本研究以三檔非保本短天期股權結構型商品作為研究目標，採用現行市場上主流之數值方法：蒙地卡羅模擬法進行評價，並搭配敏感度因子及風險值計算等方式進行風險分析。 第一檔商品為「短期自動提前贖回結構型商品 Autocall Short Term Accrual Redemption Notes」，其特別之處在於商品若未被發行商提前贖回，於到期日時需進行前6個月的區間比價以決定取回本金之比例，並設有50%的最大本金損失保護。 第二檔商品為「多到期日可贖回每日入局ELN結構型商品 Callable Daily Kick-in Variable Maturity Equity Linked Notes」，本商品若未被發行商提前贖回，於到期日時將依據入局（Kick-in）條件是否成立，並搭配其他條件以決定投資人能取回全部本金或強制進入轉換事件。 第三檔商品為「累計期權 Accumulator」，本商品將每日進行比價，如果標的資產股價大於履約價，則投資人將用履約價購買一定數量之股票；反之，標的資產股價小於履約價，則投資人也必須以履約價購買一定數量2倍之股票。 本研究期待透過系統化的分析，讓投資人能以正確的觀念去看待結構型商品，並在追求報酬之前，先釐清商品內含之風險，以避免無謂的損失。 ;This paper uses Monte Carlo simulation, the one of the main numerical methods in the market, pricing three short term non-principal protected equity structured products, and also analyze by sensitivity factors and value-at-risk calculation. The first product is ”Autocall Short Term Accrual Redemption Notes”（a.k.a. STAR）. If this product isn’t early redeemed upon autocall, range accrual principal redemption at maturity observed during the last 6 months with a minimum redemption equal to 50%. The second product is “Callable Daily Kick-in Variable Maturity Equity Linked Notes”. If this product isn’t early redeemed as well, principal redemption or conversion at maturity depend on kick-in event and other conditions. The third product is “Accumulator”. The strike price of the product will be compared with the market price of the underlying share on a daily basis. If the market price is equal to or greater than the strike price, investor will purchase X units of underlying share at strike price, but if the market price is less than strike price, investor have to purchase 2X units of underlying share at strike price. This paper hopes that can bring investors the correct ideas of structured products. Investors should understand the implied risk before chasing investment returns. To avoid the unnecessary loss.
