| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 104 === By the internationalization of the RMB, the exchange rate of USD against RMB fluctuates bilaterally, the RMB no longer unilaterally appreciates as before. The domestic manufacturer who bet on the appreciation of RMB, and purchase the RMB-related derivatives such as target redeemable forward contracts (TRF) therefore suffers. This paper investigates the TRF issued by the E-SUN bank in Taiwan, and employing the Monte Carlo simulation for the valuation and risk analysis of TRF. Also this paper uses regression for analyzing the sensitivity of the value and VaR (value at risk) of TRF to key parameters. This paper finds that the value of TRF with stop-loss mechanism is higher than that of TRF without stop-loss mechanism, moreover, the VaR of TRF with stop-loss mechanism is lower than that of TRF without stop-loss mechanism.
Keywords: Barrier option, Monte Carlo simulation, Structured Note, Value at Risk, Target Redemption Forward.
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