李賢源2006-07-262018-07-092006-07-262018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/16281存續期間與凸性是長久以來廣為應用 的衡量殖利率變動對於債券價格變動的 敏感度的指標。前者是一階線性的指標、 後者則是二階非線性的衡量。由於凸性乃 是二階的衡量指標，因此不論殖利率是升 或是降，凸性永遠是使債券價格升值；也 由於這個特性，顯示出債券的凸性是有價 值的，因此長久以來即有致力於提升債券組合凸性的研究。本 研究首先在時間固定與殖利率係平 行移動的假設下，設法重組債券組合藉以 提高金額式凸性。由於Christensen and Sorensen(1994)指出提升債券的凸性是要 犧牲債券的時間價值，故本研究考慮時間 經過的效果，亦即本研究接著在時間變動 與殖利率係平行移動的假設下，再探討如 何提高債券組合的金額式凸性，並且不損失債券的時間價值。本研究最後考慮殖利率非平行移動 的因素，探討在時間固定與時間經過狀況 下，如何建構提高債券組合金額式凸性的『靜態模型』與『動態模型』。Duration and Convexity have long been used as risk indices which measure the sensitivity of bond price change due to the change of bond’s yield to maturity. Duration represents the first order risk index which is linear whereas convexity is the second order risk index which is non-linear. Since convexity is the second order risk index, the convexity has always the positive impact on bond price change in spite of the up or down change of bond’s yield to maturity. Due to this positive impact of convexity on bond’s price, convexity is worth picking up and there do exist a lot of researches doing how to pick up bond’s convexity. This project is to try to pick up the bond portfolio’s convexity under the assumptions that time is fixed and yield curve is parallely shifted at the first stage. Due to the result done by Christensen and Sorensen(1994), however, picking up bond’s convexity is at the cost of losing time value because of the time passage effect of interest bearing bond. It implies that the time passage effect cannot be ignored when picking up bond’s convexity. In other words, this project has to study how to pick up bond portfolio’s convexity without losing time value and conduct this research under the environment that time is changing and yield curve is parallely shifted. Duration and Convexity are static risk indices which means they must be measured under the assumption that yield curve is parallely shifted. Since yield curve is perhaps not parallely shifted, however, there is a need to explore how to picking up bond’s convexity with the assumption that yield curve is not parallely shifted. Therefore, this project lastly constructs both static model and dynamic model to pick up bond portfolio’s convexity by taking both time passage effect and non-parallel shift of yield curve into account.application/pdf71549 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所DurationConvexityYield to MaturityBond PortfolioTime Passage EffectYield Curve Parallel ShiftStatic ModelDynamic Modelreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/16281/1/922416H002029.pdf