以蒙地卡羅模擬法進行股權連結債券的評價與分析

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題名:	以蒙地卡羅模擬法進行股權連結債券的評價與分析
作者:	林明慧;Lin, Ming-Hui
貢獻者:	財務金融學系在職專班
關鍵詞:	結構型商品;蒙地卡羅模擬;風險值;Structured products;Monte Carlo simulation;Value-at-Risk (VaR)
日期:	2024-07-29
上傳時間:	2024-10-09 16:26:21 (UTC+8)
出版者:	國立中央大學
摘要:	衍生性商品最初是設計為避險工具，隨著次級市場需求的擴張，許多金融機構開始引進或自行設計各類衍生性商品，以應對日益蓬勃的市場需求。加上新冠疫情導致央行大規模投放資金，結構型債券再度在市場上熱銷。本篇論文將以股權連結債券為主題，挑選在金融業確定成單三檔固定配息、連結股票的結構型商品(FCN)進行評價分析。結構型商品的評價模型通常由零息債券和Black-Scholes定價模型組成，本文將使用蒙地卡羅模擬進行評價，並結合敏感度因子和風險值計算等方法進行風險分析，並在後面的研究章節中，將透過修改商品條款合約來分析商品的理論價格及商品在市場之後的實際表現。第一檔商品連結高波動、高相關性的股票標的，預期76.81% 的獲利機率，實際上投資人承接股票後，股票價值大幅下跌，持有者面臨持續虧損；第二檔商品預期領取完整十二個月配息，實際上僅領取一個月利息，面臨再投資風險；第三檔特點在於階梯式自動提前出場及下限價保護，模擬勝率高達87.69 %，然而短期持有卻獲利低，最大風險可能損失超過一半以上的金額。透過本文的研究，儘管商品條款合理，有保護機制且獲利機率高，並且比一般投資商品有更高的利息，但結果往往不如預期般理想，投資人所承受的風險未必能完整反應在預期報酬上，透過分析不同商品的實際表現，提供投資者更深入的決策參考，以適應市場變化和降低風險。 ;Derivatives were originally designed for hedging, but with growing secondary market demand, financial institutions have introduced various derivatives to meet this demand. The COVID-19 pandemic′s monetary injections by central banks have renewed the popularity of structured products. This research evaluates equity-linked structured products, focusing on three fixed coupon notes (FCN) confirmed by financial institutions. The valuation model for structured products typically includes zero-coupon bonds and the Black-Scholes pricing model. This study uses Monte Carlo simulations for valuation, along with sensitivity analyses and value-at-risk (VaR) calculations for risk analysis. Theoretical prices and actual market performance of the products are analyzed by modifying contract terms. The first product links to highly volatile and correlated stocks, with an expected profit probability of 76.81%. However, physical delivery led to significant value declines and continuous losses. The second product was expected to yield full interest for twelve months but only provided one month′s interest, exposing investors to reinvestment risk. The third product features step-down knock-out and knock-in mechanisms, with a simulated success rate of 87.69%. Despite high success rates, short-term holdings resulted in low profits and potential maximum losses exceeding half of the investment. This study shows that despite reasonable product terms, protective mechanisms, and high profit probabilities, the outcomes often fall short of expectations. The risks borne by investors may not be fully reflected in expected returns. By analyzing actual product performance, this research provides investors with insights to adapt to market changes and reduce risks.
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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