近年來各金融機構均積極透過財務工程的技術，從事新金融商品的開發，以滿足投資人理財的需求，其中依投資人不同的投資偏好及風險忍受度，以拆解或組合選擇權搭配零息債券的方式所設計出高收益或保本的結構型商品，在最近幾年全球利率持續走低下，已造成投資風潮。 本文首先介紹結構型商品的定義與架構、國外和國內結構型商品發展，及結構型商品的種類，並分析高收益票券和保本型商品的運作方式和投資結構型商品的風險。其次，我們介紹結合外幣定期存款與外幣匯率選擇權的結構型商品，最後以保本型與加值型組合式外幣定期存款進行個案研究，由於其連結之選擇權形態與保本方式不同，將分別討論其商品架構與訂價方式、損益與避險參數分析，讓投資人認知該金融商品設計之重點與其所面臨的風險。 Recently financial institutions aggressively developed new financial products through the financial engineering technology to meet all kind needs of investors. Due to the global interest rate going down, the most popular structured products are high-yield notes and principal-guaranted notes , which are either tailor-made or the synthsis of options and zero coupon bonds. In the first part of this thesis,we introduce the definition and framework of structured products, the recent development of local and overseas structured products, the classification of structured products. And we also demonstrate their operations of high-yield notes and principal-guaranted notes,and the risk of these products. Second, we introduce structured products which are linked to foreign currency deposit and FX options. Finally, we use the foreign currency structured deposit as a case study. Since these innovative products are different in financial engineering from traditional ones, we discuss the product framework, pricing methodology, profit/loss analysis and hedging parameters analysis separately. This analysis brings investors have a clear picture about risk and design of these structured products.
