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研究生： 林秉洋
Ping-yang Lin
論文名稱： 結構型商品之評價與分析-以股權及利率連結商品為例
Pricing and analyzing the structured notes-Take the equity-linked note and interest-linked note as an example
指導教授： 吳庭斌
Ting-pin Wu
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 100
語文別： 中文
論文頁數： 54
中文關鍵詞： 蒙地卡羅模擬法 、結構型商品 、LIBOR利率市場模型
外文關鍵詞： Interest LIBOR Market Model, Monte-Carlo simulation, structure product
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    • 摘要
    近年來，結構型商品的交易總額以驚人的速度逐年成長，但在2008年，萊曼兄弟投資銀行的突然倒閉事件，造成許多投資人遭逢巨大的損失且求償無門，目前市場上結構型商品的流通種類，以股權及利率連結的結構型商品所占的比例最高，在股權連結結構型商品方面，發行者常會藉由連結標的買賣權的組合與包裝，增加該商品的報酬與風險，進而提升該商品對於投資人的吸引力，在利率連結結構型商品方面，發行者常會透過該商品所附帶的提前贖回條款，使投資人無法完整的享受到其所標榜的高報酬，本文將透過股權蒙地卡羅模擬法以及LIBOR利率市場模型，分別對這兩種結構型進行拆解與評價，此外本文亦會站在發行者與投資人的角度，針對商品的發行與投資風險，進行分析與探討。

    Abstract
    Pricing and analyzing the structured notes-
    Take the equity-linked note and interest-linked note as an example
    By
    Lin, Ping Yang
    July 2012
    Recently, the trade volume of the structured product is increasing year by year. But during the 2008, the bankruptcy of Lehman Brothers Holdings cause many investors experience a huge loss and also cannot get the compensations. So far, here are two main types of structured product trading in the market, one is equity-linked note and the other is interest-linked note.
    In terms of equity-linked note, the issuers always try to increase its payoff and risk to make their products more attractive to investors by combining their products with call and put options. In terms of interest-linked note, the issuers always have the call provision to make sure that the investors cannot get the whole payoff which they announced before. This paper will decompose these two products and evaluate them through the Monte-Carlo simulation and Interest LIBOR Market Model. After that, we will also analyze and discuss the risks of these two products on the both buy side and sell side.

    目錄 第一章、 緒論.....................................................................................................................1 第一節、 研究動機....................................................................................................1 第二節、 研究目的....................................................................................................2 第三節、 研究架構....................................................................................................2 第二章、 文獻回顧............................................................................................................3 第一節、 均衡模型....................................................................................................4 第二節、 無套利模型................................................................................................5 第三章、 股權商品研究方法...........................................................................................9 第一節、 基本定理介紹.........................................................................................9 第二節、 股權蒙地卡羅模擬法..........................................................................13 第四章、 股權衍生性商品分析與評價........................................................................15 第一節、 商品說明書.............................................................................................15 第二節、 發行商面分析.........................................................................................16 第三節、 投資者面分析.........................................................................................17 第四節、 商品分析與拆解.....................................................................................18 第五節、 參數估計..................................................................................................20 第六節、 商品評價..................................................................................................21 第七節、 產品現況分析.........................................................................................22 第八節、 投資人風險分析.....................................................................................23 第五章、 利率商品研究方法.........................................................................................25 第一節、 對數常態遠期LIBOR模型....................................................................25 第二節、 參數估計與校準.....................................................................................27 第三節、 利率蒙地卡羅蒙擬法............................................................................29 第六章、 利率衍生性商品分析與評價........................................................................31 第一節、 商品說明書.............................................................................................31 第二節、 商品評價過程.........................................................................................33 第三節、 商品評價結果.........................................................................................42 第四節、 發行商風險分析.....................................................................................44 第五節、 投資人風險分析.....................................................................................44 第七章、 結論..................................................................................................................47 參考文獻.............................................................................................................................48 附錄......................................................................................................................................51 附錄一、第一季遠期利率相關係數矩陣........................................................................51 附錄二、第一季各遠期利率波動度.................................................................................54

    參考文獻
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