摘要
伴随着人口老龄化进程的加快,长寿风险的管理越来越引起人们的重视。长寿债券作为一类新型的风险证券化产品,能够突破传统风险管理方法的局限,成为管理长寿风险的有力工具。为了更好地利用这项金融创新,本文从投资者视角对欧洲投资银行(EIB)和法国巴黎银行(BNP)联合发行长寿债券的失败案例进行研究。本文主要从息票支付、违约风险、风险承担机制以及模型参数的不确定性四个方面剖析了该长寿债券发行失败的原因,并结合中国国情分别给出了解决方案。研究结论可为长寿债券设计和定价的进一步完善提供参考。
With the acceleration of population aging, more and more attentions has been paid to longevity risk management. Longevity bond, as a new risk securitization product, can break through the limitation of traditional methods of risk management, and has become a powerful tool for longevity risk management. In order to make better use of this financial innovation, this paper studies the failed longevity bond jointly issued by European Investment Bank （EIB） and BNP Pa- ribas（BNP） from the perspective of investors. This paper has discerned the reasons for the failure from four aspects, the coupon payments, the default risk, the risk allocation mechanism, and the uncertainty of model parameters. Combined with the Chinese conditions, this paper suggests the corresponding solutions to those problems. The research findings can provide reference to further improving the design and pricing of longevity bond.
出处
《管理案例研究与评论》
CSSCI
2014年第5期384-391,共8页
Journal of Management Case Studies
基金
国家自然科学基金青年项目(71101015)
辽宁省教育厅科学研究一般项目(L2014024)
关键词
证券化
长寿债券
风险
死亡率
securitization
longevity bond
risk
mortality rate
