發(fā)布時間：2018-04-14 13:05

  本文選題：結構化產(chǎn)品 + CPPI策略�。� 參考：《江西財經(jīng)大學》2017年碩士論文

【摘要】：結構化產(chǎn)品是一種新型的金融工具,它是運用金融工程技術,將多種標的資產(chǎn)進行結合而成,標的資產(chǎn)可以是權益類、固定收益類、信用類證券等,比較常見的結構化產(chǎn)品有債券與股票指數(shù)的組合或者是債券和匯率的組合方式。結構化產(chǎn)品在我國起步較晚,外資銀行最開始嘗試以結構性存款的形式發(fā)行。隨著銀監(jiān)會明確了結構化產(chǎn)品的監(jiān)管原則和內(nèi)容,結構化產(chǎn)品在我國經(jīng)歷了快速的發(fā)展。結構化產(chǎn)品以其靈活的收益特征吸引了眾多的投資者,產(chǎn)品的發(fā)行規(guī)模和數(shù)量不斷擴大,目前結構化產(chǎn)品的國內(nèi)市場規(guī)模已經(jīng)超過了百億元。本文使用了CPPI策略實現(xiàn)產(chǎn)品的保本。在保本策略應用上,有靜態(tài)保本策略和動態(tài)保本策略兩個大類,本文使用的固定比例投資組合保險策略(CPPI)屬于動態(tài)保本策略的一種。CPPI策略的思路是,將本金定量地配置在無風險資產(chǎn)和風險資產(chǎn)上面。并且在投資期限內(nèi),根據(jù)當前的市場行情以及投資組合總價值的變化幅度,連續(xù)地調(diào)整風險資產(chǎn)和無風險資產(chǎn)的頭寸,利用無風險資產(chǎn)中產(chǎn)生的現(xiàn)金流對沖風險資產(chǎn)上可能發(fā)生的虧損,鎖定了風險資產(chǎn)價格下跌時候的風險,以此實現(xiàn)保險的目的。同時,如果風險資產(chǎn)價格上漲,會帶動了投資組合總價值的上漲,則投資組合能獲得更大的安全墊份額,這時會賣出一部分無風險資產(chǎn),將這部分額度買入風險資產(chǎn),提高風險資產(chǎn)的寸頭,更多地分享風險資產(chǎn)價格上漲帶來的收益。可以看出,CPPI策略是一種優(yōu)秀保本策略,它在保障投資者本金的同時,讓投資者能夠最大程度地分享風險資產(chǎn)價格上漲帶來的收益。本文首先介紹了選題的背景和意義,梳理了國內(nèi)外在保本策略上已有的研究成果,同時簡略地介紹了結構化產(chǎn)品在國內(nèi)的發(fā)展情況,并從不同的角度對結構化產(chǎn)品進行分類。其后闡述了產(chǎn)品的設計原理、保本策略的運用步驟、產(chǎn)品標的資產(chǎn)的選擇,以及探討了CPPI策略中重要參數(shù)的設計。在產(chǎn)品設計方案的基礎上,利用歷史數(shù)據(jù)對產(chǎn)品收益率進行了實證檢驗,得出了產(chǎn)品歷年均能實現(xiàn)保本的結果,CPPI策略的運用是有效的。同時利用了蒙特卡洛模擬法對影響產(chǎn)品績效的三個因素進行了分析。最后,對全文進行了總結并給出相關的建議。
[Abstract]:Structured product is a new type of financial instrument. It is a combination of various underlying assets by using financial engineering technology. The underlying assets can be equity, fixed income, credit securities, etc.The more common structured products are bond and stock index combination or bond and exchange rate combination.Structured products started late in China, and foreign banks began to issue structured deposits.With the clarification of the regulatory principles and contents of structured products, structured products have experienced rapid development in China.Structured products attract a lot of investors because of their flexible income characteristics. The distribution scale and quantity of structured products continue to expand. At present, the domestic market scale of structured products has exceeded 10 billion yuan.In this paper, the CPPI strategy is used to realize the product capital preservation.In the application of capital preservation strategy, there are static capital preservation strategy and dynamic capital preservation strategy. The fixed proportion portfolio insurance strategy (CPPI) is a kind of dynamic capital preservation strategy.Quantify the principal allocation to risk-free assets and risk-free assets.And within the investment period, according to the current market situation and the range of changes in the total value of the portfolio, continuously adjust the positions of risky assets and risk-free assets.Taking advantage of the cash flow generated in risk-free assets to hedge against possible losses on risky assets, we can lock in the risk when the price of risky assets falls, so as to achieve the purpose of insurance.At the same time, if the price of risky assets goes up, it will drive up the total value of the portfolio, and the portfolio will get a bigger share of the safety cushion, and it will sell some of the riskless assets and buy the risk assets.Improve the risk asset market and share more of the gains from rising risk asset prices.It can be seen that CPPI strategy is an excellent capital preservation strategy, it can protect the principal of investors, while allowing investors to maximize the share of risk asset price gains.This paper first introduces the background and significance of the topic, combs the existing research results in capital preservation strategy at home and abroad, at the same time briefly introduces the development of structured products in China, and classifies structured products from different angles.Then the design principle of the product, the application steps of the capital preservation strategy, the selection of the underlying assets of the product, and the design of the important parameters in the CPPI strategy are discussed.On the basis of the product design scheme, the paper makes an empirical test on the product yield by using the historical data, and draws the conclusion that the CPPI strategy is effective.At the same time, the Monte Carlo simulation method is used to analyze the three factors that affect the product performance.Finally, the paper summarizes the full text and gives some relevant suggestions.
【學位授予單位】：江西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.5

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本文編號：1749421