發(fā)布時間：2018-06-19 18:55

  本文選題：結(jié)構(gòu)化 + 證券投資信托��； 參考：《上海交通大學(xué)》2012年碩士論文

【摘要】：本文首先從結(jié)構(gòu)設(shè)計、發(fā)展歷程、分類情況、現(xiàn)存規(guī)模和投資業(yè)績等方面介紹證券投資信托產(chǎn)品的現(xiàn)狀和發(fā)展前景，然后結(jié)合實(shí)例，分析了結(jié)構(gòu)化證券投資信托的產(chǎn)品結(jié)構(gòu)特點(diǎn)和市場需求，指出（1）結(jié)構(gòu)化證券投資信托作為私募基金，其投資門檻比公募基金更高，投資機(jī)制更靈活，，因此其投資者專業(yè)性更強(qiáng)，有更多個性化產(chǎn)品設(shè)計的需求。（2）結(jié)構(gòu)化證券投資信托的優(yōu)先級投資者存在一定程度的保本需求。 本文利用內(nèi)嵌式期權(quán)設(shè)計對優(yōu)先級的收益結(jié)構(gòu)做了改進(jìn)：當(dāng)期末信托單位凈值在約定的最高和最低收益上下限之間時，優(yōu)先級受益人獲得和凈值掛鉤的浮動收益，從而擴(kuò)大了優(yōu)先級的收益浮動范圍，實(shí)現(xiàn)一定程度的風(fēng)險共擔(dān)，改變了目前單一的劣后級向優(yōu)先級融資模式，更好地滿足個性化的產(chǎn)品設(shè)計需求。 針對優(yōu)先級投資者的保本需求，本文提出用CPPI策略來對整個投資組合進(jìn)行保本，用蒙特卡洛法模擬了不同杠桿率和保本率下CPPI策略的投資績效，得出的主要結(jié)論為：（1）CPPI策略能夠有效地避免極端負(fù)收益率的情況。（2）設(shè)置適當(dāng)?shù)谋１韭�、風(fēng)險乘數(shù)和杠桿率能較好地對優(yōu)先級實(shí)現(xiàn)約定的保本，對劣后級的收益和風(fēng)險進(jìn)行相應(yīng)的放大。 最后，本文結(jié)合各項(xiàng)信托法律法規(guī)和實(shí)務(wù)，對結(jié)構(gòu)化證券投資信托的管理制度創(chuàng)新、產(chǎn)品設(shè)計和風(fēng)險控制提出了具有可行性的建議。
[Abstract]:This paper first introduces the status and development prospect of securities investment trust products from the aspects of structure design, development course, classification, existing scale and investment performance, and then analyzes the product structure characteristics and market demand of structured securities investment trust, and points out (1) structured securities investment trust as a private fund. The capital threshold is higher than the public fund, and the investment mechanism is more flexible. Therefore, the investors are more professional and have more personalized product design requirements. (2) the priority investors of the structured securities investment trust have a certain degree of saving demand.
In this paper, the income structure of priority is improved by using embedded option design. When the net value of the final trust unit is between the highest and the lowest income and lower limits, the priority beneficiary obtains the floating income linked to the net value, thus enlarging the income floating model of the priority, realizing a certain degree of risk sharing and changing the risk. At present, the single poor backward priority financing mode can better meet the personalized product design needs.
In view of the premium demand of priority investors, this paper proposes to use CPPI strategy to save the whole portfolio, and uses Monte Carlo method to simulate the investment performance of CPPI strategy under different leverage ratio and premium rate. The main conclusions are as follows: (1) the CPPI strategy can effectively avoid the extreme negative rate of return. (2) set appropriate warranty. The rate, Risk Multiplier and leverage ratio can better guarantee the priority of the priority, and magnify the income and risk of the inferior class.
In the end, this paper puts forward feasible suggestions on the management system innovation, product design and risk control of structured securities investment trust, combining various trust laws and regulations and practices.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.49;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 張越;;我國信托型私募基金三種模式的比較分析[J];現(xiàn)代商業(yè);2010年23期

本文編號：2040919