Publicação
VAR analysis of a 5-year call certificate linked to a basket
| Resumo: | This project aims to provide a comprehensive analysis of a structured product linked to a basket of three underlying assets, in the scope of Financial Engineering and its risks. The product was issued by BNP Paribas on September 28th 2018 and matured on September 28th 2023. As such, the project was structured with a theoretical base comprising WKH SURGXFW¶V ULVNV advantages and disadvantages, description and decomposition. This was followed by a practical DSSURDFK LQFOXGLQJ WKH SURGXFW¶V YDOXDWLRQ LQ ZKLFK the Monte Carlo Simulation played a crucial role in determining the SURGXFW¶V value at inception and a mention to the Binomial Tree model was made. Furthermore, DQDQDO\VLVWRWKHFHUWLILFDWH¶VZHHNO\9DOXHDW5LVN(VaR) and other variants was performed as well as a comparison between results. It was found that the results for assets that contributed to the underlying basket risk had very low significance, given the initially invested capital. By comparing the results for Incremental VaR, Marginal VaR and Component VaR, it was possible to see the implications that adjusting each assets weight on the basket had on the total risk level. Considering the overall results, it is observed that the only asset that contributes positively to the underlying basket risk is asset MGOIAEA LN, meaning that it might be the less volatile amongst all assets or that it contributes to the basket with diversification benefits necessary to stability of the investment. By delving into these questions, the project aims to provide a deeper understanding on the investment¶s risk level which can be insightful for the investor in the light of decision-making processes in the scope of structured products. |
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| Autores principais: | Sousa, Matilde Susana Mota Pinto de |
| Assunto: | Structured Products Financial Engineering Monte Carlo Simulation Value at Risk Produtos Estruturados Engenharia Financeira Simulação de Monte Carlo Value at Risk |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | This project aims to provide a comprehensive analysis of a structured product linked to a basket of three underlying assets, in the scope of Financial Engineering and its risks. The product was issued by BNP Paribas on September 28th 2018 and matured on September 28th 2023. As such, the project was structured with a theoretical base comprising WKH SURGXFW¶V ULVNV advantages and disadvantages, description and decomposition. This was followed by a practical DSSURDFK LQFOXGLQJ WKH SURGXFW¶V YDOXDWLRQ LQ ZKLFK the Monte Carlo Simulation played a crucial role in determining the SURGXFW¶V value at inception and a mention to the Binomial Tree model was made. Furthermore, DQDQDO\VLVWRWKHFHUWLILFDWH¶VZHHNO\9DOXHDW5LVN(VaR) and other variants was performed as well as a comparison between results. It was found that the results for assets that contributed to the underlying basket risk had very low significance, given the initially invested capital. By comparing the results for Incremental VaR, Marginal VaR and Component VaR, it was possible to see the implications that adjusting each assets weight on the basket had on the total risk level. Considering the overall results, it is observed that the only asset that contributes positively to the underlying basket risk is asset MGOIAEA LN, meaning that it might be the less volatile amongst all assets or that it contributes to the basket with diversification benefits necessary to stability of the investment. By delving into these questions, the project aims to provide a deeper understanding on the investment¶s risk level which can be insightful for the investor in the light of decision-making processes in the scope of structured products. |
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