This thesis presents an empirical study on the valuation of the structured notes by means of the methodology by Grant and Vora which is redefinition of Heath-Jarrow-Morton model suggested in 1999 and that of Black model. For the application of the HJM-GV model, binomial interest rate tree was used to describe the random evolution of future forward rates and discount the payoff of those bonds to calculate structured notes’ price. In addition, for the application of the black model, those bonds were decomposed to coupon bond, swap contract and interest rate cap. The results of this study show that the prices of the notes were a little over-valued in both models comparing to the market prices.
The over-valued price seemed to be caused by data insufficiency, some assumptions applied to the model. So, the reflection of credit spread and more refined interest rate and volatility estimation is needed for the further study.
구조화채권에 대한 가격결정을 HJM model에 의한 방법과 분해를 통한 Black cap pricing model을 이용하여 평가하였다. 신용위험의 미반영과 Cap volatility 적용의 한계등 한계사항으로 인해 시장 가격보다 할증계산되는 문제가 발생하였으나, forward rate에 의한 HJM model을 현재 구조채권으로 실증분석하였다는 점에서 의의를 찾을 수 있다.
