摘要
本研究的主要目的在於規劃出網路標會的可行架構，並透過合適的標金及利率模型進行評價，使合會除了具備原本儲蓄及融資的功能外，進一步成為可供交易之金融商品，最後，藉由針對影響標金及合會移轉價值之因素進行敏感度分析以找出合會的價格行為。 在標金模型方面，本文以廖源星（2003）提出之標金模型為基礎，並以殖利率曲線上反應不同期限之殖利率取代單一折現率，再結合Black-Derman-Toy（1990）模型推導出活會及死會移轉的無套利價格，接著觀察合理價格在約定會金、總會期長短（參與標會人數）、殖利率曲線及波動性等因素變動下之變動情形，研究發現合理價格會隨約定會金增加而增加，隨總會期數增長而降低；當殖利率曲線進行水平移動時，合理價格與利率水準呈反向關係；當長短期利率變動幅度相同且殖利率曲線由水平轉為正斜率時價格會降低，反之，當殖利率曲線由水平轉為負斜率時價格會增高，當變動幅度越大，即殖利率曲線越陡時，價格變動幅度也越大；此外，利率波動度與價格呈反向關係。最後，透過評估有效存續期間及有效凸性可發現合會的有效存續期間及有效凸性與距到期日呈正向關係，與殖利率則呈反向關係；和距到期日相同且期末一次償還本金之債券相比，合會之有效存續期間較小，顯示其移轉價格對利率的敏感度較低。
並列摘要
The primary objectives of the analysis are to describe a feasible framework of e-Huei, build an appropriate mechanism to determine the arbitrage-free prices of Huei, and observe the fluctuation of the prices under changes in different factors. We introduce the framework and operation of e-Huei first and then deal with the valuation. Modified Liao’s model and the Black-Derman-Toy model are applied to value Huei and generate the arbitrage-free price. Unlike previous studies, we incorporate the random process of interest rates in the Huei discount model and try to determine a fair price of a live Huei at each time. In this way, Huei evolves from a pure lending-and-borrowing tool to a security available for transaction. Lastly, we make a comprehensive analysis on the price of Huei. We find that both Huei discounts and fair prices of Huei increase when the designated Huei capital increases; however, while Huei discounts are positively related to the length of Huei, the fair prices of Huei decrease with longer maturity. Intuitively, the fair prices move in the opposite direction from the change in the yield under parallel shifts. Besides, when a flat yield curve turns to be upward-sloping (downward-sloping), the prices decrease (increase) as the yield change becomes larger. In general, there exists negative relation between the prices and the yield volatility. Furthermore, we find that both the effective duration and effective convexity of Huei have positive relationship with the time to maturity and negative relationship with the yield. In addition, the effective duration of Huei is rather low compared with that of a typical bullet bond, implicating minor price sensitivity than bullet bonds.