英文标题：
《A Probabilistic Analysis of Autocallable Optimization Securities》
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作者：
Gilna K. Samuel and Donald St. P. Richards
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最新提交年份：
2018
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英文摘要：
  We consider in this paper some structured financial products, known as reverse convertible notes, that resulted in substantial losses to certain buyers of these notes in recent years. We shall focus on specific reverse convertible notes known as \"Autocallable Optimization Securities with Contingent Protection Linked to the S\\&P 500 Financial Index,\" because these notes are representative of the broad spectrum of reverse convertibles notes. Therefore, the analysis provided in this paper is applicable to many other reverse convertible notes.   We begin by describing the notes in detail and identifying potential areas of confusion in the pricing supplement to the prospectus for the notes. We deduce two possible interpretations of the payment procedure for the notes and apply the Law of Total Expectation to develop a probabilistic analysis for each interpretation. We also determine the corresponding expected net payments to note-holders under various scenarios for the financial markets and show that, under a broad range of scenarios, note-holders were likely to suffer substantial losses.   As a consequence, we infer that the prospectus is sufficiently complex that financial advisers generally lacked the mathematical knowledge and expertise to understand the prospectus completely. Therefore, financial advisers who recommended purchases of the notes did not have the knowledge and expertise that is required by a fiduciary relationship, hence were unable to exercise fiduciary duty, and ultimately misguided their clients. We conclude that these reverse convertibles notes were designed by financial institutions to insure themselves, against significant declines in the equities markets, at the expense of note-holders.
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中文摘要：
我们在本文中考虑了一些结构性金融产品，称为反向可转换票据，近年来这些票据的某些买家遭受了巨大损失。我们将重点关注被称为“与标准普尔500指数金融指数相关或有保护的自动赎回优化证券”的特定反向可转换票据，因为这些票据代表了广泛的反向可转换票据。因此，本文提供的分析适用于许多其他反向可转换票据。我们首先对票据进行详细描述，并确定票据招股说明书定价补充中可能存在的混淆之处。我们推导出票据付款程序的两种可能解释，并应用总期望定律对每种解释进行概率分析。我们还确定了在金融市场的各种情况下对票据持有人的相应预期净付款，并表明，在广泛的情况下，票据持有人可能遭受重大损失。因此，我们推断招股说明书非常复杂，财务顾问通常缺乏数学知识和专业知识，无法完全理解招股说明书。因此，建议购买票据的财务顾问不具备信托关系所需的知识和专业知识，因此无法履行信托义务，最终误导了他们的客户。我们得出的结论是，这些反向可转换债券是由金融机构设计的，目的是为了在股票市场大幅下跌的情况下，以票据持有人为代价为自己提供保险。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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