Publicação
PRIIP analysis: valuation and sensitivity analysis of 9.20% P.A. barrier reverse convertible in EUR on Lufthansa (2024 - 2026)
| Resumo: | This project aims to analyse a structured product issued by Leonteq Securities AG – 9.20% p.a. Barrier Reverse Convertible in EUR on Lufthansa. It focuses on the following key questions: the main risks investors face when investing in this product, how this product can be broken down into simpler financial instruments, the potential benefits for the issuer, the circumstances under which the product can help hedge the Financial Intermediary's exposure to the underlying stock, the theoretical value of the certificate on the issuing date and in January, including probability of early redemption estimated on the issuing date, the chances of the investor losing some money, the likelihood of receiving the maximum coupon amount, and the product's delta. This analysis employs the knowledge I gained during my master’s in finance. I begin with a detailed overview of the product’s main terms, based on the structure proposed by Blümke (2009), which highlights all the key factors relevant to structured products stated in the term sheet, such as the name, the investment type, the counterparties involved, the underlying asset, etc. Additionally, I conducted a risk analysis. The most quantitative aspect focuses on valuation, where I applied well-known models like the Binomial Tree and the Monte Carlo Simulation. I also did a sensitivity analysis to understand how variations in one variable impact the product's price while keeping others constant. Ultimately, I discuss the results. |
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| Autores principais: | Lopes, Catarina Alexandra Calixto |
| Assunto: | Callable Barrier Reverse Convertible Structured Product Risks Valuation Probabilities Sensitivity Analysis |
| Ano: | 2025 |
| 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 analyse a structured product issued by Leonteq Securities AG – 9.20% p.a. Barrier Reverse Convertible in EUR on Lufthansa. It focuses on the following key questions: the main risks investors face when investing in this product, how this product can be broken down into simpler financial instruments, the potential benefits for the issuer, the circumstances under which the product can help hedge the Financial Intermediary's exposure to the underlying stock, the theoretical value of the certificate on the issuing date and in January, including probability of early redemption estimated on the issuing date, the chances of the investor losing some money, the likelihood of receiving the maximum coupon amount, and the product's delta. This analysis employs the knowledge I gained during my master’s in finance. I begin with a detailed overview of the product’s main terms, based on the structure proposed by Blümke (2009), which highlights all the key factors relevant to structured products stated in the term sheet, such as the name, the investment type, the counterparties involved, the underlying asset, etc. Additionally, I conducted a risk analysis. The most quantitative aspect focuses on valuation, where I applied well-known models like the Binomial Tree and the Monte Carlo Simulation. I also did a sensitivity analysis to understand how variations in one variable impact the product's price while keeping others constant. Ultimately, I discuss the results. |
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