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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/67536

    Title: 結構型商品評價與分析─以匯率及多資產股權為例;The analysis of structured notes
    Authors: 許家君;Hsu,chia-chun
    Contributors: 財務金融學系在職專班
    Keywords: 結構型商品;蒙地卡羅法;Structure note;Monte Carlo simulation
    Date: 2015-06-23
    Issue Date: 2015-07-30 21:05:13 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 本研究探討兩檔結構型商品─匯率連結組合式存款、多資產股權連結結構型商品,藉由蒙地卡羅法衡量其訂價過程並分析商品的敏感性因素,提供投資人了解結構型商品組成之意涵,並作出有利的決策。

    ;This article study two structured notes, respectively, a premium guaranteed currency-linked note and multi-asset-equity-linked note. Via Monte Carlo method, simulate the pricing and analysis the sensitivities of the products. Help the investors to realize the components of structured notes and to make a better decision.
    The first product: premium guaranteed currency-linked note was launched in 2011. The research via Monte Carlo method simulation found that the issuer would gain merely 3 percent profits. However, on the investors stand, this is fair contract. On the other hand, the investor should has his or her own point of view with the future exchange rate between deposit currency and alternate currency and think about how to make good use of holding currency once the home currency converted to linked currency.
    The second product: ten-year multi-asset-equity-linked note was launched in 2007. The research via Monte Carlo method simulation found that as followings:
    1. The correlation between linked equities is low.
    2. The product pricing is too high.
    3. The issuer would gain 19.79 percent fee.
    After half year of the issue date, it happened financial crisis and the whole world stock market was weak. Afterwards, one half of the linked equities’ prices fell because of major crisis: taken over and broken. The fore mentioned were against investor’s situation. According to the actual data, the product is still alive if the investors enter this contract.
    This article would provide the references to help the investors to realized the core meaning of the products which promoted by the financial institutions

    key word: Structure note、Monte Carlo simulation
    Appears in Collections:[財務金融學系碩士在職專班] 博碩士論文

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