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ERG4920DYThesisIIAssessingRisksinHigh-interestForex-linkedInvestmentsIndexTOC\o"1-3"\h\z\uHYPERLINK\l"_Toc198435201"IndexPAGEREF_Toc198435201\h1HYPERLINK\l"_Toc198435202"1.IntroductionPAGEREF_Toc198435202\h2HYPERLINK\l"_Toc198435203"2.WorkingPrinciplePAGEREF_Toc198435203\h3HYPERLINK\l"_Toc198435204"3.ObjectivePAGEREF_Toc198435204\h5HYPERLINK\l"_Toc198435205"4.RelationshipbetweentheinvestmentandoptionPAGEREF_Toc198435205\h6HYPERLINK\l"_Toc198435206"5.Relationshipbetweencouponrates,volatilityofthecurrencies,maturitytimePAGEREF_Toc198435206\h8HYPERLINK\l"_Toc198435207"6.Investor’spotentialbenefitPAGEREF_Toc198435207\h11HYPERLINK\l"_Toc198435208"7.RiskFactorsPAGEREF_Toc198435208\h12HYPERLINK\l"_Toc198435209"8.GeneralpayoffequationPAGEREF_Toc198435209\h15HYPERLINK\l"_Toc198435210"9.Best&WorstcaseanalysisPAGEREF_Toc198435210\h22HYPERLINK\l"_Toc198435211"10.VarianceanalysisPAGEREF_Toc198435211\h30HYPERLINK\l"_Toc198435212"11.Value-at-RiskanalysisPAGEREF_Toc198435212\h36HYPERLINK\l"_Toc198435213"AppendixI.TerminologyPAGEREF_Toc198435213\h41HYPERLINK\l"_Toc198435214"AppendixII.UserManualofsimulationprogramPAGEREF_Toc198435214\h45HYPERLINK\l"_Toc198435215"AppendixIII.ReferencePAGEREF_Toc198435215\h481.IntroductionHigh-interestforex-linkedinvestmentsarenewlyintroducedproductsbybanksinHongKonginthepastfewyears.Thisinvestmentbasedonthelinkagebetweentwocurrencies.InHK,banksusuallyprovideHKD,AUD,NZD,GBP,CAD,JPYandEURforinvestortolink.Thebankoffersacontracttotheinvestorwithahighcouponratedependsonthetypeofcurrency,initialexchangerate,finalexchangerate,periodofdepositetc.Whenthematuritydateismet,investorcanreceivethecouponspecifiedinthecontract,butthebankwillswapthedomesticcurrencytothelinkedcurrencyifthelinkedcurrencydepreciatesandinvestormaysufferaloss.ThefollowingisanexampletoillustratetheworkingprincipleofHigh-interestforex-linkedinvestment.
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