發(fā)布時(shí)間：2018-04-09 00:35

  本文選題：掛鉤股票票據(jù)　切入點(diǎn)：PTN　出處：《上海交通大學(xué)》2013年碩士論文

【摘要】：結(jié)構(gòu)性票據(jù)及股票掛鉤票據(jù)在中國(guó)只有很短的歷史。目前中國(guó)較為流行的股票掛鉤票據(jù)可以分為三類。目前國(guó)內(nèi)的研究主要集中于分享股票收益型的票據(jù)，對(duì)于價(jià)格觸發(fā)收益票據(jù)（PTN）和差異觸發(fā)票據(jù)（部分是IBN）的定價(jià)和對(duì)沖的研究非常少見(jiàn)。同外資機(jī)構(gòu)相比，國(guó)內(nèi)機(jī)構(gòu)定價(jià)和對(duì)沖的技術(shù)相對(duì)落后和缺乏。本文分別挑選了兩個(gè)上述票據(jù)的例子，，使用了蒙特卡羅模擬的方法來(lái)評(píng)估這些產(chǎn)品的回報(bào)率，并給出他們的理論價(jià)格。結(jié)果表明，PTN被過(guò)高定價(jià)：其公允價(jià)格0.9793美元；如果要公允價(jià)格為1美元，則每個(gè)時(shí)期的觸發(fā)回報(bào)率應(yīng)為3.73％。IBN的價(jià)格也明顯高估。模擬結(jié)果表明，該產(chǎn)品的預(yù)期回報(bào)率只有約0.19％。如果不對(duì)產(chǎn)品做出改變，則公允價(jià)格是0.9772元。如果要使公允價(jià)格為1元，則最高回報(bào)率應(yīng)提高到32％。有些結(jié)構(gòu)類產(chǎn)品，包括這兩個(gè)產(chǎn)品，給投資者過(guò)低回報(bào)甚至使投資者蒙受大的損失，會(huì)導(dǎo)致銀行和投資者之間的沖突。從銀行長(zhǎng)遠(yuǎn)利益出發(fā)，銀行應(yīng)該對(duì)這類產(chǎn)品和服務(wù)都做出調(diào)整。
[Abstract]:Structured notes and stock-linked notes have only a short history in China.At present, China's more popular stock-linked notes can be divided into three categories.At present, the domestic research mainly focuses on the paper that shares the stock income. The research on the pricing and hedging of the price-triggered income note (PTNN) and the differential-triggered note (part of IBNs) is very rare.Compared with foreign institutions, domestic institutions pricing and hedging technology is relatively backward and lack.In this paper, two examples of the above mentioned instruments are selected, and the Monte-Carlo simulation method is used to evaluate the return rate of these products, and their theoretical prices are given.The results show that 3.73%.IBN is overpriced: its fair price is $0.9793; for a fair price of $1, the trigger rate of return for each period should also be significantly overvalued for 3.73%.IBN.The simulation results show that the expected rate of return of the product is only about 0.19.If you do not change the product, the fair price is 0.9772 yuan.If you want a fair price of $1, the maximum rate of return should be increased to 32.Some structural products, including these two products, give investors too low returns and even make investors suffer great losses, which can lead to conflicts between banks and investors.In the long-term interest of banks, banks should adjust to these products and services.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 王金安;股票聯(lián)系票據(jù)研究[J];集美大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版);2004年04期

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