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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/68527


    Title: 人民幣衍生型商品DKO & TRF;RMB derivative products Target Redemption Forward and Discrete Knock-Out Forward
    Authors: 吳學賢;WU,Syue-Sian
    Contributors: 財務金融學系在職專班
    Keywords: 衍生性商品;歐式觸及出場遠期合約;目標可贖回遠期契約;蒙地卡羅模擬法;Derivative;DKO;TRF;Monte Carlo simulation
    Date: 2015-07-29
    Issue Date: 2015-09-23 11:58:17 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 以導論方式說明研究背景與目的,此後帶到TRF歷史事件背景,事件發生後的懲處與改進。各銀行對於衍生性商品的銷售行為更加嚴謹。之後章節闡述衍生性商品的發展過程跟衍生性商品的定義、種類、金融機構對於衍生性商品的管理方式。研究方法為使用對外匯模型的設定,藉由蒙地卡羅近一萬次的模擬、波動度的估計,來評價DKO與TRF商品的優劣勢。

    近幾年人民幣匯率單邊的升值走勢,使得以人民幣計價和相關連結的人民幣商品日趨複雜,投資人在做相關投資時對於匯率變動所產生的巨大風險往往忽略低估。本研究以投資人角度與發行商的角度分析DKO商品與TRF商品對投資人與發行商的利弊,使雙方在對於承做商品時有不同角度來判斷商品的好壞。
    ;The article begin with explaining the background and purpose, then to TRF events background, punishment and improvement after the incident. Banks become more rigorous for the sale of derivative products. And then chapter describes the development of derivative products, definition of commodity derivatives, types of financial institutions for the management of derivative products. For the research method part is using Monte Carlo method to simulate and estimate volatility for nearly million times in order to evaluate the advantages and disadvantage of DKO and TRF products.

    In recent year, the trend of the RMB exchange rate appreciation unilateral, so the RMB related investment become complicate. Hence people do tend to ignore or underestimate the enormous risk of changes in exchange rates arising. Using the perspective of investors and issues to evaluate the pros and cons of the DKO and TRF products. So they can judge the products with different viewpoints when done deals.
    Appears in Collections:[財務金融學系碩士在職專班] 博碩士論文

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