聯合利率模式在跨國債券 投資風險管理之應用

Abstract

本文推導一聯合利率模式，以主成份分析法萃取利率因子，再以最大概似估計法來估計參數，最後介紹如何以參數估計值衡量金融機構跨國債券投資之風險值。傳統的利率模式應用在跨國債券投資時，只考慮兩國利率的均衡、卻容易忽略匯率也必須反映兩國的利率平價。傳統利率模式只能單純考量利率風險，而匯率風險則另外衡量，無法在同一架構下考慮匯率及利率風險，因而對於利率與匯率風險因子的相關性估計會有偏差。但若以聯合利率模式評估風險時，則可以解決此一問題。本文發展的聯合利率模式，除了考慮利率動態的假設外，並可改進現有方法忽略利率與匯率相關性的缺點。在實證估計上，我們應用主成份分析及最大概似估計法，推估聯合利率模式的相關參數。此外，本研究也說明如何將此模式，應用在跨國債劵投資的風險值計算上。

In this paper, we derive a joint interest rate model used for international bond portfolio risk management in a market integration environment. Unlike existing models which considering interest rate and foreign exchange rate separately, our model includes both rates in an integrated framework. We propose a joint interest rate model to address problems of neglecting interest rate and foreign exchange rate correlation, and failing to consider dynamic interest rates which often appear in previous studies. We use principal component analysis (PCA) to extract interest rate components. Maximum likelihood estimation (MLE) is used to estimate parameters in a multi-factor, two countries term structure model. Besides, numerical analysis regarding to foreign currency bond portfolio is performed. In addition, our parameter estimation supports that bond markets between Taiwan and the U.S. become more integrated when variance of common factor increases. However, bond markets get less correlated while variances of country-specific factors increase.