Publicação
Structured Product Analysis – 5-Year Certificate Linked To A Basket 2018-2023
| Resumo: | This project intends to analyze the structured product issued by BNP Paribas- 5-YEAR CERTIFICATE LINKED TO A BASKET. This analysis encompasses a product description, followed by its main risks from the investor and the issuer’s perspective. The product is then compared to an ETF where the comparative advantages and disadvantages are presented, and a suggested product decomposition is proposed based on an Asian call option and a Zero-coupon Bond. Then, using the Montecarlo simulation model (after concluding that this specific structured product could not be evaluated using the Black-Scholes model or even Binomial trees since they do not capture its complexity) I valued the product by simulating the performance of the 3 underlying that compose the basket which the Final average performance will dictate the product’s payoff from the investor’s perspective. Additionally, I tested the product’s exposure to currency risk by incorporating the USD/EUR exchange rate in the Monte Carlo simulations which was proven to not be statistically significant. Finally, under a scenario analysis, I simulated four different yield curve scenarios to observe the changes in the product’s value and verify that the interest rate risk has a significant impact on the product’s pricing |
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| Autores principais: | Ribeiro, José Gonçalo Apolinário |
| Assunto: | BNP Paribas Structured Product Monte Carlo Pricing models currency risk exchange rate yield curve interest rate risk |
| 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 intends to analyze the structured product issued by BNP Paribas- 5-YEAR CERTIFICATE LINKED TO A BASKET. This analysis encompasses a product description, followed by its main risks from the investor and the issuer’s perspective. The product is then compared to an ETF where the comparative advantages and disadvantages are presented, and a suggested product decomposition is proposed based on an Asian call option and a Zero-coupon Bond. Then, using the Montecarlo simulation model (after concluding that this specific structured product could not be evaluated using the Black-Scholes model or even Binomial trees since they do not capture its complexity) I valued the product by simulating the performance of the 3 underlying that compose the basket which the Final average performance will dictate the product’s payoff from the investor’s perspective. Additionally, I tested the product’s exposure to currency risk by incorporating the USD/EUR exchange rate in the Monte Carlo simulations which was proven to not be statistically significant. Finally, under a scenario analysis, I simulated four different yield curve scenarios to observe the changes in the product’s value and verify that the interest rate risk has a significant impact on the product’s pricing |
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