The Analysis of Structure, Pricing and Risk of Structured Note

• Main Authors: Hao-Ran Xu, 許皓然
• Other Authors: Zi-Lun Horng
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/10165938959353804458

碩士 === 逢甲大學 === 應用數學所 === 97 === Facing economic recession, poor stock investment return, low interest rate of NTD certificate deposit, simple investment on certificate deposit or bond can not satisfy the needs of investors. On the other hand, the violent fluctuations in stock market make investors worried that they may suffer huge loss as stock price plunges. Therefore, principal protected notes have recently become the main-stream financial goods in investment considering both risk and return. The structured note is a new financial product that combines both bond and option. The principal of structured note is invested in fixed-income financial product like bonds, and its dividend is used to invest on financial derivatives that link interest rates, currency rates, stock options and stock market index. The current article will introduce the varieties of structured note and discuss how the financial option in it is manipulated. Especially, this paper will focus on the analysis of the risk of structured note, and discuss why structured note suffered huge loss these years base on some real cases.