結構型商品之評價與分析－以多資產股權連結債券為例

Pricing and Analysis of Structured Products-Multi-Assets Equity-Linked Notes

吳克(Ko Wu) ； 方顯光(Hsien-Kuang Fang) ； 楊振洲(Zhen-Zhou Yang) ； 林政一(Cheng-An Lin)

《全球管理與經濟》 9卷1期 (2013/06) Pp. 97-112

https://doi.org/10.6565/JGME.2013.9(1).5

摘要

本研究對象為兩檔股權連結債券：一為不可提前贖回之股權連結債券，一為滿足出場門檻即可提前出場的股權連結債券，以蒙地卡羅法進行模擬，評價其商品之理論價值及收益狀況。第一檔商品以相對寬鬆之出場門檻以及完全保本又有機會拿到12%之年報酬來吸引投資人，然則分析結果為投資人若持有本商品，有極高機會持有到期，只能得到0.2%之年報酬率，故發行商有相當之獲利空間；第二檔股權連結商品則連結四檔不同類型之股票，其報酬計算方式為取其每期報酬最佳者之平均並設定上界，以避免實際情況與發行商預測有所出入時，造成過大損失，有鎖定成本之功用，本商品發行目的實為一種波動度交易手法，發行商期望能透過夠大的波動度，使其股價在觀察日產生足夠大之負報酬抵消正報酬的觀察日，進而減少到期時所需支付之報酬，然從實際結果可知，本商品之波動度不如預期，投資人將能從本商品獲利。藉由上述兩商品之評價與分析，本文提供一種分析結構型商品之模式，作為投資人分析商品以及從業人員了解商品之參考。

關鍵字

結構式債券 ； 連動式債券 ； 股權連結債券 ； 保本型商品 ； 蒙地卡羅模擬

並列摘要

This article studies two structured products: a target redemption equity-linked note and an equity-linked note with no target redemption. We price these two products, analysis the risk and rewards through the Monte Carlo simulation. The first equity-linked notes appeal investors by setting a lower level to redemption, and paying high interests, but in fact, it cannot be redemped in advance before maturity because the stock prices of linked assets has poor performance. The second productslinked with four stocks with lower correlation, its payoff is decided by optimal return rate of the four linked equities in the four observation days, but it also have an upper bound to lock his costs. This product is a volatility trading product. The issuer hoped to earn some profits through higher volatility. However, the issuer had too larger expectation of the volatility of stock price, it didn't have such a higher volatility in the holding period of the note. Hence, it is a product benefits the investors. By taking a closer look at these two structured notes, we hope to provide a guideline for those who need decision-makings.

並列關鍵字

Equity-linked Notes ； Structured Notes ； Monte Carlo Simulation ； Principle Guaranteed Products ； Target Redemption