結構型商品之評價與分析 ―以多資產股權連結結構型商品與保息型匯率連結結構型商品為例

丁于芝(Yu-chih Ting)

指導教授 ： 吳庭斌

國立中央大學/管理學院/財務金融學系/碩士(2015年)

摘要

近年來結構型商品越來越興盛，要如何在眾多投資標的中，找到適合自己風
險屬性之商品，對投資人來說日益重要。本論文選擇目前市面上常見的股權連結
結構型商品與雙元貨幣定存來做評價與分析，以期讓一般投資人能更為了解結構
型商品的真實報酬情形，及潛在的投資風險。

本文所評價的兩個商品為元大證券股份有限公司所發行的「月月豐收股權連
結商品」與彰化銀行所發行的「保息型雙元貨幣債券」，依據商品報酬型態，拆
解兩檔商品之組成結構，並站在投資人與發行商的角度分析其動機。本文以蒙地
卡羅模擬法評價兩檔商品，並回溯測試前後兩年觀察模擬結果之穩健性，分析和
探討標的資產價格、標的波動率及標的資產間相關性等參數變化，對商品價值之
影響，使投資人在經濟數據發生變化能有警覺，且對商品之投資風險進行說明。
最後附上商品實際收益情形，與模擬結果作對照。

關鍵字

結構型商品 ； 股權連結 ； 匯率連結 ； 蒙地卡羅模擬法 ； 雙元貨幣定存

並列摘要

In recent years, more and more structured trade flourished. How to find suitable properties of commodity risk from lots of investment targets? It is increasingly important to investors. This paper chooses the current common market commodity, like equity-linked notes and dual currency deposit, to evaluate and analyze. Hope to let people know more about the general investment market structured commodity remuneration patterns, and potential investment risks.

This paper evaluated the two commodities for the issuance of Yuanta Securities Co., Ltd. "bumper month equity linked notes" and Chang Hwa Bank issued "yield-enhanced dual currency deposit," according to commodity remuneration
patterns, dismantling two commodity composition structure of files and standing investors and issuers perspective of their motivation. In this paper, to evaluate two structured commodity by Monte Carlo simulation. The simulation results were observed between the two years before the back-testing the robustness of the analysis and discussion of the underlying asset price, the underlying volatility and correlation of the underlying asset, such as parameters change, the impact on the value of the goods, the person has to make the investment in the economic data changes can have alerted Goods of investment risk and will be explained, and finally attach the actual earnings situation of goods, with the simulation results for comparison.

並列關鍵字

structured commodity ； equity-linked ； FX-linked ； Monte Carlo simulation ； dual currency deposit

參考文獻

陳芊如(2004)，股價連動式債券之評價與投資風險分析，中原企管所碩士論文，民國九十三年六月。

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Longstaff, Francis A., and Eduardo S. Schwartz, 2001, “Valuing American options by simulation: A simple least-squares approach.” Review of Financial studies, 14.1 , 113-147.