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    题名: 股權結構式商品之評價與分析;Evaluation and Analysis of Equity-Linked Structured Products
    作者: 廖高論;Liao,Gao-lun
    贡献者: 財務金融學系
    关键词: 結構式債券;蒙地卡羅模擬法;波動率之敏感性分析;Structure Note;Monte Carlo Simulation;Sensitivity Analysis of Volatility
    日期: 2014-08-05
    上传时间: 2014-10-15 15:30:00 (UTC+8)
    出版者: 國立中央大學
    摘要: 本篇論文分析了十檔結構式債券,包含五檔單資產股權連結標商品與多資產股權連連結商品。首先,本篇論文將在2006~2011內國內曾經發行過的股權連結式結構式債券,共100檔結構式債券,依照商品條款的不同來分成9大類,再由各大類中挑選一檔商品來做蒙地卡羅模擬法進行評價。接著再做波動率敏感度分析,探討波動率對商品未來報酬率分布的影響。可發現,10檔商品中有8檔商品,其商品價值與波動率呈現反向關係。文中接著分析,波動率對商品價值影響是來自於此商品條款的何種因素。最後,進行回溯測試,觀測商品發行後的實際損益情況。本文藉著分析最近幾年發行過的股權連結式商品,能夠讓市場參與者快速了解市場中大部分結構式商品的概況,並且分析了波動率影響造成商品價值變動之因素,期許投資人在進行投資結構式商品時,能夠更完整了解商品的性質後,再進行投資。;This article will analyze ten structure notes, including five single-asset equity-linked products and five multi-asset equity linked products.At first, this article will collect one hundred equity-linked products issued between 2006~2011 and classify them in to nine subjects. And then, choose one of them to price and analyze by Monte Carlo Simulation.Second, this article will do sensitivity analysis of volatility, to see how products future return affected by its stock returns volatility. And this article find that eights of ten products, the products value show an inverse relationship to volatility. So, this article further analyze what causes volatility affect product value in each subject.Finally, this article will do Back-testing , to see the product realized return. By analyzing equity linked products issued recent years , this article could lead investors grasp most of structured products quickly , and give a method to analyze why volatility cause product value changes. Use this article, we hope that investor can make investment decisions after realize more information about the products.
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