中國分級基金之評價與風險分析

The Pricing and Risk Analysis of Chinese Classified Mutual Funds

分級基金之價值可用修正的二項式選擇權評價法來評估。此評價模型可以處理各種不同的收益分配規則，除可評價現有的分級基金外，也可在設計不同的分級基金時，做為規劃階段的先行評估工具。另外，也提供多方面的敏感度分析，包括各級別之規模占比和母基金資產的波動性等對基金價值的影響。

The value and risk of various classified funds are evaluated via a modified binomial option pricing model. The model is capable of accommodating various sharing rules, which is useful in pricing existing classified funds as well as in structuring new types of classified funds. Sensitivity analysis from different angles are also conducted, which include the changes in the shares of sub-funds, participation provision, promised yield to FIT, asset volatility and fund maturity. The resulting changes in fund value are discussed and documented.