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

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題名:	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
作者:	許家君;Hsu,chia-chun
貢獻者:	財務金融學系在職專班
關鍵詞:	結構型商品;蒙地卡羅法;Structure note;Monte Carlo simulation
日期:	2015-06-23
上傳時間:	2015-07-30 21:05:13 (UTC+8)
出版者:	國立中央大學
摘要:	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。第一檔商品為2011年所發行的連結外匯選擇權的保息不保本的雙元貨幣存款，經過本研究後，進行蒙地卡羅模擬商品訂價可發現，銀行發行此商品僅獲得大約3%的收入，但就投資人立場，是為一公平契約。另一方面，消費者欲購此商品，要對計價幣別與連結貨幣之間的匯率趨勢有所看法且要考慮一旦投資的存款被轉換時，如何活化持有的貨幣。第二檔2007年所發行的10年美元計價個股連結型結構型債券，經由蒙地卡羅法將歷史資料模擬後，可發現連結標的相關程度不高，商品訂價過高，發行商可獲得19.79%的手續費收入，加上商品發行後，遇到2008年的金融海嘯，全球股票不佳，随後，又有半數的標的，公司發生重大變化─被收購或宣布破產，使得股價表現不佳，這些都是不利投資人的因素，透過發行後實際資料計算，若投資此檔商品，至今未能出場。本研究期望投資人，在接受金融機構提供結構型商品的推廣的同時，了解商品的真實內容及風險所在。關鍵字:結構型商品、蒙地卡羅法 ;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
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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