股價連動式債券之評價與投資風險分析

The Valuation and Risk Analysis of Structured Notes

陳芊如(Chien-Ju Chen)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2004年)

https://doi.org/10.6840/cycu200400252

摘要

隨著微利時代的來臨，兼具獲利及保本的連動式債券遂成為市場上熱賣的商品。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」，藉以推動我國金融市場多元化的發展，讓投資人有更多樣化的選擇。由於連動式債券條款之設計越來越多樣化，投資人該如何篩選出符合需求且有利的商品？成為本研究之主要動機，而本研究之目的在於進行股價連動式債券之評價，並分析影響理論價值的各項因素。其次，加入新奇選擇權後，股價連動式債券的契約條款越加複雜，本研究亦嘗試評價不同契約形式的選擇權，對股價連動式債券之價值有何影響？最後，以風險值衡量投資者持有股價連動式債券可能造成的最大損失為何？
本研究以蒙地卡羅模擬法進行評價及風險值的估計，結果發現，不同形式的選擇權確實會影響商品的價值，且連動多檔標的之商品會受標的物多寡、產業特性、及標的屬性之影響。風險值之估計結果方面，本研究發現股權連結商品之風險值波動較大，獲利潛力亦較大，但風險也較高；由於保本型商品具有保本特性，其風險值固定，因此投資人損失亦有限，但獲利無限。在敏感度分析方面，存續期間是影響商品價值之最大因素，且連動多標的商品之投資組合的波動率亦會影響商品之價值。
整體而言，金融商品不斷推陳出新，在標榜「保本」及「高獲利」之口號下，投資人應依本身對風險的規避程度選擇適當之商品，並對商品有深入了解，充分明白可能遭受的投資風險。

關鍵字

保本型商品 ； 蒙地卡羅模擬法 ； 股權連結商品 ； 風險值

並列摘要

Structured notes with the characteristics of both profitability and principle protection are more and more popular during the low interest rate period. As Equity-Linked Notes and Principal-Guaranteed Notes on NT dollars were deregulated in 2003, Taiwan’s financial market enlarged and let investors have more financial products to hedge risk to make and invest. As the variety if structured notes have been developed, the investors should properly select the financial commoditie which is best suitable for them, and it becomes the major motivation of this work. This study focuses on the valuation of structured notes and analyzes the key factors of structured notes. Furthermore, this investigation also evaluates the impact of the options with different contracts on the value of the structured notes as the structured notes with exotic option is getting more and more complicated. Finally, this study calculates the Value at Risk VaR to measure the risk of structured notes.

This work uses the Monte Carlo Simulation model to evaluate the pricing and calculate VaR of structured notes. The empirical results show that different types of options will influence commodity price. Additionally, the structured notes linked multi-underlying commodities will be affected by the number of commodities, the industry and the products characteristics. The result indicates that, the volatility of VaR of equity-linked notes is greater than that of principle-guaranteed notes but it has a greater potentiality also. This investigation also finds the VaR of principal-guaranteed notes is more stable due to the characteristics of principle protection. Consequently, the loss of investors is limited. Finally, after using the sensitivity analysis, the result demonstrates that duration is a major factor to affect the value 0f the commodity.

In summary, as financial commodities are issued and innovated continually, structured notes emphasized their “principle protection” and “high profitability” characteristics. Investors should select appropriate commodities based on individual’s attitude toward risk. Furthermore, investors should make their efforts to realize the characteristics and the risk of the commodity before they make any investments.

並列關鍵字

Structured Notes ； VaR. ； Monte Carlo Simulation ； Principal-Guaranteed Notes ； Equity-Linked Notes

參考文獻

廖四郎、康榮寶、張嘉倩，2003，「保本型票券之定價及避險策略」，證券暨期貨管理，第21卷第7期，頁1-12。

陳威光、林家帆，2003，「保本型商品的評價與分析」，台灣金融財務季刊，第4輯第3期，頁13-39。

羅旭華，2003，「結構型債券之探討」，台灣金融財務季刊，第4輯第2期，頁161-173。

Baubonis, C., G.. Gastineau, and D. Purcell, 1993, “The Banker’s Guide to Equity-Linked Certificates of Deposits” Journal of Derivatives, Vol. 1, 87-95.

Beder, T. S., 1995, “VAR：Seductive but Dangerous,” Financial Analysts Journal, Vol. 51, 12-24.