| 摘要(英) |
This study concentrates on the valuation and risk analysis of three distinct offshore structured product types: Fixed Coupon Notes (FCN) linked to equities, which is the most popular type of structured product in Asia; Bearish Sharkfin, a principal-protected structured product linked to an index; Dual Currency Notes (DCN) related to foreign exchange. Initially, the study analyzes the target investors and characteristics of each product, assuming the underlying price processes follow Geometric Brownian Motion and considers various factors such as product terms, volatility, risk-free rates, exchange rates, and correlation coefficients. The Monte Carlo simulation method is employed to model the stochastic process of the underlying assets, the expected returns from all sim-ulation outcomes are calculated, factoring in both market and issuer risks. The risk-free interest rate, augmented by the Credit Default Swap (CDS) rate of issuers, is applied as the discount rate to bring all expected returns to initial price, determining the theoretical value of the products. Utilizing the simulation results, the study calculates the probabil-ity of occurrence and expected returns for different scenarios within each product. Ul-timately, all potential outcomes are organized from the least to the most significant and are used to compute the Value at Risk (VaR) and Conditional Value at Risk (CVaR), these measures are designed to estimate the maximum loss at a given probability and the average loss when the loss exceeds a specific VaR condition. |
| 參考文獻 |
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