本文關(guān)鍵詞：我國(guó)股票掛鉤結(jié)構(gòu)性理財(cái)產(chǎn)品的設(shè)計(jì)創(chuàng)新與推薦　出處：《哈爾濱工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票 結(jié)構(gòu)性產(chǎn)品 蒙特卡洛 VaR 推薦方法

【摘要】：在我國(guó)經(jīng)濟(jì)迅速發(fā)展以及居民儲(chǔ)蓄量快速增加的背景下，金融市場(chǎng)上對(duì)于理財(cái)產(chǎn)品的需求大大提高，同時(shí)從商業(yè)銀行角度講，不僅要面對(duì)同業(yè)之間的競(jìng)爭(zhēng)，也要面對(duì)資本市場(chǎng)存貸款利差減小的問題，面對(duì)日益激烈的競(jìng)爭(zhēng)環(huán)境，商業(yè)銀行逐漸將重心從傳統(tǒng)業(yè)務(wù)向中間業(yè)務(wù)過渡，理財(cái)產(chǎn)品自然成為了重點(diǎn)開發(fā)的渠道。為了滿足金融市場(chǎng)對(duì)理財(cái)產(chǎn)品的需求，商業(yè)銀行針對(duì)不同投資的特點(diǎn)開發(fā)了多種理財(cái)產(chǎn)品，而結(jié)構(gòu)性理財(cái)產(chǎn)品因其自身結(jié)構(gòu)具備的多樣化特點(diǎn)逐漸被廣泛關(guān)注。 我國(guó)商業(yè)銀行開展結(jié)構(gòu)性理財(cái)產(chǎn)品的時(shí)間較晚，但其發(fā)展非�？焖�，在短短幾年時(shí)間內(nèi)，其種類和發(fā)行規(guī)模都得到了非常迅猛的增長(zhǎng)。結(jié)構(gòu)性理財(cái)產(chǎn)品融合固定收益證券和金融衍生合約的特點(diǎn)，具有靈活多樣性，與傳統(tǒng)的理財(cái)產(chǎn)品相比較，在保證較低風(fēng)險(xiǎn)的條件下，能夠提供一個(gè)較高的收益，因此迅速受到投資者的青睞。 本文主要針對(duì)股票掛鉤結(jié)構(gòu)性理財(cái)產(chǎn)品，研究其設(shè)計(jì)結(jié)構(gòu)，對(duì)產(chǎn)品進(jìn)行評(píng)估，創(chuàng)新性地提出符合投資者自身需求特點(diǎn)的產(chǎn)品價(jià)格以及結(jié)構(gòu)設(shè)計(jì)方法，并構(gòu)建出針對(duì)不同類型投資者的產(chǎn)品推薦方法。研究?jī)?nèi)容包括：第1章闡述研究背景以及研究的目的和意義，總結(jié)了近年來相關(guān)國(guó)內(nèi)外文獻(xiàn)的研究現(xiàn)狀；第2章對(duì)股票掛鉤結(jié)構(gòu)性產(chǎn)品基本概念及相關(guān)理論進(jìn)行了介紹，并以風(fēng)險(xiǎn)收益特征為出發(fā)點(diǎn)對(duì)我國(guó)市場(chǎng)上正在交易的結(jié)構(gòu)性產(chǎn)品進(jìn)行了分類；第3章總結(jié)了股票掛鉤結(jié)構(gòu)性理財(cái)產(chǎn)品設(shè)計(jì)的基本框架，以產(chǎn)品收益特征為劃分標(biāo)準(zhǔn)，選取具有代表性的產(chǎn)品進(jìn)行實(shí)證分析，，結(jié)果表明我國(guó)股票掛鉤結(jié)構(gòu)性理財(cái)產(chǎn)品的設(shè)計(jì)多為低風(fēng)險(xiǎn)類型，在此基礎(chǔ)上剖析了我國(guó)股票掛鉤結(jié)構(gòu)性理財(cái)產(chǎn)品在設(shè)計(jì)方面存在的問題；第4章從投資者收入、儲(chǔ)蓄以及對(duì)應(yīng)理財(cái)產(chǎn)品的預(yù)期收益和風(fēng)險(xiǎn)入手，運(yùn)用效用理論，提出了一種全新的可針對(duì)不同投資者特點(diǎn)的產(chǎn)品價(jià)格設(shè)計(jì)方式，最后結(jié)合投資者風(fēng)險(xiǎn)偏好特點(diǎn)，推導(dǎo)出產(chǎn)品設(shè)計(jì)模型，通過對(duì)投資者偏好進(jìn)行模擬，給出了適合其偏好的產(chǎn)品結(jié)構(gòu)；第5章從風(fēng)險(xiǎn)偏好入手，結(jié)合賭博當(dāng)量法推導(dǎo)了投資者效用函數(shù)，進(jìn)一步對(duì)其進(jìn)行標(biāo)準(zhǔn)化，構(gòu)建出一種新的可以對(duì)產(chǎn)品進(jìn)行量化分析的推薦方法，并選取代表性數(shù)據(jù)對(duì)所提出的推薦方法進(jìn)行了實(shí)證分析。
[Abstract]:With the rapid development of our economy and the rapid increase of household savings, the demand for financial products in the financial market has greatly increased. At the same time, from the point of view of commercial banks, it is not only facing competition among the same industry. Facing the problem of decreasing deposit and loan interest margin in the capital market and facing the increasingly fierce competition environment, commercial banks gradually focus on the transition from traditional business to intermediate business. In order to meet the needs of the financial market, commercial banks develop a variety of financial products according to the characteristics of different investments. Structural financial products have been paid more and more attention because of their diversified structure. The development of structured financial products in China's commercial banks is relatively late, but its development is very fast, in a short period of several years. Structural financial products have the characteristics of fixed income securities and financial derivative contracts, with flexible diversity, compared with traditional financial products. Under the guarantee of lower risk conditions, can provide a higher return, so quickly favored by investors. This paper mainly aims at the stock linked structured financial products, studies its design structure, evaluates the products, and creatively puts forward the product price and structure design methods which accord with the characteristics of investors' own needs. The research contents include: chapter 1 describes the research background, the purpose and significance of the research, summarizes the research status quo of domestic and foreign literature in recent years; Chapter 2 introduces the basic concepts and related theories of stock linked structured products, and classifies the structural products which are being traded in the market of our country based on the characteristics of risk and return. Chapter 3 summarizes the basic framework of structural financial management product design based on stock hooks, and selects representative products for empirical analysis based on the characteristics of product income as the dividing standard. The results show that the design of structured financial products of stock hooks in China is mostly of low risk type. On this basis, the problems existing in the design of structured financial products of stock hooks in China are analyzed. Chapter 4 starts with the expected income and risk of investors' income, savings and corresponding financial products, and puts forward a new design method of product price according to the characteristics of different investors by using utility theory. Finally, according to the characteristics of investor's risk preference, the product design model is deduced, and the product structure suitable for investor's preference is given by simulating investor's preference. Chapter 5 starts with the risk preference and deduces the investor utility function combining with the gambling equivalent method and further standardizes it and constructs a new recommendation method for quantitative analysis of the product. And selected representative data to the proposed recommendations for empirical analysis.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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