本文所評價的兩個商品為元大證券股份有限公司所發行的「月月豐收股權連 結商品」與彰化銀行所發行的「保息型雙元貨幣債券」，依據商品報酬型態，拆 解兩檔商品之組成結構，並站在投資人與發行商的角度分析其動機。本文以蒙地 卡羅模擬法評價兩檔商品，並回溯測試前後兩年觀察模擬結果之穩健性，分析和 探討標的資產價格、標的波動率及標的資產間相關性等參數變化，對商品價值之 影響，使投資人在經濟數據發生變化能有警覺，且對商品之投資風險進行說明。 最後附上商品實際收益情形，與模擬結果作對照。 ;In recent years, more and more structured trade flourished. How to find suitable properties of commodity risk from lots of investment targets? It is increasingly important to investors. This paper chooses the current common market commodity, like equity-linked notes and dual currency deposit, to evaluate and analyze. Hope to let people know more about the general investment market structured commodity remuneration patterns, and potential investment risks.
This paper evaluated the two commodities for the issuance of Yuanta Securities Co., Ltd. ”bumper month equity linked notes” and Chang Hwa Bank issued ”yield-enhanced dual currency deposit,” according to commodity remuneration patterns, dismantling two commodity composition structure of files and standing investors and issuers perspective of their motivation. In this paper, to evaluate two structured commodity by Monte Carlo simulation. The simulation results were observed between the two years before the back-testing the robustness of the analysis and discussion of the underlying asset price, the underlying volatility and correlation of the underlying asset, such as parameters change, the impact on the value of the goods, the person has to make the investment in the economic data changes can have alerted Goods of investment risk and will be explained, and finally attach the actual earnings situation of goods, with the simulation results for comparison.
