金融商品評價與風險分析：一籃子資產結構型商品與匯率衍生性商品為例

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/77272

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/77272

Title:	金融商品評價與風險分析：一籃子資產結構型商品與匯率衍生性商品為例
Authors:	蔡明宏;TSAI, MING-HUNG
Contributors:	財務金融學系在職專班
Keywords:	結構型商品;蒙地卡羅模擬;敏感性分析;Structured product;Monte Carlo Simulation;Sensitivity Analysis
Date:	2018-07-20
Issue Date:	2018-08-31 14:29:29 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究將針對國內新種金融商品發展歷程為出發點，透過介紹結構型商品，檢視若欲投資商品應知悉可能影響或承擔之各種風險因素。文中將以近期台灣金融市場高度關注兩類商品作為案例：「目標可贖回遠期契約 (Target Redemption Forward, TRF) 」以及ETF結構相似之「一籃子股權結構型商品(Basketed Equity Linked to Note)」。透過相似結構之商品來解釋結構型商品隱含其投資價值影響因子與定價的原則，使投身於此類商品之投資人能充份了解影響該商品的投資風險，進而令此類金融商品更能廣泛被市場大眾了解並接受。定價方法將參考Black-Scholes Model，搭配蒙地卡羅模擬進行商品評價，進行敏感度分析，藉以充份了解影響結構型商品因子。;This paper focuses on structured products and investigates the risk investors may take when they buy these products. Following chapters start from introducing the development of structured products. After, the paper use two products, Target Redemption Forward and Basket Equity Link to Note, as case studies. By explaining factors which affect the investment value and the principle of pricing, this paper can help investors who buy this kind of products fully understand the risk they may take and then makes these products more acceptable. In order to understand factors that affect structured products thoroughly, this paper not only prices these products by using Black-Scholes model and Monte Carlo simulation, but also does sensitivity analysis.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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