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Research to Financial Arbitration System of R.O.C.¢wBy case of the procedure to resolve the disputes in the transaction of Lehman Brothers structured noteHuang, Shih-hung 06 July 2010 (has links)
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滿息提前到期連動債券之評價與分析 / non張翠玲 Unknown Date (has links)
有感於國內投資者對於連動債券了解有限,以及投資後發現名不符實的情況普遍,故為讓大多數一般非專業投資人更清楚了解連動債券的本質,以及發行商在產品設計時是如何去挑選連結標的資產,故本論文特別選取三檔國內目前當紅的滿息提前到期連動債券(Target Redemption Structured Note),並利用寶來證券新金融商品研究部在Matlab System中內建的多資產蒙地卡羅模擬法來評價,以了解這類型連動債券所連結標的資產的結構與特性,並進一步分析這類連動債券的報酬率與其所標榜的提前滿息到期的可能性。
本論文研究發現
一. 滿息提前到期連動債券在發行後第二年提前到期機率低於30%,第三年起更陡降至個位數,可見要在連動債券存續期間提前到期機率並不高,反而持有到連動債券期滿(本論文探討三檔皆是十年期產品)機率偏高。
二. 本論文用多資產蒙地卡羅模擬法計算發現,要在第二年滿息提前到期機率並不高,此大大有別於銀行倒流試算(simulation)結果,主要是銀行倒流測試時間與樣本數較小,甚至是經過篩選,只將較好數據納入樣本數中,以美化測試結果。
三. 所連結一籃子標的資產之相關係數愈高將會提高產品設計商發行成本與提前到期機率,而本論文所探討的三檔滿息提前到期連動債券所連結的股權標的物都是分散在各個不同產業或是不同國家,所追求的是低相關係數,相關係數最高都不超過0.7,也因此三檔產品經分析後要在前幾年累積配息而達到滿息提前到期之機率普遍不高。
四. 所連結標的資產波動度提高可降低產品設計商發行成本,但同時也減低提前到期機率;本論文所探討三檔產品的連動標的資產波動度多處於半年以來相對低檔區,未來波動度升高機率高,故有利產品設計商但不利投資人。
五. 本論文研究還發現利率上揚可降低產品設計商發行成本,故預計在全球升息趨勢下,此類型產品仍有機會設計出更具吸引力的配息與額外紅利機制,以繼續吸引投資者眼光。
六. 滿息提前到期連動債券結構愈複雜,例如提供提前到期額外紅利補償、配息只升不降等,那麼發行商成本愈高,因此在連結標的物選擇上會傾向於股票檔數多、個股波動度高且相關係數愈低的一籃子股票。
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The innovation and application of fixed income securitiesWang, Yu-Wen 28 June 2002 (has links)
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結構型債券之評價與分析謝嫚綺, Hsieh, Man-Chi Unknown Date (has links)
本文研究最近在市面上常見的結構型債券,利用Martingale評價方法以及數值方法求出結構型商品的理論價格以及利用情境分析來推估期末可能的報酬,提供投資人與券商對於結構型商品特性與風險的了解,並且提供發行商避險的參考。然而結構型商品的複雜程度往往是來自於隱含的新奇選擇權,本文亦分析商品內含的新奇選擇權,使得投資人更了解結構型商品的組成,發行商也可藉以由組成的概念進而設計新的結構型商品。
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股權連結結構型商品之評價 / Valuation of Equity-Linkded Structured Note王瑞元, Wang, Jui Yuan Unknown Date (has links)
本文整理市場上已發行結構債的現金流量型式,且利用風險中立評價法推導多資產Quanto模型,並以蒙地卡羅模擬法模擬外幣計價的結構型商品的理論價格,除了計算使用Quanto模型所求得的理論價格外,本文也比較使用Quanto模型與沒有使用Quanto模型評價商品時理論價格的差異,此外也進行商品的利率敏感度分析和相關係數敏感度分析;其後找到有效的控制變數,利用變異數縮減技術克服蒙地卡羅模擬法收斂不易的缺點,增進模擬的效率與精準程度,最後並做變異數縮減的Rubust分析,討論在何種參數的設定下變異數縮減的效果會最好,及如何透過參數的選取,如參與率與保本率,設計商品與成本分析。
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結構型金融商品之評價--以利率連動債券為例 / The pricing of structured notes: Interest rate-linked product李政儒, Lee, Cheng Ju Unknown Date (has links)
利率模型從早期的短期利率模型、遠期利率模型發展到現在的市場模型。在模型的概念上,已經從市場上不存在的瞬間連續利率修正到市場上可觀察的區間連續的遠期利率。而評價方法的進步,使得市場上發展出各式各樣的利率衍生性商品,其中付「提前贖回條款」的債券很常見。為吸引投資人,附提前贖回條款的債券往往伴隨著高配息。本文選用「12年期美金計價『利率區間』連動債券」與「十年期美元計價息滿到期反浮動利率連動債券」做個案分析,在市場模型之下,評價具提前贖回條款的債券。
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金融創新產品之創新擴散研究-以連動式債券為例 / Innovation diffusion of financial innovation products- a case study of structured note馬濟生, Ma, Chi Shen Unknown Date (has links)
近年來,隨著企業籌資需求上升、金融機構避險需求增加、以及一般民眾投資理財意識抬頭,各式金融創新產品因應而生。這些金融創新產品可以滿足不同客戶之需求,提升企業競爭力,或是協助一般民眾達到投資理財之目標…等目的,而以上都是傳統金融商品所無法提供的功能,因此金融創新之重要性不言而喻。然而,在目前相關文獻中,鮮少研究探討金融創新與其創新擴散相關議題。
基於上述動機,本研究旨在利用以往用於科技技術創新之「創新擴散」與「行銷鴻溝」模型,探討「金融創新」當中最具代表性之創新產品「連動式債券」,是否也擁有類似科技技術創新之創新擴散與行銷鴻溝現象。
本研究以台灣地區2002 年以後主管機關核准連動式債券銷售業務開始,到2008 年雷曼兄弟倒閉事件爆發為止,做為研究期間範圍。首先,根據創新擴散與行銷鴻溝理論建構出研究架構,提出探索性假設。接著,透過先導個案之方式針對銀行與壽險業者進行訪談,得出對應探索性假設的初步答案,形成研究假設。最後,再將研究假設設計成問卷,針對所有連動式債券第一線銷售人員進行發放與回收,以進行假設檢定量化分析。
經由本研究結果發現:(一) 金融創新產品存在與科技技術創新相同之創新擴散模式; (二) 金融創新產品擴散過程中,先後採用之不同族群存在不同特性,包括風險承受度、投資預備金額、投資連動債之專業知識程度皆隨時間遞減;(三)金融創新產品擴散過程中,也存在科技技術創新所面臨難以跨越的鴻溝,其中產品單位金額大小是最關鍵之成因。然而,由於金融創新技術相較於科技創新技術較不需要時間與金錢成本去進步改良,因此金融業者僅須透過調整產品單位金額大小,便可輕易跨越鴻溝。也由於金融創新產品此種技術特性,業者其實是有能力同時向不同族群區隔進行銷售,但是礙於主流市場消費者一定要在看到可參考之成功經驗後才敢購買,因此業者仍然會先從早期市場開始銷售,形成與科技技術創新擴散模型相同之模式;(四) 有別於科技技術創新擴散模式當中,早期市場消費者之接受行為擁有降低創新不確定之象徵意義,在金融創新產品擴散過程當中,早期市場消費者之採用行為,並不能代表產品風險已經縮小至一定程度,因為金融市場之風險並不會隨技術進步而消失。然而,主流市場消費者卻存有科技技術創新擴散模型之習性,誤以為早期市場消費者之接受行為代表著金融創新產品之風險已縮小而積極跟進購買,因而承擔了超過原本所能容忍之風險程度,導致最後往往面臨虧損。 / In recent years, many kinds of financial innovation products have been invented
in response to the rising demands of corporate financing, financial institutions’
hedging, and personal financial management of general public. These financial
innovation products can meet different needs of different customers, bring
competitiveness to enterprises, or even help the general public to manage their money
more efficiently, while these are which the traditional financial products cannot
achieve. As a result, the importance of financial innovation goes without saying.
However, in the existing literatures, there are only a few studies concentrated on this
issue.
This study took 2002 to 2008 as the research period, which was from the Taiwan
government first approved the business of selling structured notes to the outbreak of
bankruptcy of Lehman Brother. This study first constructed the research framework
and exploratory hypotheses based on the innovation diffusion theory, then explored
the corresponding answers to the initial exploratory hypotheses through interviewing
workers in banks and insurance companies and formed the research hypotheses, and
finally conducted a questionnaire survey among those first-line sales of structured
notes to test the research hypotheses statistically.
This study found that: (a) financial innovation had the same pattern with the
technological innovation diffusion process, but it was because general customers
needed to see a successful example to pursue themselves to accept that financial
innovation; (b) different groups in the innovation diffusion process had different
features, including the level of risk tolerance, the amount of money used to invest, and
the knowledge of investing structured notes, and the level of these features will
gradually decrease as the time point of their acceptance; (c) there also existed a chasm
in the financial innovation diffusion process as the technological innovation diffusion,
and the key to cross the chasm was the price of each product; (d) the acceptance of
earlier customers in the process of financial innovation diffusion did not mean that the
risk of the products had reduced, which was quite different from the technological
innovation diffusion process, and later customers usually perceive lower risk than it
actually was and borne more risk than they actually can afford without knowing the
above difference.
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跳躍擴散模型下之短期利率期貨與結構型債券評價邵智羚 Unknown Date (has links)
經由愈來愈多的實證研究發現,的確在利率的變動過程中,除了包含連續性行為,即遵循”擴散”模式(diffusion process),亦包含了不連續性行為,也就是有著跳躍(jump)的情形發生。因此顯示出假設利率隨機過程僅為連續性的擴散模型已是不足夠的,跳躍-擴散模型(Jump-diffusion model)顯然會比純粹擴散模型有著更好的解釋能力。而市場模型(LIBOR market model)的提出,則說明了遠期LIBOR利率模型較能描述市場實際的利率型態,並且可方便使用市場資訊,進行模型參數校準。
所以本研究旨在以LIBOR market model 加上跳躍過程,即遠期LIBOR利率的跳躍-擴散模型,分別針對歐洲美元期貨與利率結構型債券中的滾雪球式累息債券建立評價方法。由於所選用動態模型的複雜度,使得封閉解的求出不易,因此在文中,最後是採用蒙地卡羅模擬法,求兩商品的數值解。在後續研究上,本文還挑出了幾個最直接影響商品價值的因素,如殖利率、波動度、跳躍幅度等,進行各種情境下商品價值的敏感度分析,以提供投資人與發行商在考量風險因子所在時的一個參考。
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具SOAR結構化筆記功能之合作數位閱讀標註系統對於國小學生閱讀理解成效之影響研究 / A study on the effects of collaborative reading annotation system with soar structured note function on reading comprehension performance陳怡君, Chen,Yi Chun Unknown Date (has links)
因應數位閱讀時代的來臨,在進行數位閱讀時,如何進行自我監控,協助學習者掌握閱讀技巧,特別是對於閱讀認知能力不足的小學兒童來說,在進行數位閱讀時更需要有完善的學習鷹架輔助,才能達到良好的閱讀成效。標註系統中也發展出許多不同機制來輔助閱讀,幫助提升學習者的閱讀動機與閱讀成效。但卻也發現學習容易著重在標註的量而忽略了標註的品質,反而無法提升其閱讀理解成效,在學習的過程中忽略了閱讀歷程與閱讀認知的適配性。因此,本研究在合作式數位閱讀標註系統上發展出一套基於閱讀標註支援更有效閱讀的「SOAR結構式筆記模組」,讓學習者於作筆記的過程中掌握文本的重點,幫助學習者提升其閱讀自我效能,希望可有效促進學習者在閱讀中有效的內化與重組,以提升閱讀理解的深度與成效。
本研究採單組實驗設計,探討學習者在使用具「SOAR結構化筆記模組」的「合作式數位閱讀標註系統」輔以閱讀學習的情境下,學習者的閱讀標註瀏覽行為、標註行為及SOAR筆記分數是否影響學生其閱讀自我效能、閱讀理解成效。此外,也針對不同性別與認知風格的學習者作探討。
研究結果發現: 1.在使用「合作式數位閱讀標註系統」支援閱讀的學習情境下,採用「SOAR結構化筆記模組」支援數位閱讀學習,其國小學生的標註行為、閱讀標註瀏覽行為及SOAR筆記分數與閱讀自我效能並無顯著相關2.女性學習者的自我效能與閱讀理解成效具有顯著高度正相關,並且具有線性迴歸之可預測性3.全體學習者的SOAR筆記分數與閱讀理解成具有顯著高度正相關,並且具有線性迴歸之可預測性4.男性學習者的SOAR筆記分數與閱讀理解成效具有顯著高度正相關,並且具有線性迴歸之可預測性5.對國小學生的閱讀理解成效具有顯著的提升6.對男性學習者與女性學習者的閱讀理解成效均具有顯著的提升7.對場地獨立型學習者與場地相依型的學習者的閱讀理解成效均具有顯著的提升。
最後,基於研究結果,本研究亦提出對教師及系統改良的建議,並提出幾個未來的研究方向,希望能對數位閱讀研究有所貢獻。 / Abstract
To cope with the digital reading era, self-monitoring to assist learners in grasping reading skills during digital reading, especially for the digital reading of elementary pupils with inadequate reading cognitive capabilities, perfect learning scaffolding is required for achieving good reading performance. There are many different mechanisms developed in annotation systems to assist in reading and help learners promote the reading motivation and reading performance. However, it is also discovered that the learning could easily focus on the quantity of annotation, but ignore the quality of annotation so that the reading comprehension performance could not be enhanced and the suitability of reading process and reading cognition in the learning process is ignored. For this reason, a reading annotation based “SOAR structured note module” for supporting effective reading is developed on the cooperative digital reading annotation system, allowing learners grasping the key points in the text during the noting process and helping learners promote the reading self-efficacy. It is expected to effectively advance the effective internalization and organization of learners in the reading in order to enhance the depth and performance of reading comprehension.
With one-shot experimental design, the effect of learners’ reading annotation browsing behaviors, annotation behaviors, and SOAR note scores on the reading self-efficacy and reading comprehension performance, under the reading learning situation with “cooperative digital reading annotation system” with “SOAR structured note module”. Besides, gender and learners with different cognitive styles are also discussed in this study.
The research findings are concluded as below. 1. Under the reading learning situation with the support of “cooperative digital reading annotation system”, elementary students applying “SOAR structured note module” to support the digital reading learning do not appear significant correlations between annotation behaviors, reading annotation browsing behaviors, SOAR note scores and reading self-efficacy. 2. Female learners’ self-efficacy and reading comprehension performance present remarkably and highly positive correlations, with the predictability of linear regression. 3. All learners’ SOAR note scores and reading comprehension performance show significantly and highly positive correlation, with the predictability of linear regression. 4. Male learners’ SOAR note scores and reading comprehension performance reveal notably and highly positive correlation, with the predictability of linear regression. 5. Elementary students’ reading comprehension performance is remarkably enhanced. 6. Both male and female learners’ reading comprehension performance is significantly enhanced. 7. Both field-independent and field-dependent learners’ reading comprehension performance is notably enhanced.
Finally, suggestions for teachers and system improvement are proposed, based on the research results, in this study, and several research directions are also proposed for research on digital reading.
Key words: SOAR structured note; cooperative reading annotation; reading self-efficacy; reading comprehension performance
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