結構型商品評價與分析－ 以固定配息結構型商品為例

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Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/95164

Title:	結構型商品評價與分析－以固定配息結構型商品為例
Authors:	吳宛蓉;Wu, Wan-Rong
Contributors:	財務金融學系
Keywords:	結構型商品;蒙地卡羅模擬法;固定收益配息商品;Structure Note;Monte Carlo;FCN
Date:	2024-07-04
Issue Date:	2024-10-09 16:22:45 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文介紹了台灣近期結構型商品市場的概況並用蒙地卡羅模擬法評價三檔固定配息結構型商品(Fixed Coupon Note，簡述為FCN)。第一檔及第三檔商品主要發行目的為募集資金，故設計機制上選擇相關係數較高，較低的出場價格，有利於提前出場。第二檔商品則偏重於向投資人購買保護性賣權，兩個標的在發行前偏向盤整，並且設計出場價格為999%期初價格，因相關係數偏低，屬於當市場行情大好才視為標的下行風險解除，幾乎不可能提前出場。總結而言FCN為發行商為募集資金或發行保護性賣權的結構型商品，適合高風險承受度的投資人交易。;This article provides an overview of the recent structured product market in Taiwan and evaluates three Fixed Coupon Notes using the Monte Carlo simulation method. The first and third products are primarily issued for fundraising purposes, so their design mechanism selects a higher correlation coefficient and lower exit prices, facilitating early exit. The second product focuses on offering protective put options to investors. The two underlying assets tended to consolidate before issuance, and the exit price is set at 999% of the initial price. Due to the lower correlation coefficient, it is unlikely to achieve an early exit unless the market performs exceptionally well, mitigating the downside risk of the underlying assets. In summary, FCNs are structured products issued for either fundraising or providing protective put options, suitable for investors with high risk tolerance.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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