Publicação
Structured product analysis : Cirdan Phoenix Autocallable Worst of Certificates
| Resumo: | This project was developed with the objective of analyzing the “Cirdan Phoenix Autocallable Worst of Certificate” product issued by Cirdan Capital Management, based on the knowledge acquired from the curricular courses from my master’s in finance, particularly Financial Engineering. This report can be divided in 5 chapters: Literature Review, Description of the Product (General description of features, Product Decomposition and Payout and Risks), Valuation Methods (including origins of inputs and models used to price the product), Product Valuation and Correlation Study. In this report, it’s possible to observe a qualitative approach to the project where there is an in-depth explanation of the product features and its implications in the price of the product regarding changes in the market conditions. I also review the possibility of decomposing this product in simpler derivatives products and its limitations in this case. In this section, you can also observe the risk associated with this product as well as the official risk classification made available by the issuer. After this part, the report focuses on the inputs used, the models used and the reasons to not use certain models and the methodology of pricing of this product. After this, it was made a comparison based on what the investor paid for the product and what he/she can expect from it, with multiple statistics (i.e. probability of autocall) to interpret and predict what might happen. In the last part, this report specialized in the product’s sensitivity to different correlations of the assets within the basket, whilst also changing some of the product’s characteristics. |
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| Autores principais: | Figueira, Diogo Miguel Ferro |
| Assunto: | Structured Product Autocallable Product Memory Coupon Worst-off basket Monte Carlo Simulation Sensitivity Analysis Correlation Produto Estruturado Produto Autocallable Cupão com memória Worst-off Basket Simulação de Monte Carlo Análise de Sensibilidade Correlação |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | This project was developed with the objective of analyzing the “Cirdan Phoenix Autocallable Worst of Certificate” product issued by Cirdan Capital Management, based on the knowledge acquired from the curricular courses from my master’s in finance, particularly Financial Engineering. This report can be divided in 5 chapters: Literature Review, Description of the Product (General description of features, Product Decomposition and Payout and Risks), Valuation Methods (including origins of inputs and models used to price the product), Product Valuation and Correlation Study. In this report, it’s possible to observe a qualitative approach to the project where there is an in-depth explanation of the product features and its implications in the price of the product regarding changes in the market conditions. I also review the possibility of decomposing this product in simpler derivatives products and its limitations in this case. In this section, you can also observe the risk associated with this product as well as the official risk classification made available by the issuer. After this part, the report focuses on the inputs used, the models used and the reasons to not use certain models and the methodology of pricing of this product. After this, it was made a comparison based on what the investor paid for the product and what he/she can expect from it, with multiple statistics (i.e. probability of autocall) to interpret and predict what might happen. In the last part, this report specialized in the product’s sensitivity to different correlations of the assets within the basket, whilst also changing some of the product’s characteristics. |
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