BPI Consulting project - “Structured products”
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , , , |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/36375 |
Resumo: | This paper studies the best approach to valuing complex financial instruments, namely structured products. As part of a Consulting Project for Banco BPI, we aimed to develop an accurate and broad valuation model for this type of products, enabling the calculation of their Fair Value. To achieve this, we resorted to the Monte Carlo simulation model with appropriate Cholesky decomposition to predict price paths, which allowed for the computation of product cash flows and, consequently, respective fair value. These cash flows were segmented into repayment and return, which were then discounted to present value, resulting in the fair value at the valuation date. We started by benchmarking the current BPI portfolio of products and later enlarged the pool including other product characteristics present in major banks’ offering assortment. It is believed that, even though the model as is includes all major characteristics present in current financial instruments offered by the industry, given the dynamism of financial markets and constant evolution of complex products, this model may need recurring adjustments and adaptations. |
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BPI Consulting project - “Structured products”Project groupStructured productsFair valueValuationDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper studies the best approach to valuing complex financial instruments, namely structured products. As part of a Consulting Project for Banco BPI, we aimed to develop an accurate and broad valuation model for this type of products, enabling the calculation of their Fair Value. To achieve this, we resorted to the Monte Carlo simulation model with appropriate Cholesky decomposition to predict price paths, which allowed for the computation of product cash flows and, consequently, respective fair value. These cash flows were segmented into repayment and return, which were then discounted to present value, resulting in the fair value at the valuation date. We started by benchmarking the current BPI portfolio of products and later enlarged the pool including other product characteristics present in major banks’ offering assortment. It is believed that, even though the model as is includes all major characteristics present in current financial instruments offered by the industry, given the dynamism of financial markets and constant evolution of complex products, this model may need recurring adjustments and adaptations.Castro, FilipaSacadura, José NunoRUNAbreu, MariaPinheiro, Afonso Vaz Ruivo PachecoRamos, Ana SeguradoPalma, João Ricardo MartinsAlexandre, Pedro Miguel Coelho2021-01-20T01:30:28Z2018-01-202018-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/36375TID:201861887enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:19:45Zoai:run.unl.pt:10362/36375Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:30:27.352450Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
BPI Consulting project - “Structured products” Project group |
title |
BPI Consulting project - “Structured products” |
spellingShingle |
BPI Consulting project - “Structured products” Abreu, Maria Structured products Fair value Valuation Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
BPI Consulting project - “Structured products” |
title_full |
BPI Consulting project - “Structured products” |
title_fullStr |
BPI Consulting project - “Structured products” |
title_full_unstemmed |
BPI Consulting project - “Structured products” |
title_sort |
BPI Consulting project - “Structured products” |
author |
Abreu, Maria |
author_facet |
Abreu, Maria Pinheiro, Afonso Vaz Ruivo Pacheco Ramos, Ana Segurado Palma, João Ricardo Martins Alexandre, Pedro Miguel Coelho |
author_role |
author |
author2 |
Pinheiro, Afonso Vaz Ruivo Pacheco Ramos, Ana Segurado Palma, João Ricardo Martins Alexandre, Pedro Miguel Coelho |
author2_role |
author author author author |
dc.contributor.none.fl_str_mv |
Castro, Filipa Sacadura, José Nuno RUN |
dc.contributor.author.fl_str_mv |
Abreu, Maria Pinheiro, Afonso Vaz Ruivo Pacheco Ramos, Ana Segurado Palma, João Ricardo Martins Alexandre, Pedro Miguel Coelho |
dc.subject.por.fl_str_mv |
Structured products Fair value Valuation Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Structured products Fair value Valuation Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This paper studies the best approach to valuing complex financial instruments, namely structured products. As part of a Consulting Project for Banco BPI, we aimed to develop an accurate and broad valuation model for this type of products, enabling the calculation of their Fair Value. To achieve this, we resorted to the Monte Carlo simulation model with appropriate Cholesky decomposition to predict price paths, which allowed for the computation of product cash flows and, consequently, respective fair value. These cash flows were segmented into repayment and return, which were then discounted to present value, resulting in the fair value at the valuation date. We started by benchmarking the current BPI portfolio of products and later enlarged the pool including other product characteristics present in major banks’ offering assortment. It is believed that, even though the model as is includes all major characteristics present in current financial instruments offered by the industry, given the dynamism of financial markets and constant evolution of complex products, this model may need recurring adjustments and adaptations. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-01-20 2018-01-20T00:00:00Z 2021-01-20T01:30:28Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/36375 TID:201861887 |
url |
http://hdl.handle.net/10362/36375 |
identifier_str_mv |
TID:201861887 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137929068544000 |