摘要 近年來，結構型商品的交易總額以驚人的速度逐年成長，但在2008年，萊曼兄弟投資銀行的突然倒閉事件，造成許多投資人遭逢巨大的損失且求償無門，目前市場上結構型商品的流通種類，以股權及利率連結的結構型商品所占的比例最高，在股權連結結構型商品方面，發行者常會藉由連結標的買賣權的組合與包裝，增加該商品的報酬與風險，進而提升該商品對於投資人的吸引力，在利率連結結構型商品方面，發行者常會透過該商品所附帶的提前贖回條款，使投資人無法完整的享受到其所標榜的高報酬，本文將透過股權蒙地卡羅模擬法以及LIBOR利率市場模型，分別對這兩種結構型進行拆解與評價，此外本文亦會站在發行者與投資人的角度，針對商品的發行與投資風險，進行分析與探討。AbstractPricing and analyzing the structured notes-Take the equity-linked note and interest-linked note as an exampleByLin, Ping Yang July 2012Recently, the trade volume of the structured product is increasing year by year. But during the 2008, the bankruptcy of Lehman Brothers Holdings cause many investors experience a huge loss and also cannot get the compensations. So far, here are two main types of structured product trading in the market, one is equity-linked note and the other is interest-linked note. In terms of equity-linked note, the issuers always try to increase its payoff and risk to make their products more attractive to investors by combining their products with call and put options. In terms of interest-linked note, the issuers always have the call provision to make sure that the investors cannot get the whole payoff which they announced before. This paper will decompose these two products and evaluate them through the Monte-Carlo simulation and Interest LIBOR Market Model. After that, we will also analyze and discuss the risks of these two products on the both buy side and sell side.
