結構性商品之風險衡量解構

這幾年來主管機關為了要加速金融體系的發展，開放了許多新穎的金融業務，以建立金融市場的完整性。我國於2003年7月起開放以新台幣計價之「股權連結商品」及「保本型商品」，加上當時利率較低及銀行理財專員的大力推薦之下，連動債在國內市場相當熱賣。本篇文章的研究目的為分析連動債的風險，藉以幫助投資人能判斷商品的真實風險。本篇文章模擬市場上十一項商品，藉由不同的選擇權形式對其訂價，並利用歷史模擬法、變異數-共變異數法及蒙地卡羅模擬法進行風險值的估計，並同時計算邊際風險值及增量風險值來衡量其風險。研究發現，若是投資標的為股票的商品，其風險函數的變異程度較高，較難進行風險控管，若是能加入較多的投資標的，其風險分散的效果會較好。另外，投資於已開發國家的主要指數之風險並不會低於新興國家，這樣的結果也與定價策略有關係，若是定價策略只包含一種選擇權的商品其風險值可能較組合式選擇權的商品高。看似穩定的利率型商品，雖然它的風險函數不高但是變異程度相當高，這樣的商品對於投資人而言風險較大，較難掌控其風險值。大多數的投資人認為風險性較高的石油商品若是能經由適當的定價策略，其風險變異程度並不會高於其他商品，也就是說較容易實行風險管理。整體而言，若是能夠先行了解商品的訂價策略及投資標的，將有助於產品的選擇。

關鍵字

風險值；歷史模擬法；變異數-共變異數法；蒙地卡羅模擬法；邊際風險值；增量風險值

並列摘要

In order to accelerate the development of the finance market, the authorities deregulated some rules and launched many new products recently. Equity-Linked Notes and Principal-Guaranteed Notes on NT dollars were deregulated in 2003. Besides, the interest rate is relatively low and structured notes are highly promoted by financial planner. Due to the above reasons, structured notes are very popular in financial market. The goal of this paper is to clarify the risk of structured notes which is sold in the market. We also hope this paper can help investors to determine the true risk of each product. We simulated eleven products in this paper and price each product via different pricing strategy and calculate Value at Risk (VaR) by historical estimation, variance-covariance estimation and Monte Carlo simulation. Moreover, we also conduct Marginal VaR and Incremental VaR to access it risk. From this paper, we find that if the underlying asset is stock, the coefficient of variance in risk will be relatively high of all. It means that it is difficult to conduct the risk management. As we know, if the product has more underlying assets, the effect of diversification will be more significant. However, the risk of main indices in developed countries is not lower than emerging countries. This result is counterintuitive and the reason may be related to the pricing strategy. The risk will be relatively high if the pricing strategy only contains single option. The underlying asset of interest rate seems much more stable than others but we find that the coefficient of variance in risk is relatively high of all. Most investors believe that the product of oil will have higher risk than others. However, we find that the variance of risk will be low if the pricing strategy is appropriate. Overall, analyzing the product’s pricing strategy and underlying asset correctly, it will help investors to make a good decision.

並列關鍵字

Value at Risk, ； Historical estimation ； Variance-covariance estimation ； Monte Carlo simulation ； Marginal VaR ； Incremental VaR

參考文獻

Ammann, Manuel and Christian Reich, 2001, VaR for Nonlinear Financial Instruments -Linear Approximation or Full Monte Carlo? Journal of Financial Markets and Portfolio Management 15, 262-278

Basak, Suleyman and Alex Shapiro, 1999, Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices, Working paper, The Wharton School

Campbell, Rachel, Ronald Huisman, and Kees Koedijk, 2001, Optimal Portfolio Selection in a Value at Risk Framework, Journal of Banking & Finance 25, 1789-1804

Charpentier, Arthur and Abder Oulidi, 2007, Estimating Allocations for Value-at-Risk

Portfolio Optimization, Working paper

國際替代計量

結構性商品之風險衡量解構

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