本文關(guān)鍵詞： 觸發(fā)式掛鉤產(chǎn)品 外匯期權(quán) 定價(jià) 投資績(jī)效　出處：《山東財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國(guó)匯率制度的不斷完善和理財(cái)市場(chǎng)的發(fā)展，匯率掛鉤類結(jié)構(gòu)化理財(cái)產(chǎn)品將成為投資者和商業(yè)銀行關(guān)注的重點(diǎn)。目前，對(duì)結(jié)構(gòu)化理財(cái)產(chǎn)品研究?jī)H僅集中在產(chǎn)品營(yíng)銷、市場(chǎng)定位方面。本文首先分析了匯率掛鉤類結(jié)構(gòu)化理財(cái)產(chǎn)品的基本概念、分類、結(jié)構(gòu)特征以及發(fā)展?fàn)顩r，并詳細(xì)闡述了產(chǎn)品定價(jià)的影響因素、定價(jià)模型和技術(shù)。 具體產(chǎn)品的定價(jià)方法是匯率掛鉤類結(jié)構(gòu)化產(chǎn)品定價(jià)研究的重點(diǎn)和難點(diǎn)。本文對(duì)該類結(jié)構(gòu)化金融衍生產(chǎn)品的研究主要集中于對(duì)產(chǎn)品理論價(jià)格方法的測(cè)算。根據(jù)前文中的定價(jià)理論和技術(shù)，本文集中以中國(guó)銀行發(fā)行的“匯聚寶”與“博弈”兩類與匯率掛鉤的外幣匯市爭(zhēng)鋒產(chǎn)品為研究樣本，運(yùn)用金融工程的組合分解方法和期權(quán)定價(jià)模型，對(duì)該類產(chǎn)品的理論價(jià)值進(jìn)行測(cè)算并與實(shí)際發(fā)行價(jià)格進(jìn)行比較，在此基礎(chǔ)上計(jì)算出該類產(chǎn)品的誤定價(jià)程度。 匯率掛鉤類結(jié)構(gòu)化理財(cái)產(chǎn)品的投資績(jī)效是本文研究的另一個(gè)重要內(nèi)容。本文以中國(guó)銀行發(fā)行的“匯聚寶”、“搏弈”系列結(jié)構(gòu)化理財(cái)產(chǎn)品等為例，對(duì)此類結(jié)構(gòu)化產(chǎn)品的投資績(jī)效進(jìn)了定量研究。通過對(duì)不同發(fā)行主體、不同期限、不同發(fā)行年份與不同支付收益幣種的產(chǎn)品績(jī)效進(jìn)行比較，分析了實(shí)際收益率、超額收益率與實(shí)際基準(zhǔn)利率的相關(guān)影響因素與變動(dòng)情況。最后，對(duì)我國(guó)匯率掛鉤類結(jié)構(gòu)化理財(cái)產(chǎn)品設(shè)計(jì)和發(fā)展中存在的問題，提出對(duì)應(yīng)的建議并指出推進(jìn)該類結(jié)構(gòu)化理財(cái)產(chǎn)品發(fā)展所需的配套措施。 本文的主要貢獻(xiàn)在于: 選題上的新意:在作者查閱的相關(guān)資料里，未有文獻(xiàn)專門對(duì)我國(guó)市場(chǎng)中匯率掛鉤類理財(cái)產(chǎn)品的定價(jià)進(jìn)行專項(xiàng)研究。本文對(duì)我國(guó)目前匯率掛鉤類結(jié)構(gòu)化理財(cái)產(chǎn)品的定價(jià)情況進(jìn)行了詳盡的調(diào)查和分析，并嘗試采用金融工程的組合分解方法和期權(quán)定價(jià)模型，計(jì)算該類產(chǎn)品的理論價(jià)值，，對(duì)匯率掛鉤類結(jié)構(gòu)化產(chǎn)品的誤定價(jià)程度及績(jī)效進(jìn)行探討，給投資者及發(fā)行者提供比較科學(xué)的參考。
[Abstract]:With the continuous improvement of the exchange rate system and the development of the financial management market in China, structured financial products such as exchange-rate linkage will become the focus of investors and commercial banks. At present, the research on structured financial products is only focused on product marketing. In terms of market positioning, this paper first analyzes the basic concept, classification, structural characteristics and development of exchange-rate pegged structured financial products, and expounds in detail the influencing factors, pricing models and techniques of product pricing. The pricing method of specific products is the focus and difficulty of the pricing of exchange-rate pegged structured products. The research of this kind of structured financial derivatives is mainly focused on the calculation of the theoretical pricing methods of the products. Pricing theory and technology in this paper, This paper focuses on two kinds of foreign currency exchange market competition products linked to exchange rate issued by Bank of China, such as "convergent treasure" and "game", and applies combination decomposition method of financial engineering and option pricing model. The theoretical value of this kind of product is calculated and compared with the actual issue price. On this basis, the mispricing degree of this kind of product is calculated. The investment performance of exchange-rate pegged structured financial products is another important part of this paper. This paper takes the "convergent treasure" issued by Bank of China and the series of structured financial management products as examples. This paper makes a quantitative study on the investment performance of this kind of structured products. By comparing the product performance of different issuers, different maturities, different issue years and different payment income currencies, the real yield is analyzed. The influence factors and changes of the excess return rate and the actual benchmark interest rate. Finally, the problems existing in the design and development of China's exchange-rate pegged structured financial products are discussed. The corresponding suggestions are put forward and the necessary measures to promote the development of this kind of structured financial products are pointed out. The main contributions of this paper are:. New ideas on the topic: in the relevant materials consulted by the author, There is no literature on the pricing of exchange-rate pegged financial products in Chinese market. This paper makes a detailed investigation and analysis on the pricing of exchange-rate pegged structured financial products in China. We also try to use the combination decomposition method and option pricing model of financial engineering to calculate the theoretical value of this kind of products and to discuss the mispricing degree and performance of structured products with exchange rate pegs. To provide investors and issuers with a more scientific reference.
【學(xué)位授予單位】：山東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.52;F224

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