結構型商品評價與分析─匯率與股權結構型商品;The analysis of structured notes

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题名:	結構型商品評價與分析─匯率與股權結構型商品;The analysis of structured notes
作者:	林保宏;Lin,Pao-Hung
贡献者:	財務金融學系在職專班
关键词:	結構型商品;匯率連結;股權連結;structured notes;foreign-currency-linked;equity-linked
日期:	2016-07-27
上传时间:	2016-10-13 13:51:56 (UTC+8)
出版者:	國立中央大學
摘要:	摘要本研究探討三檔結構型商品─連結外匯選擇權之結構型商品、雙資產股權連結結構型產品及累積買進股權結構型商品，藉由蒙地卡羅模擬法衡量其訂價過程，並分析商品的敏感性因素，提供投資人了解結構型商品組成的意涵，並作出有利決策。第一檔商品為連結外匯選擇權的保息不保本的雙元貨幣存款，投資人必須能掌握基礎貨幣及替代貨幣匯率走勢，且評估轉換成替代貨幣後如何運用，經過蒙地卡羅模擬商品訂價得知，銀行發行此商品獲利微薄，而投資人則須評估在該商品的高轉換機率之下，該商品所提供之報酬是否符合預期。第二檔為2013年所發行的一年期美元計價區間計息定期觀察自動提前出場之個股連結型結構型債券，採用歷史資料進行蒙地卡羅模擬後，雖結構型商品載明遠高於一年期定存之收益率，然投資人未必能取得完整收益率，且必須承受其風險。第三檔為2007年所發行的1.5年期累積買進股權連結型結構型商品，發行商藉以連結標的的折價出售方式銷售，然依據歷史資料進行蒙地卡羅分析後，投資人未必能獲得預期報酬率。本研究期望投資人，在接受金融機構提供結構型商品的推廣的同時，了解商品的真實內容及風險所在。 ;Abstract This study analyzes three structured notes, a foreign currency-linked note is the first one, the following comes to a multi-asset-equity-linked note and the last one is cumulative equity-linked note. This study decomposes the pricing process of these structured notes and analyzing sensitivity factors by Monte- Carol simulation method. This study provides more ideas of structure products for investors to make better decisions in future. The first product, foreign currency-linked note, was an interest-guaranteed product and was launched in 2016. Through Monte-Carol method simulation, this study figured out the issuers would get meager profit and investors may stuffer loss due to the high probabilities of converting deposit currency into alternative currency. The investors need to think the usage of alternative currency if the conversion has been triggered. The second product, the one-year range-accrual note, was launched in 2013. The yield of structured note was much higher than a one-year-deposit interest rate. Via Monte-Carol method simulation, this study found investors have to stand the volatility risk of underlying stock but could not earn the interest of nominal yield which they expected. The third product, the one-and-half-year cumulative equity-linked structured note, was launched in 2007. This note was sold with a discount of market price of security. The Monte-Carol method simulation shows investors may not get the expected return. This article would provide the reference of structured notes to help investors to have much understanding of financial instrument which promoted by the financial institutions.
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