本文關(guān)鍵詞： 分級基金 A類份額 B類份額 定價 折算　出處：《上海交通大學》2013年碩士論文　論文類型：學位論文

【摘要】：股債分級基金源于海外成熟市場，近些年，隨著我國金融創(chuàng)新的逐步推開，該類產(chǎn)品被引入到國內(nèi)，在國內(nèi)，，其發(fā)展大致經(jīng)過了幾個階段，目前市場上主流的是永續(xù)性股債分級基金，由于在國內(nèi)歷史較短，分級基金的定價一直存在爭議，大家對其真實價值沒有形成統(tǒng)一意見。 本文以申萬深成分級基金為重點研究對象，從永續(xù)性股債分級基金發(fā)行契約，運行規(guī)則入手，以現(xiàn)金流的角度為切入點，分析分級基金的定價。 對于A類份額：分級基金的價值=債券價值+轉(zhuǎn)換配對價值； 對于B類份額：分級基金的價值=期權(quán)價值+轉(zhuǎn)換配對價值； 鑒于分級基金不是獨立的運行在資本市場，其市場價格必然會受到一些其他因素的干擾，這些因素包括市場情緒（不觸及折算條約），相關(guān)可比產(chǎn)品以及分級基金的折算條約，我們將結(jié)合歷史數(shù)據(jù)，運用回歸方法以及敏感性分析討論這些因素對分級基金的市場定價的影響。
[Abstract]:In recent years, with the gradual introduction of financial innovation in China, this kind of products have been introduced into China, in China, its development has passed through several stages. At present, the mainstream of the market is the sustainable stock and debt rating fund. Because of the short history in China, the pricing of the classified fund has always been controversial, so there is no unified opinion on its real value. This paper focuses on Shen Wanshengcheng graded fund, starting with the issuing contract and operating rules of sustainable stock debt classification fund, and taking cash flow as the starting point, this paper analyzes the pricing of graded fund. For category A shares: the value of the graded fund = the bond value conversion pairing value; For category B shares: the value of the graded fund = option value conversion pairing value; Given that graded funds do not operate independently in capital markets, their market prices are bound to be interfered with by a number of other factors, including market sentiment (not touching on conversion treaties). We will combine historical data, regression method and sensitivity analysis to discuss the influence of these factors on market pricing of graded funds.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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