以放空股票進行信用風險避險

Credit Risk Hedging—Using Share Short Selling as Hedge Tool

謝孟翰(Meng-Han Hsieh)

指導教授 ： 周國端

共同指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10556

摘要

在2007年中貝爾斯登避險基金禁止贖回後，信用市場混亂接續發生。伴隨著貝爾斯登被接管與雷曼兄弟倒閉，信用違約利差擴張至歷史新高。保險公司所投資的信用部位，包括次級房貸相關部位與擔保債務憑證，亦接續發生損失。保險公司經理人可透過購買信用違約交換來避免違約風險，但受限於法令與投資額度，亦可使用其他相關的避險工具。
一個公司的股價與信用利差有負向關係，隨著股價下跌，反映信用風險的信用利差大多也會擴張。因此，本篇論文透過放空股票的方法來規避信用風險。透過迴歸分析，使用放空股票的報酬率與作多信用利差違約的報酬率來決定避險比例，並動態調整避險比率來計算避險績效。透過報酬率相關係數的調整與標準差的調整，可達到較佳的避險效果。結論建議，保險公司應充分利用市場的機會來為未來潛在的信用風險提存損失準備。

關鍵字

信用風險 ； 信用違約交換 ； 放空股票 ； 動態避險 ； 避險比率

並列摘要

In the middle of 2007, since Bear Stearns hedge funds suspended redemption, the credit market turmoil prevailed. With Bears Stearns being taken over and Lehman Brothers ending in bankruptcy, credit default swap spreads spiked to historical high level. A lifer’s credit position had suffered huge loss if it held sub prime related investments or collateralized debt obligation (CDO). A manager can hedge its loss by using credit default swap to hedge the loss in default. However, regulatory or credit line limitations may prompt he/she to use other hedge tools.
A negative relationship exists in a firm’s share price and credit spread. With the fall in equity buffer, the credit spread reflecting credit risk is likely to widen as well. Therefore, our study utilizes share short selling as a method to hedge against credit risk. By using a regression, a hedge ratio is determined by the return of share short-selling and long credit default swap position. Then, the hedge results are determined by dynamically rebalancing the hedge position. In order to achieve better hedge results, adjustments are made to the hedge ratio using the return’s correlation and standard deviation. We conclude by suggesting life insurance companies shall utilize the market opportunities to form a credit reserve for future potential credit loss.

並列關鍵字

credit risk ； credit default swap ； short selling ； dynamic hedge ； hedge ratio

參考文獻

1. Aunon-Nerin, D., Cossin, D., Hricko, T. and Huang, Z., ‘Exploring for the determinants of credit risk in credit default swap transaction data: is fixed-income markets’ information sufficient to evaluate credit risk?’ Research Paper No. 65 (International Center for Financial Asset Management and Engineering, 2002).

2. Avramov, D., Jostova, G. and Philipov, A., ‘Corporate credit risk changes: common factors and firm-level fundamentals’, Working Paper (University of Maryland, 2004).

3. A Christie, 1982, The Stochastic Behavior of Common Stock Variances, Journal of Financial Economics, No. 10, 407-32.

4. Black. F. and M.J. Sholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, No. 3, 637-654.

5. Blanco, R., Brennan, S. and Marsh, I.W., ‘An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps’, Journal of Finance, Vol. 60, 2005, pp. 2255-2281.