巨災風險、或有資本與風險管理

Abstract

本計畫就「巨災風險」所衍生之風險管理主題分三部分探討。第一部分對保險業因應巨災風險而發展出之或有資本如巨災權益債券(Catastrophe Equity Puts)與或有權益債券(Contingent Surplus Notes)等，以Merton之結構模型探討其衍生之對手履約風險與訂價內生性等問題，對保險業者整體風險管理之影響。本計劃亦將探討保險公司之或有資本將如何影響該公司之倒閉風機率(PD)。直覺上，或有資本理當可降低倒閉機率，但若不考慮新股效應，單純之契約給付並不一定能改善倒閉機率，尤其在考量對手風險與期初支付或有資本成本的內生性問題。 第二部分則沿續第一部分以及本人先前巨災債券(JRI 2002)與巨災再保險之研究(JRI 2007)之研究，探討實務上對許多巨災保險基金或業者在巨災避險時，巨災再保與巨災債券的最適組合為何。本計劃擬以或有請求權之分析架構探討，保險業者同時面對巨災債券與巨災再保險之最適組合關係，此最適關係理應要求兩巨災保險契約所隱含之每單位保額之巨災風險價格均等。本計劃亦將探討該最適組合關係如何影響該公司之倒閉機率。 第三部分則延伸解釋巨災風險為金融危機，進而探討所發展出之銀行或有資本債券訂價與政策意涵。經歷2008年之金融危機後，Basel III要求所有銀行資本除了最核心之普通股權益外，均應要有吸收損失(loss-absorbing)與轉換權益(conversion into equity)的特徵。目前市場最主要大量發行之銀行或有資本即為此類，符合Basel III要求的次級金融債(Basel III-Compliant Subordinated Debt)。本計劃擬以Merton之結構模型探討該金融債之特性，並分析銀行風險性行為是否能由該金融債之價差(yield spread)充份反應，並探討金融主管之執法強度、政策干預時機、銀行風險行為等如何與該或有資本金融債互相影響。

This project intends to investigate the risk management issues related to catastrophe risk in three sub projects. The first sub project developed a structural framework to value insurers' contingent capital with counterparty risk (CR) and overcomes the problem of price endogeneity (PE) in the valuation model. This study also plans to examine how CatEPuts affect the buyer's probability of default (PD). Intuitively, buying CatEPut should lower the buyer's PD; however, if we ignore the new equity effect due to share issuance, the result may not be true in some scenarios. Without taking CR and PE into account, one may significantly overestimate the credit enhancement provided by the CatEPuts. The second sub project extends from the first sub project and Lee and Yu (2002, 2007) and tries to derive the optimal mix relationship between a reinsurance contract and catastrophe bonds, where both instruments subject to the same catastrophe risk. An optimal mix of cat bonds and cat reinsurance may require the price of cat risk (or premium rate per unit of coverage, or rate on line) to be the same across both contracts. However, cat bond price and its cat risk premium are a function of the insurer’s debt structure and reinsurance position, so an equilibrium relationship among cat bond price and the parameters of the insurer and its reinsurance contract must hold. The project will derive this equilibrium relationship and look into how this relationship affects the probability of defaults of the insurer. The third sub project develops a multi-period structural model to investigate the most common type of bank contingent capital securities - Basel III-compliant subordinated debt (subdebt), which incorporates a mandatory write-down or conversion feature with the loss-absorbing trigger higher than the core capital ratio. The model provides a complete framework for pricing the contingent capital securities under different regulatory policies and analyzing how various factors, such as interest rate risk, risk-taking, bank characteristics and regulatory policies affect subdebt prices and yield spreads, and examines its role of market discipline. The project then evaluates the effectiveness of Basel III-compliant subdebt in reducing probability of default and bailout cost.