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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/66845

    Title: 結構型商品之評價與分析 ―以多資產股權連結結構型商品與保息型匯率連結結構型商品為例
    Authors: 丁于芝;Ting,Yu-chih
    Contributors: 財務金融學系
    Keywords: 結構型商品;股權連結;匯率連結;蒙地卡羅模擬法;雙元貨幣定存;structured commodity;equity-linked;FX-linked;Monte Carlo simulation;dual currency deposit
    Date: 2015-01-28
    Issue Date: 2015-03-16 15:48:55 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 近年來結構型商品越來越興盛,要如何在眾多投資標的中,找到適合自己風

    ;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.
    Appears in Collections:[財務金融研究所] 博碩士論文

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