結構型商品之評價與分析－以自動提前贖回之利率連結債券及股權連結債券為例

The Pricing and Analysis of Structured Products： An Interest Rate-linked Note and an Equity-linked Note

黃郁仁(Yu-Ren Huang)

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

本篇論文研究對象為一目標累息式利率連結債券以及一自動提前贖回之股權連結債券，透過LIBOR市場模型，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。第一檔利率連結商品發行於利率相對低點，以高配息率來吸引投資人，但亦透過累息上限的設定來鎖定成本，期望以其對利率走勢及波動度之預期賺取報酬，然則實際結果為發行商誤判其波動程度，使投資人有獲利空間；第二檔股權連結商品則連結四檔金融股，以期初平均股價為上界，一旦任一評價日之平均股價高於此界限，便會提前到期出場，以之鎖定成本，而本商品之之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，使其平均股價在存續期間內觸及下限價格，則若到期時平均股價未能回復至期初平均股價之水平，發行商便能以此獲利，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，本文提供了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

自動提前贖回 ； 連動式債券 ； 對數常態遠期利率 ； 目標累息式 ； 利率模型 ； 結構型債券

並列摘要

This article studies two kinds of structured products: a target redemption interest rate-linked note and an equity-linked note. Through LIBOR market model and Monte Carlo simulation to analysis the risk, rewards and pricing these two products. The interest rate linked notes appeal investors by paying high interests, but it also have an upper bound to lock his costs. The issuer hoped to earn some profits through higher volatility. However, the LIBOR rate didn’t have such a higher volatility in the holding period of the note. It is a product benefits the investors. The equity-linked note linked to four financial stocks, it used the initial average price as a barrier. Once the average price at any pricing day is larger than the initial average price, the investors would receive eighteen percents annual rate interests and their principle. This product is also a volatility trading product. The issuer could earn some profits if the average price touched the lower bound of price. But the issuer had too larger expectation of the volatility of stock prices. Finally, the average price didn’t touch the lower bound, hence it also benefits the investor. 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

target redemption ； LIBOR Market Model ； Interest Rate-linked Notes ； Equity-linked Notes

參考文獻

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8.謝曜謚(2009)，累計贖回固定期限交換利率票券與數據資產股權連動債券之分析，政大金融所碩士論文

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