外幣計價之台灣連動保本型票券訂價

Valuation of Equity-Linked Principal Guaranteed Notes under Interest-Rate, Exchange-Rate, and Credit Risks

10.6985/TBFQ.200709.0001

黃玉娟(Yu-Chuan Huang)；吳錦文(Chin-Wen Wu)

Equity-Linked Principal Guaranteed Note ； Default Risk ； Stochastic Interest Rates ； Hedging Strategy

台灣金融財務季刊

8卷3期（2007 / 09 / 01）

1 - 21

繁體中文

民國95年8月，金管會研議金融機構承做聯結台灣股票市場的外幣衍生性金融商品，一旦開放後，金融機構如何訂價外幣計價的股權連動票券將成為重點。在短期利率、匯率波動劇烈與信用違約事件頻傳情境下，本研究同時考量利率風險、匯率風險發行機構及標的資產公司的信用風險之設定下，推導出外幣計價的股權連動票券訂價公式。 參考國內券商發行的華邦電保本型票券契約，藉由數值分析可知：(1)美元計價之華邦電保本型票券價值將隨著華邦電股價的上升而增加，但增加幅度逐漸縮小；(2)華邦電股價越高，華邦電報酬率之波動度增加，對美元計價之華邦電保本型票券價值有先增後降情境；(3)股價與匯率報酬率間相關係數為負時，美元計價之華邦電保本型票券價值將隨著匯率上升而增加，如果相關係數為正，美元計價之華邦電保本型票券價值卻隨著匯率上升而下降；(4)隨著華邦電股價增加，預期違約機率越高，華邦電保本型票券價值將呈現先增後減趨勢。本文所推導之公式解可供實務界參考，作為發行股權連動保本型票券訂價依據。

Taking a Winbond principal-guaranteed note issued by a securities firm as an example, we propose the closed-form solution for this note under the consideration of stochastic interest-rate, exchange-rate, and dual default risks. From sensitive analysis, we find: (1) The price of an equity-linked principal-guaranteed note is an increasing function of the stock price, but the growth rate is decreasing. (2) If the stock price increases, the value of the equity-linked principal-guaranteed note first increases and then decreases as the stock return volatility or expected default probability of the underlying asset increases. (3) The value of an equity-linked principal-guaranteed note is dependent on the volatility of the exchange rate and the correlation between the stock and the exchange rate.

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