結構型金融商品之評價與分析—以多資產股權連動債券與CMS利差連動債券為例

Evaluation and Analysis of Structured Financial Products－multi-asset equity-linked products and CMS spread-linked products

蔡昱宏(Yu-hong Cai)

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(2012年)

摘要

本篇論文主要分析兩檔結構型債券，分別為多資產股權連結型商品與CMS利差連結型商品。
首先在多資產股權連結型商品的部分，本商品連結萬事達卡、湯森路透、與紐約-泛歐交易所三間公司的股價，以提前出場的高額利息吸引投資人購買。本文先推導出風險中立下的資產動態過程，再以蒙地卡羅模擬法進行模擬。透過模擬的結果可以發現雖然有56.29%的機率得到優渥報酬，但虧損時將產生巨大損失，是投資人需要注意的。最終本商品遭遇金融海嘯，導致投資人只能拿回27.44%的本金，損失是相當巨大的。
而在CMS利差連結型商品的部分，連結了CMS10年期與CMS30年期利差的五十五倍，讓投資人期待可能的高額利息。本文以LFM模型進行分析，透過蒙地卡羅模擬，看出以目前的市場狀況，其實利差是非常小的，所以商品的價值相當低落。更由於提前贖回條款的緣故，即便市場環境改變，發行商也將透過提前贖回的方式，讓投資人無法得到高額利息。
本文藉由分析市場上常見的商品，提供市場參與者分析商品的方法，期望能使投資人進行投資時，能更完整的了解商品，進行投資。

關鍵字

結構型商品、蒙地卡羅模擬法、最小平方蒙地卡羅模擬法、LIBOR市場模型

並列摘要

This article will study two kinds of structure notes, respectively, multi-asset equity-linked products and CMS spread-linked products.
The first part of the multi-asset equity-linked products, the product link MastertCard, Thomson Reuters, and NYSE Euronext three company’s stock price. Use the early appearance of high interest to attract investors. This article derive the assets’ dynamic process under risk-neutral, and use the Monte Carlo simulation method to simulate. Through the simulation results can be found in 56.29% probability of generous compensation, but investors need to pay attention to the possible huge losses. This product was finally affected by the financial tsunami, the investors can only get back 27.44% of the principal.
In the part of the CMS spread-linked products, linked to the CMS 10 years and CMS 30 years spread’s fifty five times, so that investors can expect possible high interest rates. In this paper, we use the LFM model and Monte Carlo simulation method to find the value of goods was very low because the interest rate spread was very small in that time. Because of the early redemption provisions, even if the changing market environment, investors can not get high interest rates.
Use the method to analysis of market goods, the investors can make investment decisions under more complete information.

並列關鍵字

Structure note、Monte Carlo simulation、least-squa

參考文獻

3、 鄭昭佑﹝2009﹞，自動提前贖回結構商品之評價與分析—以CMS連結債券與股權連結債券為例，政大金融所碩士論文

5、 劉冠男﹝2010﹞，結構型商品之評價與分析—多資產股權連動結構型商品與外幣組合式結構型商品，台北大學統研所碩士論文

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