租賃契約與退休計劃之評價研究

Abstract

This study contains two essays on the valuation of lease contracts and pension plans. In Essay 1, we propose an integrated reduced form model to calculate the values of adjust-able-rate leases that have an embedded cancellation option, a purchase option, and default risk. Numerical results reveal that the interest-rate volatility, the market prices of risk, as well as the likelihoods of default, cancellation, and purchase have significant impacts on the lease term structure. Furthermore, the positive values of the default risk premium, the cancellation option, and the purchase option embedded in the lease contract reveal that the lessor will require a sig-nificant risk premium in the initial rent of the lease contract. In Essay 2, we propose three types of defined contribution pension plans associated with the minimum inflation rate guarantees and derive the corresponding valuation formulae respectively. We incorporate an asset price dynamics into Jarrow and Yildirim’s (2003) model and generalize it from a three-factor HJM model to a m-factor model to specify the processes of the nominal in-terest rates, the real interest rates, the inflation rates, as well as the asset prices. The empirical results reveal that the all the values for three types of guarantees are greater if the current (nomi-nal) interest rate level is relatively lower and the inflation rate is relatively higher. Furthermore, the multi-period inflation guarantees are more valuable than the other two types of guarantees.本文是由兩篇關於租賃契約和退休計劃的評價研究所構成。 在第一篇研究中，我們提出一簡化形式模型，用以評價內含取消選項權、購買選擇權、以及違約風險的可調整租金之租賃契約。數值結果顯示，利率波動度、市場價格風險、以及違約發生與取消、購買選擇權被執行的機率對於租金率期間結構具有顯著影響。此外，我們發現取消選擇權、購買選擇權的價值、以及違約風險的溢價均為正，此結果顯示出租人將在期初所訂定的租金中增加一顯著的風險溢價。 在第二篇研究中，我們針對確定提撥制退休計劃提出三種最低通膨率保證收益類型，並分別推導其評價公式。我們將一資產價格的動態過程併入原本僅考慮名目利率，實質利率，通貨膨脹率之Jarrow and Yildirim’s (2003)三因子模型，並將之延伸至m因子的設定。實證結果顯示，若目前名目利率水準相對較低或是物價水準相對較高，則三種最低通膨率保證收益的價值會較大。此外，多期最低通膨率保證收益之價值大於其他兩種類型。