Autocallable structured products represent an investment opportunity which has been growing in both the European and American market since they were first launched. The value of these structured products is dependent on how their underlying assets perform, which can consist of stocks, indexes or other assets. With a sample size of 30 structured products we provide research on the relation between the products return and the return of the underlying assets. Specifically, the purpose of the study is to analyse how increases in the returns of the underlying assets affect the returns in the products. Using an ordinary least squares regression model, we find that the return in the underlying assets, the issuers credit rating and the interest rate at issuance have a statistically significant effect on the returns in the products. We conclude that in our sample, an increase in the underlying assets returns results in a less than equal increase in the returns of the autocalls.

日前由於金融海嘯的發生，導致全球金融市場對於結構債此種收益較高的商品存在眾多疑點，然而究其原因乃投資人無法正確地了解到自身的風險屬性，盲目地追求高收益率，反而造成投資結果不盡理想。本文將應用模型來推導商品的理論價格，並深入分析結構債可能帶來的風險與報酬。 本文兩個案商品之連動標的分別為利率與股權。第一個個案商品為英國勞埃德TSB銀行所發行之十年期累積計息利率連動債，在評價上將採用LIBOR市場模型，利用市場上既有的資料校準模型所需參數與期初遠期利率；此外由於本商品具有提前贖回特性，故將應用最小平方法蒙地卡羅來找出該商品發行之期初價格，並分別就發行機構探討其避險策略及投資人應注意的風險作深入分析。 第二個個案商品為摩根大通公司所發行之附部分保本之股權連結式自動贖回債券，利用對數常態股價模型及蒙地卡羅法評價出其理論價格，並針對發行機構可能面對之風險與避險策略作完整探討，最後就投資人之報酬及風險層面作詳盡地剖析。