Browsing by Author "Liu, Liang-Chih"

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Evaluating corporate bonds and analyzing claim holders\' decisions with complex debt structure
(2016-11)
Liu, Liang-Chih
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Dai, Tian-Shyr
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Wang, Chuan-Ju
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
Although many different aspects of debt structures such as bond covenants and repayment schedules are empirically found to significantly influence values of bonds and equity, many theoretical structural models still oversimplify debt structures and fail to capture phenomena found in financial markets. This paper proposes a carefully designed structural model that faithfully models typical complex debt structures containing multiple bonds with various covenants. For example, the ability for an issuing firm to meet an obligation is modeled to rely on its ability to meet previous repayments, and the default trigger is shaped according to the characteristics of its debt structure such as the amount and schedule of bond repayments. Thus our framework reliably provides theoretical insight and concrete quantitative measurements consistent with extant empirical research such as the shapes of yield spread curves under various firm\'s financial statuses, and the impact of payment blockage covenants on newly-issued and other outstanding bonds. We also develop the forest, a novel quantitative method to handle contingent changes in the debt structure due to premature bond redemptions. A forest consists of several trees that capture different debt structures, for instance those before or after a bond redemption. This method can be used to analyze how poison put covenants in the target firm\'s bonds influence the bidder\'s costs of debt financing for a leveraged buyout, or investigate how the presence of wealth transfer among the remaining claim holders due to a bond redemption influences the firm\'s call policy, or further reconcile conflicts among previous empirical studies on call delay phenomena. (C) 2016 Elsevier B.V. All rights reserved.
FIN10K: A Web-based Information System for Financial Report Analysis and Visualization
(2016)
Liu, Yu-Wen
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Liu, Liang-Chih
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Wang, Chuan-Ju
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Tsai, Ming-Feng
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資訊管理與財務金融系註：原資管所+財金所
In this demonstration, we present FIN10K, a web-based information system that facilitates the analysis of textual information in financial reports. The proposed system has three main components: (1) a 10-K Corpus, including an inverted index of financial reports on Form 10-K, several numerical finance measures, and pre-trained word embeddings; (2) an information retrieval system; and (3) two data visualizations of the analyzed results. The system can be of great help in revealing valuable insights within large amounts of textual information. The system is now online available at http: //clip.csie.org/10K/.
Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
(2015-09-01)
Dai, Tian-Shyr
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Yang, Sharon S.
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Liu, Liang-Chih
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
Many variable annuity products associated with guaranteed minimum withdrawal benefit (GMWB) or its lifelong version, a guaranteed lifelong withdrawal benefit (GLWB), have enjoyed great market success in the United States and Asia. The interaction impacts among complex policy provisions and the randomness of the account value of the policy, the prevailing interest rate, as well as the mortality rate may significantly influence the evaluations of GMWBs/GMLBs, especially when the guaranteed payments are made over a long, or even a lifelong, horizon. To deal with aforementioned risk factors and policy provisions, this paper proposes a novel three-dimensional (3D) tree that can analyze how different policy provisions influence the evaluation of GMWB/GLWBs under investment interest rate, and mortality risks simultaneously. The orthogonalization method is used to convert correlated dynamics of the account value of the policy and the short-term interest rate into two independent processes that can be easily simulated by our 3D tree. Besides, the structure of our 3D tree is sophisticatedly designed to avoid the unstable (oscillating) pricing results phenomenon that has characterized many numerical pricing methods. Rigorous numerical experiments are given to analyze the interaction effects among policy provisions and the aforementioned risk factors on the evaluation of GMWBs/GLWBs. (C) 2015 Elsevier B.V. All rights reserved.