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Bewertung und Analyse von Bonuszertifikaten. Die Monte-Carlo-Simulation (Excel Bewertungsmodell)

Bewertung und Analyse von Bonuszertifikaten. Die Monte-Carlo-Simulation (Excel Bewertungsmodell)

          
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About the Book

Studienarbeit aus dem Jahr 2017 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1,3, Johann Wolfgang Goethe-Universität Frankfurt am Main, Veranstaltung: Bewertung von Zertifikaten, Sprache: Deutsch, Abstract: Die vorliegende Arbeit befasst sich mit der Bewertung und Analyse von Bonuszertifikaten aus Sicht eines Privatanlegers. Hierzu wird das Bonuszertifikat auf die Adidas-Aktie mithilfe der Monte-Carlo-Simulation (implementiert in ein Excel Bewertungsmodell) zum Emissionszeitpunkt und während der Laufzeit bewertet. Da es sich um ein am Markt bestehendes Produkt handelt, kann der eigens berechnete Wert mit dem Preis, zu welchem das Zertifikat emittiert wurde, verglichen werden. Entscheiden für die Differenz der Zertifikatwerte ist dabei die Wahl der Inputparameter. Um aus Anlegersicht interessante Produkteigenschaften zu analysieren, wird das Produkt im Zeitablauf und unter unterschiedlichen Marktbedingungen bewertet. Risikokennzahlen wie der Value at Risk oder die Shortfallwahrscheinlichkeit werden berechnet und verglichen, indem mithilfe der Monte-Carlo-Simulation verschiedene Szenarien für Aktienkurse und Zertifikatwerte zu verschiedenen Zeitpunkten während der Laufzeit simuliert werden, aus welchen sich jeweils unterschiedliche Renditeszenarien ableiten lassen. Um zu analysieren, wie sich die Rendite und die Volatilität des Produkts im Vergleich zum Basiswert verhalten, wird das Zertifikat in historisch interessante Marktphasen versetzt und unter den dort gegebenen Bedingungen im Zeitablauf bewertet. Aus den berechneten Zertifikatwerten lassen sich Rendite- und Volatilitätswerte ableiten, welche mit jenen des Basiswerts verglichen werden. Hierbei hängt das Ergebnis immer stark davon ab, unter welchen Bedingungen das Zertifikat bewertet wird. Resultierend aus den Analysen der beschriebenen Kennzahlen lässt sich ableiten, dass ein Bonuszertifikat vor allem in Seitwärtsmärkten interessant und vorteilhaft sein kann, da trotz eines leichten Kursrückga


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Product Details
  • ISBN-13: 9783668432390
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Edition: Excel Bewertungsmodell
  • Language: German
  • Returnable: N
  • Weight: 50 gr
  • ISBN-10: 3668432392
  • Publisher Date: 28 Apr 2017
  • Binding: Paperback
  • Height: 210 mm
  • No of Pages: 30
  • Spine Width: 2 mm
  • Width: 148 mm


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