目標可贖回遠期契約（TRF）的定價與避險

Abstract

目標可贖回遠期契約（TRF）是一種標的物為匯率的複雜衍生性商品，2015年八月中旬人民幣急貶，造成臺灣人民幣TRF投資人發生近15億美元的虧損。臺灣本土銀行因為擔任此商品中介者，在投資人違約的情況下承接了TRF合約，也產生鉅額呆帳。我的研究針對人民幣目標可贖回遠期契約（TRF）與其他類似的複雜型衍生性商品進行定價，釐清其真實價值。另外，也設計一套TRF持有者以及發行者可以使用的動態避險策略，有助於臺灣本土銀行減少承接合約之後的損失，也可提供臺灣本土銀行發行相關商品的避險參考，不再僅僅擔任中介者。

Target Redemption Forward (TRF) was a popular exotic derivative in the foreign exchange market. In August 2015, RMB depreciated suddenly after a reform of exchange rate, causing about 150 million loss on TRF investors in Taiwan. Banks in Taiwan serve as back-to-back agents in TRF trades, buying TRF contract from foreign investment banks and selling them to domestic investors. While domestic investors default on the contract, banks in Taiwan must still pay the loss to foreign investment banks, which caused continuous loss for them. My research focus on the pricing of TRF and designing hedging strategies for TRF investors. The research will help domestic banks to understand more about TRF, and to hedge for outstanding contracts.