資料載入處理中...
臺灣人文及社會科學引文索引資料庫系統
:::
網站導覽
國圖首頁
聯絡我們
操作說明
English
行動版
(18.225.117.253)
登入
字型:
**字體大小變更功能,需開啟瀏覽器的JAVASCRIPT,如您的瀏覽器不支援,
IE6請利用鍵盤按住ALT鍵 + V → X → (G)最大(L)較大(M)中(S)較小(A)小,來選擇適合您的文字大小,
如為IE7以上、Firefoxy或Chrome瀏覽器則可利用鍵盤 Ctrl + (+)放大 (-)縮小來改變字型大小。
來源文獻查詢
引文查詢
瀏覽查詢
作者權威檔
引用/點閱統計
我的研究室
資料庫說明
相關網站
來源文獻查詢
/
簡易查詢
/
查詢結果列表
/
詳目列表
:::
詳目顯示
第 1 筆 / 總合 1 筆
/1
頁
來源文獻資料
摘要
外文摘要
引文資料
題名:
Analysis of Risk Management Strategies for Contingent Convertible Bonds
書刊名:
財務金融學刊
作者:
林士貴
/
陳亭甫
/
林建璋
作者(外文):
Lin, Shih-kuei
/
Chen, Ting-fu
/
Lin, Chien-tsang
出版日期:
2016
卷期:
24:4
頁次:
頁47-83
主題關鍵詞:
或有可轉換債券
;
靜態避險
;
避險績效
;
風險值
;
Contingent convertible bonds
;
Static hedge
;
Hedging performance
;
Value at risk
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:10
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。
以文找文
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).
以文找文
期刊論文
1.
Cotter, John、Hanly, Jim(2006)。Reevaluating Hedging Performance。Journal of Futures Markets,26(7),677-702。
2.
Derman, E.、Ergener, D.、Kani, I.(1995)。Static Options Replication。Journal of Derivatives,2(4),78-95。
3.
Spiegeleer, J. D.、Schoutens, W.(2012)。Pricing Contingent Convertibles: A Derivatives Approach。Journal of Derivatives,20(Winter),27-36。
4.
Glasserman, P.、Nouri, B.(2012)。Contingent Capital with a Capital-ratio Trigger。Management science,58(10),1816-1833。
5.
Demirer, R.、Lien, D.(2003)。Downside Risk for Short and Long Hedgers。International Review of Economics and Finance,12(1),25-44。
6.
Flannery, Mark J.(2016)。Stabilizing large financial institutions with contingent capital certificates。Quarterly Journal of Finance,6,1-26。
7.
Hilscher, Jens、Raviv, Alon(2014)。Bank stability and market discipline: The effect of contingent capital on risk taking and default probability。Journal of Corporate Finance,29,542-560。
8.
McDonald, Robert L.(2013)。Contingent capital with a dual price trigger。Journal of Financial Stability,9,230-241。
9.
Sundaresan, Suresh、Wang, Zhenyu(2015)。On the design of contingent capital with a market trigger。Journal of Finance,70,881-920。
10.
Wilkens, Sascha、Bethke, Nastja(2014)。Contingent convertible (CoCo) bonds: A first empirical assessment of selected pricing models。Financial Analysts Journal,70,59-77。
11.
Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。
研究報告
1.
Berg, Tobias、Kaserer, Christoph(2011)。Convert-to-Surrender bonds: A proposal of how to reduce risk-taking incentives in the banking system。
2.
Buergi, Markus P. H.(2012)。A tough nut to crack: On the pricing of capital ratio triggered contingent convertibles。
3.
Cheridito, Patrick、Xu, Zhikai(2015)。Pricing and hedging CoCos。
4.
Himmelberg, Charles P.、Tsyplakov, Sergey(2012)。Incentive effects of contingent capital。
5.
Pennacchi, George(2010)。A structural model of contingent bank capital。
6.
Teneberg, Henrik(2012)。Pricing contingent convertibles using an equity derivatives jump diffusion approach。
圖書論文
1.
Flannery, Mark J.(2005)。No pain, no gain? Effecting market discipline via reverse convertible debentures。Capital Adequacy Beyond Basel: Banking, Securities, and Insurance。Oxford University Press。
推文
當script無法執行時可按︰
推文
推薦
當script無法執行時可按︰
推薦
引用網址
當script無法執行時可按︰
引用網址
引用嵌入語法
當script無法執行時可按︰
引用嵌入語法
轉寄
當script無法執行時可按︰
轉寄
top
:::
相關期刊
相關論文
相關專書
相關著作
熱門點閱
無相關期刊論文
1.
貝氏門檻模型在財務議題之探討
1.
貝氏門檻模型在財務議題之探討
2.
貝氏門檻模型在財務議題之探討
無相關著作
1.
The Impact of Corporate Social Responsibility on Globalization--An Example Involving Asian Consumers
2.
The Effect of Surprise on Customer Satisfaction: The Moderating Role of Status Consumption
3.
Predicting Online Buying Behavior Among Indian Shoppers Using a Neural Network Technique
4.
Exploring Brand Development in Taiwanese SMEs: The Case Study of 1300 Only Porcelain
5.
Determining Factors Toward a Sustainable Development Path in Selected ASEAN Countries and Japan--Evidence from Panel Data Analysis
6.
Does a Toy a Day Keep the Stress Away?
7.
Personality Types and Level of Organizational Stress of Women Managers in Big Four Accounting Firms in Vietnam
8.
Perceptions of Information Technology Processes Among IT Decision Makers in Thailand
9.
Improving Management Students’ Skills in Framing “Thought-Provoking Questions”: An Action Research
10.
Quantitative Metrics to Assess and Manage Business Contracting Risk Using Risk-O-Meter Software
11.
口碑連結、揭露焦點與體驗順序對多樣搜尋行為之影響
12.
The Impact of Corporate Entity Directors and Supervisors on Enterprise Risk Management
13.
Copula-Based Pairs Trading in Asia-Pacific Markets
14.
大甲溪石岡壩下游河道沖淤特性探討
15.
Pension Reform and Self-Employment in Hong Kong
QR Code