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A risk- and performance study of financial structured products
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

We product test the structured financial products offered in Mangold Fondkommission AB’s issue nr. 7, according to guidelines set up by the European Securities and Market Authority. The constructed model is a real world economic scenario generator (ESG) that forecasts future performance of the assets that underlies each product. In the model, we assume that stock paths follow a geometric Brownian motion where volatility is time dependent, heteroscedastic and auto correlated. Given a forecast, we test a product’s performance to receive understanding of the risks that a holder might face. The results have led to the conclusion that the potential return corresponds to the level of risk taken by the investor. Thus, product testing would serve as good practice for all distributors in order to find the most suitable structured product for a given customer due to their risk- and reward profile.

Place, publisher, year, edition, pages
2015. , 81 p.
Keyword [en]
structured products
National Category
Mathematics
Identifiers
URN: urn:nbn:se:umu:diva-107984OAI: oai:DiVA.org:umu-107984DiVA: diva2:850077
External cooperation
Mangold Fondkommission AB
Educational program
Master of Science in Engineering and Management
Supervisors
Examiners
Available from: 2015-08-31 Created: 2015-08-31 Last updated: 2015-08-31Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf