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Autor: CHUN-CHIN CHEN, 陳俊卿
Rok vydání: 2009
Druh dokumentu: 學位論文 ; thesis
Popis: 97
In order to resolve problems of low return on stock and deposits, in recent years the development of new products in global financial institutions have become popular.With the upgrading of financial engineering technology and experience accumulated, the financial institutions constantly make full use of traditional financial instruments and diversified portfolios to create new kinds of financial products to meet the needs of investors, including Structured notes. Some of such products have the advantages of principal guarantee and better paid return than deposits, thus banks and investors are all eager for buying such products.However, with the spread of the U.S. subprime mortgage crisis triggered global financial turmoil,and finally had resulted in the bankruptcy of Lehman Brothers and also made the global financial institutions and investors suffer from a huge amount of loss, but also made global investors indulge in the pursuit of Structured notes highly leveraged (i.e. implies a multiple operation of high-risk& high-profit investment).Suddenly they become more rational and objective. In the past, scholars usually used mathematical model to figure out Value at Risk (VAR) of the individual Structured notes in order to assess the degree of risk, but structured products usually have unique and non-standardized characteristics, and are often not one-size-fits.Scholars need to spend much time and money to assess the riskof products. This study adopts questionnaire of experts with Expert Choice software to analyse key risk factors of such products. The purpose of this study is based on the point of view of financial products designer to expect the application of Delphi method questionnaire can survey substantive response of experts, over and over again with the convergence of expert opinion feedback, and select the impact of key structural dimensions and indicators of the bond risk. And then use the Analytic Hierarchy Process(AHP) analysis method that can make decisions of the dimensions and indicators of weight. Finally conclude key factors of the risk-based impact of the Structured notes and the weight of all key factors.This study expects to establish an objective, systematic and standardized risk assessment module that can measure the degree of risk of the Structured notes, and then to understand and evaluate a variety the degree of risk, and indeed to measure and recognize the degree of risk of such financial products, and finally 20 products available in markets had been released to the empirical research and conclude that the ranking of score derivated from risk assessment module was matched with the ranking of products evaluated by financial experts.It enhanced the availability for risk assessment module of this study.Author made references of the literature of scholars as able as possible, the study found that Structured notes were often evaluated for individual risk assessment, there was no comprehensive study of the Structure notes rating, and there was no comparison in relation to the overall structure risk extent of the case. The refinement of this study explores the overall rating structure of the risk of products, and looks forward to providing relevant management policies for the competent authority, the auditing decisions of related products for financial institutions and the decision-making rules for public investors. In addition, this study looks forward to providing something useful and makes all participants well and clearly understand the nature of risk in such products.This study also expects to avoid causing many investment disputes resulted from not better declaration of the risk of such products, in which the operation costs would be very costly, and it is possible to sacrifice a professional image and reputation of the banks. Key words：Structured notes,Delphi Method,Analytic Hierarchy Process，AHP.
Databáze: Networked Digital Library of Theses & Dissertations
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