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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 廖咸興 | |
dc.contributor.author | Hau-Ji Shih | en |
dc.contributor.author | 石浩吉 | zh_TW |
dc.date.accessioned | 2021-06-13T15:51:21Z | - |
dc.date.available | 2008-07-02 | |
dc.date.copyright | 2008-07-02 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-06-25 | |
dc.identifier.citation | 1.Bierwag G.O., 1987, Duration Analysis, (Ballinger , Cambridge, MA).
2.Bierwag G.O. and Khang C., 1979, “An immunization strategy is a Minimax Strategy”, Journal of Finance 34, No.2 May, 389-399. 3.Fong H.G. and Vasicek O.A., 1984, “A risk minimizing strategy for portfolio immunization”, Journal of Finance. 4.Fisher L. and Weil R.L., 1971, “Coping with the risks of interest rate fluctuations: Returns to Bondholders from naïve and optimal strategies”, journal of Business, Vol.44, No.4, 408-431. 5.Grove M.A., 1974, “On duration and the optimal structure of the balance sheet”, Bell Journal of Economics and Management Science 5, 696-709. 6.Lamm-Tennant J., 1989, “Asset / liability management for life insurer: Situation analysis and strategy formulation”, Journal of Risk and Insurance, Vol.56, 501-517. 7.Lee, S. B. and Cho, H. Y., 1992, A Rebalancing Discipline for an Immunization Strategy, The Journal of Portfolio Management, Summer , 56-62. 8.Maloney, K.J. and Logue, D.E., 1989, Neglected complexities in Structured Bond Portfolio, The Journal of Portfolio Management, Winter. 9.Prisman E.Z. and Tian Y., 1993, “Duration measures, immunization, and utility maximization”, Journal of Banking and Finance 17, 689-707 10.Santomero A.M. and Babbel D.F., 1997, “Financial risk management by insurers: An analysis of the process”, Journal of Risk and Insurance, Vol.64, No.2, 231-270. 11.Tzeng L.Y., Wang. J.L. and Soo J.H., 2000, “Surplus management under stochastic process”, Journal of Risk and Insurance, Vol.67, No.3, 451-462. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37923 | - |
dc.description.abstract | 本研究提出一個全新的資產負債管理模型,是第一個完整考慮管理者對利率的預期、金融機構承擔風險的能力、以及調整成本,此三項重要因素而發展出來的新策略。不像傳統免疫策略的難以執行,這個新的資產負債管理模型不但能推導出最佳存續期間缺口的公式解(不免疫策略),以方便實務應用,更能為各種資產負債管理行為提供經濟意含的解釋。除此之外,以本模型進行多期的數值模擬,不但能夠整合價格風險與信用風險,引出不免疫卻能活得更好的策略,更可對於政府監理、機會成本、流動性影響等三項重要的議題提供新的洞見。 | zh_TW |
dc.description.abstract | This study firstly develops a new ALM model that simultaneously takes into account three important factors, the managers’ view, the financial institution’s ability to take risk, and the adjustment costs of ALM. Unlike models of naïve immunization strategy, our new ALM model not only offers an analytical formula to calculate the optimal duration gap for practical uses (an optimal non-immunization strategy), but also provides economic explanations for a wide range of ALM behaviors. In addition, multi-period simulations based on this new ALM model integrate price risk and credit risk, and shed insights on the government’s supervisory guidance, opportunity cost of conflicting corporate policies, and liquidity effect. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T15:51:21Z (GMT). No. of bitstreams: 1 ntu-97-R95723093-1.pdf: 442501 bytes, checksum: 6015ed2a707c18d500fd2fb91e825d61 (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | CONTENTS 6
I. Introduction 7 II. The ALM Model 10 A. Traditional ALM Model 11 B. The New ALM Model 11 C. Solving For The Optimal Duration Gap 13 III. Multi-period Numerical Simulation 17 A. Parameters 17 B. The Base Case Simulation 19 C. The Sensitivity Analyses 24 D. The Effect of Opportunity Cost 30 E. The Liquidity Effect 33 IV. Conclusion 35 Ⅴ. References 37 Appendix 39 | |
dc.language.iso | en | |
dc.title | 不免疫卻活得更好:
一個全新的資產負債管理策略 | zh_TW |
dc.title | Non-immunization and Living Even Better:
A New Asset-liability Management Strategy | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳聖賢,張焯然,林丙輝 | |
dc.subject.keyword | 資產負債管理,利率風險,免疫策略,存續期間缺口,價格風險,信用風險, | zh_TW |
dc.subject.keyword | Asset-liability Management,Interest Rate Risk,Immunization,Duration Gap,Price Risk,Credit Risk, | en |
dc.relation.page | 39 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2008-06-25 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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