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系統識別號 U0026-0812200914111566
論文名稱(中文) 利率衍生性金融商品的使用對公司利率暴露的影響:以人壽保險公司為例
論文名稱(英文) The Impact of Interest Rate Derivatives Usage on Firm’s Interest Rate Exposure: Evidence from the Life Insurance Industry
校院名稱 成功大學
系所名稱(中) 國際企業研究所碩博士班
系所名稱(英) Institute of International Business
學年度 96
學期 2
出版年 97
研究生(中文) 李玉萍
研究生(英文) Yu-Ping Lee
電子信箱 r6695119@mail.ncku.edu.tw
學號 r6695119
學位類別 碩士
語文別 英文
論文頁數 45頁
口試委員 指導教授-許永明
口試委員-康信鴻
口試委員-江明憲
口試委員-張紹基
中文關鍵字 利率風險  衍生性金融商品  避險 
英文關鍵字 derivatives  Interest rate risk  hedging 
學科別分類
中文摘要 企業利用衍生性金融商品來從事避險已經越來越普遍。在企業面臨的各種風險暴露當中,利率風險暴露是相當重要的一個風險因素,因此利率衍生性金融商品的使用也就越來越廣泛,尤其對人壽保險業來說,這種現象更為明顯。本文旨在探討人壽保險公司利用利率衍生性金融商品是否能夠降低公司的利率風險,我們選取美國的41間人壽保險公司為研究對象,發現公司使用利率衍生性金融商品從事避險時,無形中反而會增加他們的利率風險暴露,人壽保險公司在使用衍生性金融商品的同時也應該考量到使用帶來的負面後果,因此人壽保險公司使用利率衍生性金融商品更應謹慎的運用。
英文摘要 I analyze the effect of firm characteristics on interest rate risk management behavior of U.S. life insurance industry. Using data collected from the annual report of life insurers in SEC, different models will be used to estimate for the probability and degree of use of interest rate derivatives. Furthmore, I analyze the exposure of interest rate with interest rate derivatives-user and nonusers. I find that life insurers with interest rate derivatives display more, if any, measurable differences in interest rate risk. That means life insurers with interest rate derivatives may face a little higher interest rate risk than non-user.
論文目次 CHAPTER 1 INTRODUCTION 1
CHAPTER 2 LITERATURE REVIEW 4
2.1 The motivation of hedging 4
2.2 The determinants and the usage of interest rate derivatives 6
2.3 The effect of derivatives on firm risk 8
CHAPTER 3 DATA AND METHODOLOGY 10
3.1 Sample selection 10
3.2 Variable description and hypothesis 11
3.2.1 Dependent variables 11
3.2.2 Independent variables-hedging determinants 13
3.3 Methodology 19
3.3.1 The decision model 19
3.3.2 The extent model 19
3.3.3 The risk model 20
CHAPTER 4 EMPIRICAL EVIDENCE 22
4.1 Descriptive Statistic 22
4.2 Multivariate results of factor decision 25
4.2.1 Result of decision model 25
4.2.2 Result of extent modal 28
4.2.3 Further examination 31
4.3 Risk model 35
CHAPTER 5 CONCLUSION 38
APPENDIX 39
REFERENCE 43
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