本研究旨在探討2008年中華電信發生帳面上出現40億匯兌虧損的事件，此事件起因於中華電信與高盛投資銀行簽約承做了一筆條件式外匯選擇權契約，該交易不僅合約時間長，且屬於多種選擇權組合而成的結構型衍生性商品。中華電信簽約期間正好遇到美國發生次貸危機，隨著Fed不斷調降利息，美元開始貶值，造成新台幣匯率相對走升，這也是造成該合約出現虧損之主要原因。本研究先是透過時間序列分析建立美元兌新台幣之匯率預測模型，希望藉由此一模型來描述匯率之動態行為。接著從財務工程角度，將複雜的契約拆解為一般之歐式選擇權和障礙式選擇權，然後以評價公式與蒙地卡羅模擬法，分別對中華電信所簽訂的條件式外匯選擇權契約進行評價，求出該契約價值後再進一步探討中華電信與高盛簽訂此份合約之合理性。

　　This study examines the event of Chunghwa Telecom’s foreign exchange derivative contract entered into in 2008 with Goldman Sachs. This contract has a long maturity of 10 years and is structured by various types of options. During its term the U.S. subprime mortgage crisis broke out and the Federal Reserve repeatedly lower Federal funds rate, causing unexpected depreciation of U.S. dollar against N.T. dollars and subsequently leading to a loss up to 4 billion Taiwan dollars in CHT's single month financial statement. In this study we take two perspectives to analyze this event, which are respectively based on time series analysis and financial engineering. The former aims to establish a time series model to capture the dynamics of foreign exchange rates before and during the contract’s term, while the second intends to obtain the correct value of this contract using analytical and Monte-Carlo methods. These provide a retrospective view on the decision making of this contract.

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