本文選題：分級(jí)基金　切入點(diǎn)：蒙特卡洛模擬　出處：《南京大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：分級(jí)基金是指主要依據(jù)所投資產(chǎn)品的不同風(fēng)險(xiǎn)與收益,將其凈資產(chǎn)或收益進(jìn)行分解。我國(guó)分級(jí)基金主要有兩類份額,優(yōu)先類份額和進(jìn)取類份額,它的主要特點(diǎn)是"收益分級(jí),風(fēng)險(xiǎn)分級(jí)",不同風(fēng)險(xiǎn)偏好的投資者都能各取所需。分級(jí)基金最主要的投資價(jià)值在與它的可交易性,以及所提供的價(jià)格杠桿。分級(jí)基金可以進(jìn)行拆分,由于其產(chǎn)品設(shè)計(jì)上的特性,其交易性質(zhì)非常顯著。在分級(jí)基金的發(fā)展過(guò)程中,越來(lái)越多的投資者傾向于選擇多樣化的杠桿設(shè)計(jì)產(chǎn)品。對(duì)于投資者、機(jī)構(gòu)管理者及監(jiān)管者來(lái)說(shuō),分級(jí)基金的定價(jià)有助于實(shí)現(xiàn)各自的利益需求,達(dá)成多方共贏。因?yàn)樵诨鹗袌?chǎng)上,現(xiàn)有的基金品種和資產(chǎn)配置存在一定問(wèn)題,難以實(shí)現(xiàn)需求,因而分級(jí)基金作為新型產(chǎn)品加入,其強(qiáng)大的交易性,讓基金市場(chǎng)更豐富,同時(shí)產(chǎn)品多元化的提升也使市場(chǎng)更加活躍。盡管近兩年,監(jiān)管層多次對(duì)分級(jí)基金的管理提出新要求,比如提高分級(jí)基金的門檻,但其依然具備融資成本低,追蹤標(biāo)的廣,并且涵蓋了很多熱門投資方向的重要特點(diǎn)。本文通過(guò)比較選取了可以克服路徑依賴性的蒙特卡洛模擬方法,選擇了運(yùn)行時(shí)間3年以上的基金,挑選其中有典型特征的6只,分別對(duì)其母基金凈值,A、B份額價(jià)格進(jìn)行理論定價(jià),并與實(shí)際價(jià)格對(duì)比,發(fā)現(xiàn)B份額的模擬擬合度較高,同時(shí)回歸分析的相關(guān)性較好。A份額的模擬則無(wú)法反應(yīng)市場(chǎng)價(jià)格走勢(shì),進(jìn)一步研究中也發(fā)現(xiàn),實(shí)際價(jià)格杠桿與標(biāo)的指數(shù)波動(dòng)率,對(duì)模擬擬合度的優(yōu)劣幾乎沒(méi)有影響。在我國(guó)金融市場(chǎng)的發(fā)展過(guò)程中,杠桿類產(chǎn)品的重要性漸趨提升。對(duì)分級(jí)基金這一典型產(chǎn)品的定價(jià)及產(chǎn)品設(shè)計(jì)要素研究對(duì)其他產(chǎn)品的發(fā)展有重要的借鑒意義。本文希望通過(guò)研究給未來(lái)其他杠桿類產(chǎn)品的定價(jià)提供依據(jù),并且在產(chǎn)品設(shè)計(jì)要素的影響方面給出參考,后續(xù)研究可以繼續(xù)探討除了杠桿倍數(shù)和標(biāo)的資產(chǎn)波動(dòng)率以外的其他因素。
[Abstract]:Classified fund refers to the decomposition of net assets or income according to the different risks and returns of the invested products. There are two kinds of shares in the classified funds in our country, which are priority shares and enterprising ones. Its main characteristic is income classification. "risk rating," in which investors with different risk preferences can get what they want. The most important value of a graded fund is its tradeability and the price leverage it provides. The hierarchical fund can be split up because of its product design characteristics. The nature of the transaction is very significant. In the development of hierarchical funds, more and more investors tend to choose a variety of leveraged design products. For investors, institutional managers and regulators, The pricing of graded funds helps to realize their respective interests and achieve win-win results. Because in the fund market, there are some problems in the existing fund varieties and asset allocation, it is difficult to meet the demand, so graded funds are added as a new product. Its strong tradeability makes the fund market richer, and the diversification of products also makes the market more active. Although in the past two years, regulators have repeatedly put forward new requirements for the management of classified funds, such as raising the threshold for graded funds. However, it still has the characteristics of low financing cost, wide tracking target, and covers many popular investment directions. In this paper, Monte Carlo simulation method, which can overcome path dependence, is selected by comparison. In this paper, six funds with typical characteristics are selected, and six of them are selected to price the net value of their parent funds, and compared with the actual prices, it is found that the simulation fitting degree of B share is higher than that of the real ones. At the same time, the correlation of regression analysis is good. The simulation of .A share can not reflect the market price trend. Further study also found that the actual price leverage and the volatility rate of the underlying index. In the course of the development of China's financial market, The importance of leverage products is gradually increasing. The research on pricing and product design elements of classified funds is of great significance to the development of other products. This paper hopes to give further research to other lever classes in the future. The price of the product provides the basis, The paper also gives some references on the influence of product design elements, and further studies can continue to explore other factors other than leverage multiple and underlying asset volatility.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：O242.2;F832.51
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本文編號(hào)：1600874