本文關鍵詞：我國股票掛鉤結構性理財產品的設計創(chuàng)新與推薦　出處：《哈爾濱工業(yè)大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 股票 結構性產品 蒙特卡洛 VaR 推薦方法

【摘要】：在我國經濟迅速發(fā)展以及居民儲蓄量快速增加的背景下，金融市場上對于理財產品的需求大大提高，同時從商業(yè)銀行角度講，不僅要面對同業(yè)之間的競爭，也要面對資本市場存貸款利差減小的問題，面對日益激烈的競爭環(huán)境，商業(yè)銀行逐漸將重心從傳統(tǒng)業(yè)務向中間業(yè)務過渡，理財產品自然成為了重點開發(fā)的渠道。為了滿足金融市場對理財產品的需求，商業(yè)銀行針對不同投資的特點開發(fā)了多種理財產品，而結構性理財產品因其自身結構具備的多樣化特點逐漸被廣泛關注。 我國商業(yè)銀行開展結構性理財產品的時間較晚，但其發(fā)展非�？焖�，在短短幾年時間內，其種類和發(fā)行規(guī)模都得到了非常迅猛的增長。結構性理財產品融合固定收益證券和金融衍生合約的特點，具有靈活多樣性，與傳統(tǒng)的理財產品相比較，在保證較低風險的條件下，能夠提供一個較高的收益，因此迅速受到投資者的青睞。 本文主要針對股票掛鉤結構性理財產品，研究其設計結構，對產品進行評估，創(chuàng)新性地提出符合投資者自身需求特點的產品價格以及結構設計方法，并構建出針對不同類型投資者的產品推薦方法。研究內容包括：第1章闡述研究背景以及研究的目的和意義，總結了近年來相關國內外文獻的研究現(xiàn)狀；第2章對股票掛鉤結構性產品基本概念及相關理論進行了介紹，并以風險收益特征為出發(fā)點對我國市場上正在交易的結構性產品進行了分類；第3章總結了股票掛鉤結構性理財產品設計的基本框架，以產品收益特征為劃分標準，選取具有代表性的產品進行實證分析，，結果表明我國股票掛鉤結構性理財產品的設計多為低風險類型，在此基礎上剖析了我國股票掛鉤結構性理財產品在設計方面存在的問題；第4章從投資者收入、儲蓄以及對應理財產品的預期收益和風險入手，運用效用理論，提出了一種全新的可針對不同投資者特點的產品價格設計方式，最后結合投資者風險偏好特點，推導出產品設計模型，通過對投資者偏好進行模擬，給出了適合其偏好的產品結構；第5章從風險偏好入手，結合賭博當量法推導了投資者效用函數(shù)，進一步對其進行標準化，構建出一種新的可以對產品進行量化分析的推薦方法，并選取代表性數(shù)據(jù)對所提出的推薦方法進行了實證分析。
[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.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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