結構型商品個案分析

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/64467

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/64467

Title:	結構型商品個案分析
Authors:	林紋寬;LIN,WEN-KUAN
Contributors:	財務金融學系在職專班
Keywords:	匯率區間結構型商品;目標可贖回遠匯;蒙地卡羅模擬;Daily range accrual FX structure note;Target Redemption Forward;Monte Carlo simulation
Date:	2014-06-16
Issue Date:	2014-08-11 18:30:38 (UTC+8)
Publisher:	國立中央大學
Abstract:	近年來國內利率持續低迷，因結構型商品兼具了固定收益商品的穩健及衍生性商品的靈活的特色，遂成為市場上炙手可熱的商品。然而結構型商品的設計越來越複雜，投資風險不斷地提高，投資人如何尋找適合自己的投資商品便顯得日益重要。本研究利用了蒙地卡羅模擬的方法，來分析市場上常見的匯率連結之結構型商品，期望為市場的參與者提供一個評估商品風險和報酬的分析方法。本文特地挑選了受到投資人喜愛的二檔連結匯率報酬的結構型商品，第一檔每日計息匯率區間型商品為一保本型商品，其報酬形態看似對投資人十份優渥，但在考量匯率風險後，投資人之報酬要贏過定存利率的機率並不大。第二檔目標可贖回遠匯商品，為一不保本之商品。雖然投資人於期初即處於獲利階段，但若匯率反轉跌破下限價格時，投資人將會以加倍的名目本金來承受匯率風險。;Thanks to the continuous low interest rate, for years financial structural products,which hold both the stable interest stream of fixed income but the customer-made characteristic of derivative,become more and more welcome. However what matters most for investors is how to find the best for investment given that structural products tend to be more complicated as well as higher risk. This paper uses Monte Carlo Simulation to analyze popular FX-linked structural products with the purpose to provide the viable and accurate solution to product risk and returns. Two products regarding to FX returns are discussed in the research. The analysis find that first product, daily range accrual FX structure note, a principle protected product, proves to be hard taking an advantage over the handsome payment if foreign exchange risk is considered. For the second product, target range forward, principle non-protected, often render investors huge losses calculated on the base as large as double the notional amount if exchange rates reverse breaking the low limit despite at a profit at the first stage.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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