Issuers of structured products have great power when setting the price of their securities. Each issuer is the sole liquidity provider in the secondary market for her products, and short-selling is not possible. Using a large, high-frequency data set, we investigate the pricing dynamics of a...

Since first introduced in 2003, the number of autocallable structured products in the U.S. has increased exponentially. The autocall feature immediately converts the product if the reference asset's value rises above a pre-specified call price. Because an autocallable structured product matures...

This study proposes a structured product (SP) for hedging defined contribution pension fund members against capital market risk. Using Monte Carlo simulations on three different guaranteed returns to test the investment strategy of the SP against a balanced investment portfolio, we measure their...

How did Japan avoid the great credit market boom and bust of the 2000s, which plagued so many other advanced economies? What were the factors that limited dangerous excesses in its domestic structured credit markets? What were the factors that limited its investments in foreign structured credit...

In this paper, we examine the nature of structured products, why they are used, and by whom. We consider the size of the industry and some of its most popular products in the context of Asian capital markets. Finally, we identify a variety of risks for each of the parties involved: issuers,...