透過本文的研究，儘管商品條款合理，有保護機制且獲利機率高，並且比一般投資商品有更高的利息，但結果往往不如預期般理想，投資人所承受的風險未必能完整反應在預期報酬上，透過分析不同商品的實際表現，提供投資者更深入的決策參考，以適應市場變化和降低風險。 ;Derivatives were originally designed for hedging, but with growing secondary market demand, financial institutions have introduced various derivatives to meet this demand. The COVID-19 pandemic′s monetary injections by central banks have renewed the popularity of structured products. This research evaluates equity-linked structured products, focusing on three fixed coupon notes (FCN) confirmed by financial institutions.
The valuation model for structured products typically includes zero-coupon bonds and the Black-Scholes pricing model. This study uses Monte Carlo simulations for valuation, along with sensitivity analyses and value-at-risk (VaR) calculations for risk analysis. Theoretical prices and actual market performance of the products are analyzed by modifying contract terms.
The first product links to highly volatile and correlated stocks, with an expected profit probability of 76.81%. However, physical delivery led to significant value declines and continuous losses. The second product was expected to yield full interest for twelve months but only provided one month′s interest, exposing investors to reinvestment risk. The third product features step-down knock-out and knock-in mechanisms, with a simulated success rate of 87.69%. Despite high success rates, short-term holdings resulted in low profits and potential maximum losses exceeding half of the investment.
This study shows that despite reasonable product terms, protective mechanisms, and high profit probabilities, the outcomes often fall short of expectations. The risks borne by investors may not be fully reflected in expected returns. By analyzing actual product performance, this research provides investors with insights to adapt to market changes and reduce risks.
