本文選題：收益憑證 + B-S模型��； 參考：《深圳大學(xué)》2017年碩士論文

【摘要】：證券公司收益憑證自2014年試點(diǎn)發(fā)行以來,經(jīng)歷了快速的發(fā)展。作為證券公司創(chuàng)新產(chǎn)品,收益憑證被認(rèn)為在拓寬券商融資渠道和促進(jìn)證券公司業(yè)務(wù)轉(zhuǎn)型方面起到了重要的作用;作為一種投資理財(cái)產(chǎn)品,也越來越受到投資者的關(guān)注。同樣是結(jié)構(gòu)化的金融產(chǎn)品,目前國內(nèi)文獻(xiàn)研究多集中于商業(yè)銀行發(fā)行的理財(cái)產(chǎn)品,對(duì)證券公司發(fā)行的收益憑證進(jìn)行的研究還為之甚少。論文選取發(fā)行數(shù)量和發(fā)行規(guī)模都比較大的東方證券金鰭系列的收益憑證作為研究案例,通過對(duì)其已經(jīng)發(fā)行的產(chǎn)品進(jìn)行了統(tǒng)計(jì)分析,總結(jié)出該系列產(chǎn)品的特征:期限一般較短;到期收益率由一個(gè)固定收益率和一個(gè)浮動(dòng)收益率構(gòu)成,浮動(dòng)收益率由該產(chǎn)品內(nèi)嵌的期權(quán)決定,該期權(quán)主要是一些奇異期權(quán)或者一種期權(quán)交易策略,常見的如二元期權(quán)和價(jià)差期權(quán)交易策略;該系列產(chǎn)品總是同時(shí)發(fā)行兩期產(chǎn)品,它們的浮動(dòng)收益率分別取決于同一掛鉤標(biāo)的看漲看跌兩個(gè)方向。論文的重點(diǎn)在于依據(jù)固定收益證券定價(jià)理論和B-S期權(quán)定價(jià)理論,給出了金鰭系列不同收益率結(jié)構(gòu)收益憑證的定價(jià)模型,并根據(jù)模型測算了四類具有代表性產(chǎn)品的理論價(jià)格,發(fā)現(xiàn)理論價(jià)格均高于其實(shí)際發(fā)行價(jià)格,即存在折價(jià)發(fā)行的現(xiàn)象,折價(jià)率在0.9%至2.8%,這與商業(yè)銀行結(jié)構(gòu)化理財(cái)溢價(jià)發(fā)行的現(xiàn)象正好相反。論文還進(jìn)一步討論了波動(dòng)率和無風(fēng)險(xiǎn)利率的不同選擇是對(duì)該類產(chǎn)品價(jià)格產(chǎn)生影響的主要因素。論文認(rèn)為同業(yè)競爭是證券公司讓利于投資者折價(jià)發(fā)行收益憑證的主要?jiǎng)右?并分別從證券公司的角度和監(jiān)管層的角度給出思考和建議以促進(jìn)收益憑證產(chǎn)品市場合理發(fā)展。另外,論文對(duì)東方證券金鰭系列產(chǎn)品的定價(jià)分析對(duì)投資者來說也具有一定的參考價(jià)值,幫助投資者對(duì)該創(chuàng)新產(chǎn)品有一個(gè)較全面的認(rèn)識(shí)。目前來看,證券公司收益憑證雖是折價(jià)發(fā)行,但投資者還是需要根據(jù)自身情況選擇合適的投資品種,并要了解其中蘊(yùn)含的風(fēng)險(xiǎn)。
[Abstract]:The securities company income certificate since 2014 the pilot issue, has experienced rapid development. As the securities company's innovative products, income certificate is believed to broaden the financing channels and promote the securities brokerage business transformation has played an important role; as an investment financial products, more and more attention by investors. The same is structured financial products, currently domestic research literature focused more on commercial banks to issue financial products, research on the income certificate issued by securities companies is still very little. This paper selects the number of issued and the issue size are relatively large gold fin series of Orient Securities income certificate as a case study, statistical analysis was carried out by the has issued products, summed up the features of the product: generally short term; yield to maturity by a fixed rate of return and a floating rate of return form The floating rate of return, the product is decided by the embedded option, the option is mainly some exotic options or a common option trading strategy, such as two yuan option and spread option trading strategy; this series of products are also released two products, they are floating rate of return depends on the same underlying bullish bearish two direction. The emphasis of this paper is based on the fixed income securities pricing theory and option pricing theory of B-S, gives a different pricing model yields structure gains certificate gold fin series, and according to the model estimates of the theoretical price of four kinds of representative products, prices are higher than the actual theory found the issue price, there is a discount phenomenon in 0.9%, the discount rate to 2.8%, the issuance of structured financial and Commercial Bank premium phenomenon is just the opposite. The paper further discussed the volatility and risk-free interest rate is not The same choice is the main factor influencing the price of these products. The competition is to allow securities companies main reason investors discount issue receipts vouchers, and separately from the securities company's point of view and regulators forward thoughts and suggestions to promote the rational development of product market revenue certificates. In addition, the paper also has a certain the reference value for investors to Orient Securities gold fin series products pricing analysis, help investors have a more comprehensive understanding of the innovation products. At present, the securities company income certificate is issued at a discount, but investors still need to choose the right investments according to their own situation, and to understand the risks involved.

【學(xué)位授予單位】：深圳大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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