本文選題：結(jié)構(gòu)性理財(cái)產(chǎn)品 + 期權(quán)��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：隨著國(guó)內(nèi)金融市場(chǎng)不斷地發(fā)展壯大,老百姓投資意識(shí)的不斷增強(qiáng),個(gè)人客戶的理財(cái)需求大大加強(qiáng)。在這樣的背景之下,國(guó)內(nèi)理財(cái)產(chǎn)品的數(shù)量急劇增長(zhǎng),銀行結(jié)構(gòu)性理財(cái)產(chǎn)品以其獨(dú)有的風(fēng)險(xiǎn)收益特征,成為國(guó)內(nèi)理財(cái)市場(chǎng)的重要組成部分。 結(jié)構(gòu)性理財(cái)產(chǎn)品的投資本質(zhì)上就是一個(gè)固定收益類產(chǎn)品和金融衍生品的投資組合。固定收益部分的主要投資于同業(yè)存款,同業(yè)拆借以及國(guó)內(nèi)銀行間市場(chǎng)的其他投資標(biāo)的；金融衍生品主要是以各種期權(quán)和互換為投資工具。因?yàn)樯婕敖鹑谘苌?故產(chǎn)品結(jié)構(gòu)通常較為復(fù)雜。由于國(guó)內(nèi)的個(gè)人客戶對(duì)于金融衍生品知之甚少,很多客戶在沒有弄明白產(chǎn)品特征的情況下,片面看重較高的條件回報(bào)率,盲目購(gòu)買,當(dāng)遇到市場(chǎng)實(shí)際表現(xiàn)與產(chǎn)品設(shè)計(jì)初衷不符時(shí),對(duì)于該類產(chǎn)品的零收益,甚至是負(fù)收益不能理解,其結(jié)果是從2007年開始,結(jié)構(gòu)性產(chǎn)品在國(guó)內(nèi)市場(chǎng)被當(dāng)成金融毒藥,群起而攻之,進(jìn)而導(dǎo)致市場(chǎng)上的結(jié)構(gòu)性產(chǎn)品發(fā)行數(shù)量和規(guī)模都大幅下降,中資銀行紛紛暫停該類業(yè)務(wù)轉(zhuǎn)而開展銀信合作的理財(cái)產(chǎn)品。國(guó)內(nèi)結(jié)構(gòu)性產(chǎn)品的現(xiàn)狀,一方面是投資者不成熟的體現(xiàn),另一方面,作為產(chǎn)品發(fā)行方的銀行,同樣是難辭其咎的�；仡櫤芏嘟Y(jié)構(gòu)性產(chǎn)品,我們可以發(fā)現(xiàn),很多的設(shè)計(jì)結(jié)構(gòu)不甚合理,承受的潛在風(fēng)險(xiǎn)概率遠(yuǎn)遠(yuǎn)高于獲得潛在收益的可能,通過回溯檢驗(yàn)(backing test)發(fā)現(xiàn),很多的產(chǎn)品得到零收益的可能性在80%以上,這無疑是產(chǎn)品設(shè)計(jì)上的重大缺陷。其實(shí),從結(jié)構(gòu)性產(chǎn)品的特征來看,產(chǎn)品設(shè)計(jì)恰恰是它相較于其他產(chǎn)品的一大優(yōu)勢(shì)。設(shè)計(jì)出色的結(jié)構(gòu)性產(chǎn)品,可以根據(jù)不同的市場(chǎng)環(huán)境,不同客戶的風(fēng)險(xiǎn)收益偏好而量身定制,在各種不同的市場(chǎng)環(huán)境下都取得不俗的投資表現(xiàn)。正因?yàn)槿绱?本文的研究重點(diǎn)之一就是在結(jié)構(gòu)性產(chǎn)品的設(shè)計(jì),先從最基本的期權(quán)入手進(jìn)行分析,著重介紹其回報(bào)圖形的特點(diǎn)以及對(duì)于各類市場(chǎng)因素的敏感度,再結(jié)合當(dāng)前國(guó)內(nèi)國(guó)外較成功的產(chǎn)品,嘗試將其結(jié)構(gòu)進(jìn)行拆解,逐個(gè)分析其在結(jié)構(gòu)中的功效,最后自行設(shè)計(jì)一款結(jié)構(gòu)性產(chǎn)品,討論如何在實(shí)踐中平衡好產(chǎn)品本身的風(fēng)險(xiǎn)和收益以及產(chǎn)品投資者和發(fā)行者的利益平衡,并對(duì)其進(jìn)行情景分析及回溯測(cè)試。本文的第二個(gè)重點(diǎn)將集中在結(jié)構(gòu)性產(chǎn)品的定價(jià)上。由于結(jié)構(gòu)性產(chǎn)品本質(zhì)上是固定收益產(chǎn)品和期權(quán)等金融衍生品的組合,那么其定價(jià)主要也是針對(duì)這兩部分所進(jìn)行。固定收益部分本文使用現(xiàn)金流貼現(xiàn)模型,其關(guān)鍵點(diǎn)在于貼現(xiàn)率的選取,這取決于利率的期限結(jié)構(gòu)。至于金融衍生品部分的定價(jià),本文主要介紹BS模型,二叉樹模型以及蒙特卡羅模擬這三種目前最常用的方法,對(duì)其適用范圍,定價(jià)效果,以及參數(shù)選取進(jìn)行探討,并嘗試對(duì)目前市場(chǎng)上流行的結(jié)構(gòu)性產(chǎn)品進(jìn)行定價(jià)分析。
[Abstract]:With the development of the domestic financial market and the increasing of the people's investment consciousness, the financial needs of individual clients are greatly strengthened. Under this background, the number of domestic financial products has increased rapidly, and the structural financial products of banks have become an important part of the domestic financial market because of their unique characteristics of risk and income. Investment in structured wealth management products is essentially a portfolio of fixed income products and financial derivatives. The fixed income portion is mainly invested in interbank deposits, interbank lending and other investment targets in the domestic interbank market; financial derivatives are mainly invested in various options and swaps. Because of the financial derivatives involved, the product structure is usually more complex. Because domestic individual customers know very little about financial derivatives, many customers, without understanding the characteristics of their products, pay one-sided attention to higher conditional rates of return and blindly buy them. When the actual performance of the market is inconsistent with the original intention of product design, the zero or even negative returns of this kind of products cannot be understood. The result is that since 2007, structural products have been regarded as financial poisons in the domestic market and attacked in groups. As a result, the number and size of structured product offerings in the market have fallen sharply, with Chinese banks suspending such operations and switching to wealth management products in which the bank is cooperating. The status quo of domestic structured products, on the one hand, is a reflection of investor immaturity, on the other hand, banks as issuers of products are also to blame. Looking back at a lot of structured products, we can see that many of the design structures are not very reasonable, and the probability of taking the potential risks is much higher than the potential benefits, as found by backtracking testing. Many products have a zero-profit probability of more than 80%, which is undoubtedly a major defect in product design. In fact, from the characteristics of structural products, product design is precisely compared with other products a major advantage. Well designed structured products can be tailored according to different market environments and different customers' risk and return preferences, and can achieve good investment performance in different market environments. For this reason, one of the key points of this paper is to analyze the design of structural products from the most basic options, focusing on the characteristics of the return graph and the sensitivity to various market factors. Combined with the current domestic and foreign more successful products, try to disassemble its structure, analyze its efficacy in the structure one by one, and finally design a structural product by itself. This paper discusses how to balance the risks and returns of the product itself and the interests of the investors and issuers in practice, and carries out situational analysis and backtracking tests. The second focus of this paper will be on the pricing of structured products. Since structured products are essentially a combination of fixed income products and financial derivatives such as options, they are also priced for these two parts. In the part of fixed income, the discounted cash flow model is used, the key point of which is the selection of discount rate, which depends on the term structure of interest rate. As for the pricing of financial derivatives, this paper mainly introduces the BS model, binary tree model and Monte Carlo simulation, which are the three most commonly used methods, and discusses the scope of application, pricing effect and parameter selection. And tries to carry on the pricing analysis to the present market popular structural product.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.48

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本文編號(hào)：1883057