Convexity,and Time As Components of Bond Returns,” The Journal of Fixed Income,September,pp.88-96.

5、Lakhbir Hayre and Hubert Chang,1997,”Effective and Empirical Durations of Moegage Securities,” The Journal of Fixed Income,March,pp.17-33.