本文選題：結構性理財產(chǎn)品 + 期權��； 參考：《復旦大學》2012年碩士論文

【摘要】：隨著國內(nèi)金融市場不斷地發(fā)展壯大,老百姓投資意識的不斷增強,個人客戶的理財需求大大加強。在這樣的背景之下,國內(nèi)理財產(chǎn)品的數(shù)量急劇增長,銀行結構性理財產(chǎn)品以其獨有的風險收益特征,成為國內(nèi)理財市場的重要組成部分。 結構性理財產(chǎn)品的投資本質(zhì)上就是一個固定收益類產(chǎn)品和金融衍生品的投資組合。固定收益部分的主要投資于同業(yè)存款,同業(yè)拆借以及國內(nèi)銀行間市場的其他投資標的；金融衍生品主要是以各種期權和互換為投資工具。因為涉及金融衍生品,故產(chǎn)品結構通常較為復雜。由于國內(nèi)的個人客戶對于金融衍生品知之甚少,很多客戶在沒有弄明白產(chǎn)品特征的情況下,片面看重較高的條件回報率,盲目購買,當遇到市場實際表現(xiàn)與產(chǎn)品設計初衷不符時,對于該類產(chǎn)品的零收益,甚至是負收益不能理解,其結果是從2007年開始,結構性產(chǎn)品在國內(nèi)市場被當成金融毒藥,群起而攻之,進而導致市場上的結構性產(chǎn)品發(fā)行數(shù)量和規(guī)模都大幅下降,中資銀行紛紛暫停該類業(yè)務轉而開展銀信合作的理財產(chǎn)品。國內(nèi)結構性產(chǎn)品的現(xiàn)狀,一方面是投資者不成熟的體現(xiàn),另一方面,作為產(chǎn)品發(fā)行方的銀行,同樣是難辭其咎的�；仡櫤芏嘟Y構性產(chǎn)品,我們可以發(fā)現(xiàn),很多的設計結構不甚合理,承受的潛在風險概率遠遠高于獲得潛在收益的可能,通過回溯檢驗(backing test)發(fā)現(xiàn),很多的產(chǎn)品得到零收益的可能性在80%以上,這無疑是產(chǎn)品設計上的重大缺陷。其實,從結構性產(chǎn)品的特征來看,產(chǎn)品設計恰恰是它相較于其他產(chǎn)品的一大優(yōu)勢。設計出色的結構性產(chǎn)品,可以根據(jù)不同的市場環(huán)境,不同客戶的風險收益偏好而量身定制,在各種不同的市場環(huán)境下都取得不俗的投資表現(xiàn)。正因為如此,本文的研究重點之一就是在結構性產(chǎn)品的設計,先從最基本的期權入手進行分析,著重介紹其回報圖形的特點以及對于各類市場因素的敏感度,再結合當前國內(nèi)國外較成功的產(chǎn)品,嘗試將其結構進行拆解,逐個分析其在結構中的功效,最后自行設計一款結構性產(chǎn)品,討論如何在實踐中平衡好產(chǎn)品本身的風險和收益以及產(chǎn)品投資者和發(fā)行者的利益平衡,并對其進行情景分析及回溯測試。本文的第二個重點將集中在結構性產(chǎn)品的定價上。由于結構性產(chǎn)品本質(zhì)上是固定收益產(chǎn)品和期權等金融衍生品的組合,那么其定價主要也是針對這兩部分所進行。固定收益部分本文使用現(xiàn)金流貼現(xiàn)模型,其關鍵點在于貼現(xiàn)率的選取,這取決于利率的期限結構。至于金融衍生品部分的定價,本文主要介紹BS模型,二叉樹模型以及蒙特卡羅模擬這三種目前最常用的方法,對其適用范圍,定價效果,以及參數(shù)選取進行探討,并嘗試對目前市場上流行的結構性產(chǎn)品進行定價分析。
[Abstract]:With the development of the domestic financial market and the increasing of the people's investment consciousness, the financial needs of individual clients are greatly strengthened. Under this background, the number of domestic financial products has increased rapidly, and the structural financial products of banks have become an important part of the domestic financial market because of their unique characteristics of risk and income. Investment in structured wealth management products is essentially a portfolio of fixed income products and financial derivatives. The fixed income portion is mainly invested in interbank deposits, interbank lending and other investment targets in the domestic interbank market; financial derivatives are mainly invested in various options and swaps. Because of the financial derivatives involved, the product structure is usually more complex. Because domestic individual customers know very little about financial derivatives, many customers, without understanding the characteristics of their products, pay one-sided attention to higher conditional rates of return and blindly buy them. When the actual performance of the market is inconsistent with the original intention of product design, the zero or even negative returns of this kind of products cannot be understood. The result is that since 2007, structural products have been regarded as financial poisons in the domestic market and attacked in groups. As a result, the number and size of structured product offerings in the market have fallen sharply, with Chinese banks suspending such operations and switching to wealth management products in which the bank is cooperating. The status quo of domestic structured products, on the one hand, is a reflection of investor immaturity, on the other hand, banks as issuers of products are also to blame. Looking back at a lot of structured products, we can see that many of the design structures are not very reasonable, and the probability of taking the potential risks is much higher than the potential benefits, as found by backtracking testing. Many products have a zero-profit probability of more than 80%, which is undoubtedly a major defect in product design. In fact, from the characteristics of structural products, product design is precisely compared with other products a major advantage. Well designed structured products can be tailored according to different market environments and different customers' risk and return preferences, and can achieve good investment performance in different market environments. For this reason, one of the key points of this paper is to analyze the design of structural products from the most basic options, focusing on the characteristics of the return graph and the sensitivity to various market factors. Combined with the current domestic and foreign more successful products, try to disassemble its structure, analyze its efficacy in the structure one by one, and finally design a structural product by itself. This paper discusses how to balance the risks and returns of the product itself and the interests of the investors and issuers in practice, and carries out situational analysis and backtracking tests. The second focus of this paper will be on the pricing of structured products. Since structured products are essentially a combination of fixed income products and financial derivatives such as options, they are also priced for these two parts. In the part of fixed income, the discounted cash flow model is used, the key point of which is the selection of discount rate, which depends on the term structure of interest rate. As for the pricing of financial derivatives, this paper mainly introduces the BS model, binary tree model and Monte Carlo simulation, which are the three most commonly used methods, and discusses the scope of application, pricing effect and parameter selection. And tries to carry on the pricing analysis to the present market popular structural product.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.48

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