A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment

Detalhes bibliográficos
Autor(a) principal: Almeida, Miguel Ramos de
Data de Publicação: 2023
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/28195
Resumo: Mestrado Bolonha em Finanças
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spelling A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessmentExpress CertificateAutocallable Structured ProductMonte Carlo SimulationVolatilityProbabilityProduto EstruturadoSimulação de Monte CarloVolatilidadeProbabilidadeMestrado Bolonha em FinançasThis Master’s Final Work aims to study and value a Fixed Coupon Express Certificate linked to the EURO STOXX 50 Index, an autocallable structured product issued by Deutsche Bank on the 4th of February 2020. In this analysis, two paths are followed: a Monte Carlo Simulation with 10,000 trials, considering three different volatilities (σ = 7.01%; σ = 12.78%; σ = 29.25%), and a comparison between the aforementioned Monte Carlo Simulation and Historical Data on the index’s performance since its inception in 1998. Aside from the valuation itself, this project also includes a probability and average lifespan analysis on the Express Certificate. From the Monte Carlo Simulation process, we observe that a higher volatility results in a lower product’s average present value and a lower probability of the investor earning back more than he or she paid for the product. From the comparison between Historical Data and the Monte Carlo Simulation, we infer that the Monte Carlo Simulation appears to be too optimistic when dealing with the possibility of the Certificate surviving until its full maturity. Additionally, the Simulation returns a higher product’s average present value and a higher probability of the investor earning back more than he or she paid for the product when compared to Historical Data on the performance of the index. Taking into account both sets of results, the product seems slightly overpriced.Instituto Superior de Economia e GestãoGaspar, Raquel M.Repositório da Universidade de LisboaAlmeida, Miguel Ramos de2023-08-23T13:24:25Z2023-062023-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.5/28195engAlmeida, Miguel Ramos de (2023). “A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestãoinfo: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:RCAAP2023-08-27T01:32:24Zoai:www.repository.utl.pt:10400.5/28195Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:27:37.012012Repositório 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 A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
title A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
spellingShingle A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
Almeida, Miguel Ramos de
Express Certificate
Autocallable Structured Product
Monte Carlo Simulation
Volatility
Probability
Produto Estruturado
Simulação de Monte Carlo
Volatilidade
Probabilidade
title_short A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
title_full A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
title_fullStr A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
title_full_unstemmed A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
title_sort A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
author Almeida, Miguel Ramos de
author_facet Almeida, Miguel Ramos de
author_role author
dc.contributor.none.fl_str_mv Gaspar, Raquel M.
Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Almeida, Miguel Ramos de
dc.subject.por.fl_str_mv Express Certificate
Autocallable Structured Product
Monte Carlo Simulation
Volatility
Probability
Produto Estruturado
Simulação de Monte Carlo
Volatilidade
Probabilidade
topic Express Certificate
Autocallable Structured Product
Monte Carlo Simulation
Volatility
Probability
Produto Estruturado
Simulação de Monte Carlo
Volatilidade
Probabilidade
description Mestrado Bolonha em Finanças
publishDate 2023
dc.date.none.fl_str_mv 2023-08-23T13:24:25Z
2023-06
2023-06-01T00:00:00Z
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/10400.5/28195
url http://hdl.handle.net/10400.5/28195
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Almeida, Miguel Ramos de (2023). “A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
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.publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
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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