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A study about a fixed coupon express certificate linked to the Euro Stoxx 50 index : backtesting and performance assessment
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Orientador(es)
Resumo(s)
This 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.
Descrição
Mestrado Bolonha em Finanças
Palavras-chave
Express Certificate Autocallable Structured Product Monte Carlo Simulation Volatility Probability Produto Estruturado Simulação de Monte Carlo Volatilidade Probabilidade
Contexto Educativo
Citação
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
Editora
Instituto Superior de Economia e Gestão