亞洲金融風暴後，全球各國開始重視信用風險（Credit Risk），是以信用衍生性商品開始蓬勃發展，尤其以抵押擔保債權憑證（Collateralized Debt Obligation, CDO）的市場發展迅速，而我國在2002年7月24日公佈「金融資產證券化條例」後，開始了我國CDO發展的里程碑。首先發行幾檔CLO（Collateralized Loan Obligation），2005年後開始有CBO（Collateralized Bond Obligation）的發行。一般CBO的發行動機是為了套利，然而我國CBO發行卻有著截然不同的背景動機，起源於 2004年下半年國內爆發聯合投信事件，因此金管會與投信業者為積極處理結構債，以發行CBO的方式支應國內嚴重的結構債問題。 是以本文在這樣的時空背景下，首先瞭解CDO的分類、架構與運行機制，然後運用One Factor Gaussian Copula建構出標的資產的違約時點或條件違約機率，而後以蒙地卡羅法和Hull 和White（2004）的「Probability Bucket」法建構CDO的評價模型，最後以「玉山銀行債券資產證券化特殊目的信託2005-1受益證券」作為個案分析，分析此商品的架構與特殊機制，然後以此二種方法評價此商品各分券的合理信用價差，並分析不同參數設定對各分券信用價差的影響。

受惠於醫學技術的進步，國人壽命得以逐年延長，然而生活型態及外在環境的改變，導致國人雖然活得長，卻未必活得健康。於是，結合健康管理概念之保險商品便應運而生，讓保險業不僅發揮原先事後補償的功能，更可藉由多樣化的健康回饋方式鼓勵被保險人養成良好運動習慣或生活習慣，以達到提升國人健康之效益。整體而言，對於保戶、保險業以及整體社會皆有所助益，爰主管機關實有推動之必要，然健康管理保險業務於我國尚處於起步階段。基於此，本研究旨在探討主管機關如何制定一完善之監理措施，以推動此類商品之發展。 本研究藉由蒐集文獻及比較國內外健康管理保險商品之發展概況，並分析我國健康管理保險商品所面臨之議題與挑戰，再進一步針對我國現行法規運作已經或可能引發之問題加以檢討。此外，本研究認為主管機關基於推動健康管理保險商品發展之目的，應提供獎勵措施予業務績效符合一定條件之保險業，同時放寬健康管理保險商品審查規範，以加速商品開發銷售程序。 因此，本研究針對上述應檢討強化之處，提具《保險法第177條之1第2項所定本人書面同意方式、業務範圍及其他應遵行事項管理辦法》第4條修正建議、《保險業辦理健康管理保險業務應注意事項》建議草案，以及《人身保險商品審查應注意事項》第220點之3建議條文，以供主管機關作為日後法規鬆綁之參考，希冀藉由健全之健康管理保險商品制度，能促進我國健康管理保險業務之蓬勃發展，以創造保戶、保險業以及整體社會多贏之局面。

本篇論文探討在高齡社會下，如何透過創新保險商品設計，提高長期照顧保險以及年金保險的銷售。本篇論文包含兩部分，第一部分討論長期照顧保險以及年金保險可能隱含的逆選擇成本，利用台灣地區中老年身心社會生活狀況長期追蹤調查資料，估算不同的健康轉移速率矩陣，並計算可能存在的逆選擇成本。更也進一步探討不同的商品設計，對逆選擇成本的影響。第二部分則探討這兩種商品結合降低逆選擇成本的效果，過去的文獻指出長期照顧保險結合年金保險可以降低長期照顧保險市場的核保問題，以及年金保險市場逆選擇成本過高等問題。不同於過去文獻，本研究討論當兩種商品結合為一新型產品時，在具備同時吸引具有不同個人健康資訊的長期照顧保險被保險人以及年金保險被保險人之特性下，可降低多少逆選擇成本。若降低逆選擇成本的效果夠大，相信這樣子的商品設計能吸引更多被保險人購買，並有助於商業保險市場之成長，提供更多對老年社會經濟的保障。

京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第20866号 / 経博第561号 / 新制||経||283(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 若林 靖永, 教授 椙山 泰生, 教授 渡辺 純子 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM

京都大学 / 新制・課程博士 / 博士(文学) / 甲第24348号 / 文博第922号 / 新制||文||732(附属図書館) / 京都大学大学院文学研究科行動文化学専攻 / (主査)教授 米家 泰作, 講師 杉江 あい, 教授 小島 泰雄 / 学位規則第4条第1項該当 / Doctor of Letters / Kyoto University / DGAM

本研究論述分為兩大部份，均是以實務上之動態避險並以DELTA NEUTRAL為分析上之比較基礎，第一個部分是以認購權證發行商角度出發，考量發行實論述務架構、避險成本、交易成本，進而說明發行商造市及避險之損益結構及其關鍵因子，並以商品實例，分別使用模擬的資料、歷史回溯資料、發行後真實資料，配合不同的避險策略方法以量化方法來分析發行商損益及其風險。 另一部份則探討結構型商品，結構型商品在銷售上即對行銷通路付出通路手續費支出，發行後勿需有如認購權證之次級市場造市交易問題，因此在發行商損益上觀察，交易報價即反映了預期利潤與風險的對價或承擔，並以商品實例，藉以歷史資料基礎來估計分析模型之參數風險，並說明理論定價其值本為分配而非一固定數之本質，再者又取『發行商稅後損益佔期初理論利潤之比例』來作為衡量避險（複製商品之報償（PAYOFF））效率之指標，進一步論述發行商作交價報價時需充份考慮其本身之實際避險能力（即複製選擇權之成本），以免高估本身獲利能力而低報商品報價。 本文另從券商風險管理角度而言，建議以上兩項業務均可以設定商品標的之評價波動率等參數之計算準則，來區隔交易員避險操作使用之避險波動率等參數，並以DELTA NEUTRAL及上述評價參數為基礎來求算應避險金額，以利與實際避險金額作比較，了解商品操作其超缺避情況是否有逾發行商內外規規定，以此來落實執行證券商商品操作風險管理。 本論文最重要結論是具體建議並提出發行商對所發行商品標的之篩選及避險策略等之系統性評估方法，並對商品發行前及發行後之評估所用之研究方法作詳細說明，對發行商而言其重點為了解此系統性評估方法，並利用電腦化在每次發行前作此研究，可作為標的是否適合發行之考量參考，及交易員之發行前指導及情境分析使用，以提昇操作上對市況變化之因應敏感度，發行後也可以交易員其操作實際損益來比較是否有優於本文所論述之程式性交易結果，以作為判別交易員表績效表現參考，並作為該商品在未來再發行時，其交易操作方法提昇之參考。

近年來療癒系商品市場擁有龐大商機，其商品種類或造型也不斷推陳出新，大致可分為帶來幸福、溫暖與陪伴感且具紓壓功能之「可愛型療癒系商品」，以及釋放內心不安、憤怒能量具紓壓功能之「發洩型療癒系商品」。在經濟不景氣的背景下，療癒系商品便應運而生，也因此本研究想探究消費者心理變項與可愛型和發洩型療癒系商品消費行為的關係為何。本研究使用相關心理學理論如下，以「焦慮與寂寞的負面情緒觀點」探討消費者負面情緒（包含焦慮與寂寞）與可愛型和發洩型療癒系商品消費行為關係，以「五大因素模式」探討消費者人格特質（包含情緒敏感性與外向性）與可愛型和發洩型療癒系商品消費行為關係。此外，因為可愛型和發洩型療癒系商品購買動機關係介於消費者心理變項和療癒系商品消費行為之間，因而將可愛型和發洩型療癒系商品購買動機列為中介變項，去更綜觀討論心理特質與可愛型和發洩型療癒系商品消費行為的關係。而本研究將可愛型療癒系商品購買動機分為增加樂趣（空間美感或樂趣）、療癒心靈（情緒性需求）、和社交性需求（我想和你做朋友）三大面向；將發洩型療癒系商品購買動機分為只有療癒心靈（情緒性需求）一個面向。因而，本研究目的為試圖從消費者心理角度出發探討消費者與可愛型和發洩型療癒系商品消費行為（包括療癒系商品的認知度、喜好度與購買意願）之間的關係。 本研究藉問卷調查法回收306份有效樣本。實證結果顯示：在可愛型療癒系商品認知度迴歸模型方面，性別對於可愛型療癒系商品認知度有顯著正向影響，「增加樂趣」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品認知度有高度顯著正向影響，「療癒心靈」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品認知度影響並不顯著，「社交性需求」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品認知度影響不顯著。而焦慮對於可愛型療癒系商品認知度影響不顯著，寂寞對於可愛型療癒系商品認知度影響也不顯著。另外，情緒敏感性對於可愛型療癒系商品認知度影響並不顯著，而外向性對於可愛型療癒系商品認知度影響不顯著。在可愛型療癒系商品喜好度迴歸模型方面，性別對於可愛型療癒系商品喜好度影響不顯著，「增加樂趣」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品喜好度有高度顯著正向影響，「療癒心靈」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品喜好度有高度顯著正向影響，「社交性需求」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品喜好度影響則不顯著。而焦慮對於可愛型療癒系商品喜好度影響不顯著，寂寞對於可愛型療癒系商品喜好度有顯著負向影響。另外，情緒敏感性對於可愛型療癒系商品喜好度影響並不顯著，外向性對於可愛型療癒系商品喜好度影響也不顯著。在可愛型療癒系商品購買意願迴歸模型方面，性別對於可愛型療癒系商品購買意願有顯著正向影響，「增加樂趣」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品購買意願有高度顯著正向影響，「療癒心靈」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品購買意願有高度顯著正向影響，「社交性需求」面向之可愛型療癒系商品購買動機對於可愛型療癒系商品購買意願也有高度顯著正向影響。而焦慮對於可愛型療癒系商品購買意願影響並不顯著，寂寞對於可愛型療癒系商品購買意願影響不顯著。另外，情緒敏感性對於可愛型療癒系商品購買意願影響不顯著，外向性對於可愛型療癒系商品購買意願影響也不顯著。在發洩型療癒系商品認知度迴歸模型方面，性別對於發洩型療癒系商品認知度有顯著正向影響，「療癒心靈」面向之發洩型療癒系商品購買動機對於發洩型療癒系商品認知度有高度顯著正向影響。而焦慮對於發洩型療癒系商品認知度有顯著負向影響，寂寞對於發洩型療癒系商品認知度並不顯著。另外，情緒敏感性對於發洩型療癒系商品認知度有顯著正向影響，外向性對於發洩型療癒系商品認知度影響則不顯著。在發洩型療癒系商品喜好度迴歸模型方面，性別對於發洩型療癒系商品喜好度影響並不顯著，「療癒心靈」面向之發洩型療癒系商品購買動機對於發洩型療癒系商品喜好度有高度顯著正向影響。而焦慮對於發洩型療癒系商品喜好度影響不顯著，寂寞對於發洩型療癒系商品喜好度有顯著負向影響。另外，情緒敏感性對於發洩型療癒系商品喜好度影響不顯著，外向性對於發洩型療癒系商品喜好度影響也不顯著。在發洩型療癒系商品購買意願迴歸模型方面，性別對於發洩型療癒系商品購買意願影響並不顯著，「療癒心靈」面向之發洩型療癒系商品購買動機對於發洩型療癒系商品購買意願有高度顯著正向影響。而焦慮對於發洩型療癒系商品購買意願有顯著正向影響，寂寞對於發洩型療癒系商品購買意願則有顯著負向影響。另外，情緒敏感性對於發洩型療癒系商品購買意願影響不顯著，外向性對於發洩型療癒系商品購買意願影響也不顯著。 另一方面，在「增加樂趣」面向之可愛型療癒系商品購買動機迴歸模型方面，外向性對於「增加樂趣」面向之可愛型療癒系商品購買動機有高度顯著正向影響。在「療癒心靈」面向之可愛型療癒系商品購買動機迴歸模型方面，焦慮對於「療癒心靈」面向之可愛型療癒系商品購買動機影響並不顯著，寂寞對於「療癒心靈」面向之可愛型療癒系商品購買動機有顯著正向影響。而情緒敏感性對於「療癒心靈」面向之可愛型療癒系商品購買動機影響不顯著，外向性對於「療癒心靈」面向之可愛型療癒系商品購買動機則有高度顯著正向影響。在「社交性需求」面向之可愛型療癒系商品購買動機迴歸模型方面，外向性對於「社交性需求」面向之可愛型療癒系商品購買動機有顯著正向影響。最後，「療癒心靈」面向之發洩型療癒系商品購買動機迴歸模型方面，因為模型本身不具有顯著解釋力，因而焦慮對於「療癒心靈」面向之發洩型療癒系商品購買動機假設沒有得到支持；寂寞對於「療癒心靈」面向之發洩型療癒系商品購買動機假設沒有得到支持；情緒敏感性對於「療癒心靈」面向之發洩型療癒系商品購買動機假設沒有得到支持；而外向性對於「療癒心靈」面向之發洩型療癒系商品購買動機假設也沒有得到支持。 由上述可知，消費者心理變項與可愛型和發洩型療癒系商品消費行為有影響，也因此對於實務建議為應瞄準高焦慮感及高情緒敏感性的消費者進行更多發洩型療癒系商品行銷；也應瞄準高外向性的消費者進行更多可愛型療癒系商品行銷。而女性不只喜愛可愛型療癒系商品，對於發洩型療癒系商品也很感興趣，行銷人員應針對女性在發洩型療癒系商品上做更多行銷溝通。最後，未來行銷可愛型療癒系商品時應不只注重宣傳「療癒需求」，也應加入或考慮「外型可愛溫馨」、「增進社交、人際關係」之主題訴求。而對於發洩型療癒系商品行銷應較以「療癒、紓壓」需求為主要訴求重點。 / The market of healing products has had great business opportunities in recent years, and more and more types and shapes of healing products are continuously coming out. The healing products can be divided into two kinds, including: one is “cute healing products” which bring consumers a sense of happiness, warmth, companionship and stress-relieving; the other is “emotion-releasing healing products” which help consumers release a sense of uncertainty, anger and pressure. Under the background of economic recession, here come healing products. Therefore, the study is aimed at exploring the relationship between consumers’ psychological variables and the consumer behavior of cute and emotion-releasing healing products. The study adopts related psychological theories as follows: exploring the relationship between consumers’ negative emotions( including anxiety and loneliness) and the consumer behavior of cute and emotion-releasing healing products from the negative emotions views of anxiety and loneliness; exploring the relationship between consumers’ personalities (including neuroticism and extraversion) and the consumer behavior of cute and emotion-releasing healing products from the view of The Big Five Model. Moreover, because the purchase motives of cute and emotion-releasing healing products are between consumers’ psychological variables and the consumer behavior of healing products, the study categorizes the purchase motives of cute and emotion-releasing healing products as mediators. Consequently, the study can explore the relationship between consumers’ psychological variables and the consumer behavior of cute and emotion-releasing healing products much broadly. The study divides the purchase motives of cute healing products into three dimensions, including: fun-increasing (aesthetic feelings or fun of space), soul-healing (emotional needs), and social needs (I want to be your friend) dimensions; and divides the purchase motives of emotion-releasing healing products into only one dimension called soul-healing (emotional needs) dimension. Therefore, the study’s goal is to try to exploring the relationship between consumers and the consumer behavior (including the cognition, affection and purchase intention of healing products) of cute and emotion-releasing healing products from consumers’ psychological view. The study uses surveys to collect 306 valid samples, and the empirical results show: from the aspect of the regression model of the cognition of cute healing products, gender has a significant positive influence on the cognition of cute healing products, the fun-increasing dimension of the purchase motive of cute healing products has a highly significant positive influence on the cognition of cute healing products, the soul-healing dimension of the purchase motive of cute healing products doesn’t have a significant influence on the cognition of cute healing products, and the social needs dimension of the purchase motive of cute healing products doesn’t have a significant influence on the cognition of cute healing products. Anxiety doesn’t have a significant influence on the cognition of cute healing products, and loneliness doesn’t have a significant influence on the cognition of cute healing products, either. Besides, neuroticism doesn’t have a significant influence on the cognition of cute healing products, and extraversion doesn’t have a significant influence on the cognition of cute healing products. From the aspect of the regression model of the affection of cute healing products, gender doesn’t have a significant influence on the affection of cute healing products, the fun-increasing dimension of the purchase motive of cute healing products has a highly significant positive influence on the affection of cute healing products, the soul-healing dimension of the purchase motive of cute healing products has a highly significant positive influence on the affection of cute healing products, and the social needs dimension of the purchase motive of cute healing products doesn’t have a significant influence on the affection of cute healing products. Anxiety doesn’t have a significant influence on the affection of cute healing products, but loneliness has a significant negative influence on the affection of cute healing products. Besides, neuroticism doesn’t have a significant influence on the affection of cute healing products, and extraversion doesn’t have a significant influence on the affection of cute healing products, either. From the aspect of the regression model of the purchase intention of cute healing products, gender has a significant positive influence on the purchase intention of cute healing products, the fun-increasing dimension of the purchase motive of cute healing products has a highly significant positive influence on the purchase intention of cute healing products, the soul-healing dimension of the purchase motive of cute healing products has a highly significant positive influence on the purchase intention of cute healing products, and the social needs dimension of the purchase motive of cute healing products also has a highly significant positive influence on the purchase intention of cute healing products. Anxiety doesn’t have a significant influence on the purchase intention of cute healing products, and loneliness doesn’t have a significant influence on the purchase intention of cute healing products as well. Besides, neuroticism doesn’t have a significant influence on the purchase intention of cute healing products, and extraversion doesn’t have a significant influence on the purchase intention of cute healing products, either. From the aspect of the regression model of the cognition of emotion-releasing healing products, gender has a significant positive influence on the cognition of emotion-releasing healing products, and the soul-healing dimension of the purchase motive of emotion-releasing healing products has a highly significant positive influence on the cognition of emotion-releasing healing products. Anxiety has a significant negative influence on the cognition of emotion-releasing healing products, but loneliness doesn’t have a significant influence on the cognition of emotion-releasing healing products. Besides, neuroticism has a significant positive influence on the cognition of emotion-releasing healing products, but extraversion doesn’t have a significant influence on the cognition of emotion-releasing healing products. From the aspect of the regression model of the affection of emotion-releasing healing products, gender doesn’t have a significant influence on the affection of emotion-releasing healing products, and the soul-healing dimension of the purchase motive of emotion-releasing healing products has a highly significant positive influence on the affection of emotion-releasing healing products. Anxiety doesn’t have a significant influence on the affection of emotion-releasing healing products, but loneliness has a significant negative influence on the affection of emotion-releasing healing products. Besides, neuroticism doesn’t have a significant influence on the affection of emotion-releasing healing products, and extraversion doesn’t have a significant influence on the affection of emotion-releasing healing products, either. From the aspect of the regression model of the purchase intention of emotion-releasing healing products, gender doesn’t have a significant influence on the purchase intention of emotion-releasing healing products, and the soul-healing dimension of the purchase motive of emotion-releasing healing products has a highly significant positive influence on the purchase intention of emotion-releasing healing products. Anxiety has a significant positive influence on the purchase intention of emotion-releasing healing products, and loneliness has a significant negative influence on the purchase intention of emotion-releasing healing products. Besides, neuroticism doesn’t have a significant influence on the purchase intention of emotion-releasing healing products, and extraversion doesn’t have a significant influence on the purchase intention of emotion-releasing healing products, either. On the other hand, from the aspect of the regression model of the fun-increasing dimension of the purchase motive of cute healing products, extraversion has a highly significant positive influence on the fun-increasing dimension of the purchase motive of cute healing products. From the aspect of the regression model of the soul-healing dimension of the purchase motive of cute healing products, anxiety doesn’t have a significant influence on the soul-healing dimension of the purchase motive of cute healing products, but loneliness has a significant positive influence on the soul-healing dimension of the purchase motive of cute healing products. Moreover, neuroticism doesn’t have a significant influence on the soul-healing dimension of the purchase motive of cute healing products, but extraversion has a highly significant positive influence on the soul-healing dimension of the purchase motive of cute healing products. From the aspect of the regression model of the social needs dimension of the purchase motive of cute healing products, extraversion has a significant positive influence on the social needs dimension of the purchase motive of cute healing products. Finally, from the aspect of the soul-healing dimension of the purchase motive of emotion-releasing healing products, because the regression model itself doesn’t have significant explanatory power, whether anxiety has a significant influence on the soul-healing dimension of the purchase motive of emotion-releasing healing products doesn’t be supported; whether loneliness has a significant influence on the soul-healing dimension of the purchase motive of emotion-releasing healing products doesn’t be supported; whether neuroticism has a significant influence on the soul-healing dimension of the purchase motive of emotion-releasing healing products doesn’t be supported; and whether extraversion has a significant influence on the soul-healing dimension of the purchase motive of emotion-releasing healing products doesn’t be supported, either. From mentioned above, consumers’ psychological variables really have influences on the consumer behavior of cute and emotion-releasing healing products. Therefore, the study inspires some practice suggestions as follows: marketing practitioners should target at consumers with high-degree anxiety and neuroticism to undergo more marketing of emotion-releasing healing products; should target at consumers with high-degree extraversion to undergo more marketing of cute healing products. Women not only like cute healing products, but also are interested in emotion-releasing healing products, so practitioners should do more marketing communication of emotion-releasing healing products to women. Finally, in the future when promoting cute healing products, practitioners should not only to lay stress on “healing souls” appeal, but also to focus on “cute and warm shapes” and “incrementing social and interpersonal relationships” appeals; when promoting emotion-releasing healing products, practitioners should focus on “healing souls and relieving stresses” appeal.

2008年初，正值美國籠罩次級房貸風暴影響、全球經濟景氣趨緩、產油國地緣政治因素造成能源價格創新高…等險峻經濟狀況之際，投資銀行設計一包含 :搭配出局條款之CMS Spread雪球型利率結構商品及結合附加WTI上限、USD/JPY匯率上下限之異型選擇權的混合結構性商品提案。本文依據標的資產屬性，參考相關文獻及近期在頂級期刊發表之利率資產評價模型研究中，選用Extended BGM模型(Ting-Pin Wu, and Son-Nan Chen(2007))、遠期曲線模型及匯率評價模型為個案之基礎評價模型；以無套利觀念依取得之市場各資產相關公開報價資料估算各模型所需之參數；由於屬於雪球利率結構型商品及路徑相關特性，在目前相關文獻無封閉解的條件下，使用蒙地卡羅模擬獲得未來各資產之現金流折現值，進而計算預期理論價值。依據上述方法論評價所獲得之預期理論價格顯示，個案並非具公平價值之交易，依此結論強烈建議客戶不應該承做本交易。 個案相當於投資銀行以買入一個5年期附帶出局條件，隱含看空經濟景氣循環之CMS Spread選擇權及買入一個1年期看空WTI價格選擇權建構此混合結構性商品。為強化客戶承做意願，設立一似乎觸及機會很大，但從交易後至今從未觸及的出局條件，又透過每日數位選擇權計息方式將WTI波動度資產化，提供大於10%之相對LIBOR rate 很高，但實際是被低估之半年收息固定費率。由於雪球型利率結構型商品特性，收益不僅取決於是否達成交易付款條件，更重要因素是達成時間點之速度。 在蒙地卡羅模擬資產價格路徑中，觸及頭一次CMS Spread付款條件天數之眾數區間為125至135，貼近實際136天。從評價結果，交易之付款條件內已隱含透過兩個不同標的資產選擇權之高預期獲利相互達到避險、套利及強化收益等效益;投資銀行可以不用額外對受眾多複雜不確定因數影響之WTI價格採取避險策略，而將所有避險成本轉嫁於選擇權賣方的客戶。在資本計提規範下及確保未來預期收益之考量下，投資銀行唯一要做是以低成本尋求中介銀行進行背對背交易以強化因市場風險所衍生之信用風險。 從研究過程，不禁讚嘆個案是投資銀行設計建構在財務工程科學上的卓越藝術及策略，從它一旦出現世界上之瞬間，個人預估其價值將達34,211,458.09美元! / Early 2008 was a steep economic era when U.S. was enveloped by subprimemortgage crisis, world's economy was slowing down, and energy prices were pushed to a historical record high by oil geopolitical factors. Under this situation, an investmentbank designed a hybrid structure product, which includes a CMS Spread Snowball interest rate structured product with USD/JPY FX rate Knock out condition, a WTIoption of an additional upper limit, a USD/JPY exchange rate combined exotic option of upper and lower limits. After considering assets attributes and reviewing the relevant literature and recent research published in top journals related to the interest rate assetpricing model, Extended BGM model (Ting-Pin Wu, and Son-Nan Chen (2007)), forward curve model, and FX Rate model are selected as the basic pricing models. Tocalculate the expected theoretical value of this structured product, the unavailable model parameters of assets are estimated through the public market data based on thearbitrage-free concept, and the discounted values of the assets future cash flows are obtained by Monte Carlo simulation because of snowball interest rate structured product and path dependency characteristic and no close form solution in current relevant literature. The results of the pricing models shows that the net present value(NPV) received by customers is lower than that received by the investment bank, theconclusion is : Strongly recommend customers should not to do this trade ! In this case, the investment bank used a long position of one 5-year period CMSSpread Option with knock out condition, which implies Bearish on the economic cycle, and a short position of a 1-year period WTI option with up and low limits condition to construct this hybrid structure product. To draw customers’ attention to this proposal, the investment bank designed a knock out condition that seemed to be met very easily,but the price never touched by the article finished date. Additionally, a daily accrued digital option is used to transfer WTI volatility to a semi-annual fixed yield over 10% that, compared to LIBOR Rate, is very high but actually is underestimated. For theSnowball structure product, the total profit depends on not only when but also, more importantly, how soon to meet the payment condition. According to the asset pricing path generated by Monte Carlo simulation, the mode range which CMS Spread payment condition first met is 125 to 135 days after the contract’s value date, very close to the actually history data of 136 days. From pricing results, terms of contract implied that two different options combined to hedge risk and gain profit from each other. Hence, the investment bank does not need to make extrahedge strategy to WTI price which is impacted by more complicated risk factors.However, customer must spend hedge cost because of taking much risk as a sell option role. Under the Capital Charge regulation, to lock up the expected profit, what the investment bank needs to do is only to pay a very low cost fee, which like insurancepremium, to look for an intermediary bank to offer a back to back trade to manage thecredit risk caused by market risk! During the research of this paper, I am amazed what an excellent art and strategy that designed by the investment bank based on financial engineering science! As this structure product appeared in this world, I estimated that it would worth 34,211,458.09 USD.

我國衍生性金融商品，由於政府對於金融業者承作業務的逐步開放，使得此類商品種類漸趨多樣化，發展也愈來愈成熟。但現行稅務法令對於衍生性商品的課稅方式，由於其契約內容多變，使得稅法無從對此類商品制定出一致性的架構，進而使業者及投資人無法預期可能的課稅方式，以為我國相關稅制似乎毫無章法，全憑財政部認定。藉由本文，希望能整理出我國稅法對於衍生性金融商品的課稅規定。因我國停徵證券交易所得稅，使得部分標準化之新金融商品幾乎不課徵所得稅，而以交易稅代替，故本文主要以所得稅及交易稅的討論為主。 首先，在研究衍生性金融商品課稅方式的過程當中，發現期貨的課稅方式，與其現貨息息相關，現貨即股票和債券等等金融商品。其次，發現有許多人，誤解證券交易所得稅的停徵範圍，以為短期票券有其適用。第三，因為債券利息所得稅之稽徵方式出現問題，使得投資人可藉由債券附條件交易而避稅，進一步引起利息所得和證券交易所得混淆之爭議，因此本文的討論擴及金融商品，而非侷限於衍生性金融商品。 本篇文章首先將對我國關於金融商品的稅法架構做一整理，包括所得稅，證券交易稅，期貨交易稅等等，主要以所得稅及交易稅為主。其次介紹幾個重要的金融商品的課稅方式，特別是有爭議的部分，並希望藉此將金融商品在稅務法令上的架構浮現出來。第三介紹美國對於金融商品的課稅方式，金融交易日新月異，許多交易無法被規範於原本的稅法架構之下，故有關當局必須有所因應。我們在此將發現，由於美國對於金融商品課徵所得稅，因此稅額的計算及課稅時點的考量遠比台灣細緻而複雜。 以全文的討論看來，有下列幾點結論：一、我國債券利息所得課稅方式，將影響債券類金融商品的發展。二、證券交易所得免稅的影響深遠，如今在免稅的架構下所延伸的金融商品課稅方式，將使未來恢復課徵證券交易所得稅的困難度提高，我國所得稅制可能將永遠存在此一缺口。三、所得稅之稽徵方式，遠比交易稅複雜。四、我國目前不需採市價結算法，對未實現損益課稅。五、金融商品課稅方式無法統一規範，只能零碎因應，不同金融商品之問題各異，故一商品、一稅制的問題恐怕無法避免。

第一章 導論 第一節 研究動機和目的 第二節 研究內容和範圍 第三節 購買者資訊收集行為之理論探討 第四節 相關文獻之探討 第二章 研究方法 第一節 研究架構和分析方法 第二節 因徑分析 第三節 因徑模式 第四節 資料蒐集 第五節 研究限制 第三章 國內汽車購買者資訊收集行為之研究結果與分析 第一節 資料分析 第二節 變數檢定 第三節 路徑檢定 第四節 修正模式 第五節 相關係數的分解與因果作用力的分析 第六節 結果分析 第四章 結論與建議 第一節 本文之結論 第二節 對未來研究者的建議 第三節 本研究結果對廠商的含意