| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 99 === Foreign currency principal guaranteed structured commodity is very popular at Taiwan. However, when agents sell the product to customers, they don’t clearly disclose risks of the products. So it is extremely important for investors to use good assessment model to take all risk into account and judge the correct reasonable prices and possible risk. Therefore, this paper use foreign currency principal guaranteed structured products in case study, and sensitivity analysis and Monte Carlo simulation method for modeling commodity price and risk. Research results shows that AUD/USD exchange rate volatility and AUD risk-free interest rate to commodity price present the remarkable negative correlation . The issue year and barrier value range to commodity price present obviously positive correlation. AUD/TWD exchange rate volatility, AUD/USD exchange rate volatility and AUD risk-free interest rate to commodity risk present the remarkable negative correlation . The issue year and barrier value range to commodity risk present obviously positive correlation. Investors can judge the value and risk of those commodities by different factors, and then make appropriate invest decision for them.
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