【摘要】：近些年,隨著境內(nèi)人民幣貸款利率的完全放開(kāi)、存款利率的有限制放開(kāi),我國(guó)利率市場(chǎng)化進(jìn)程不斷深化,曾經(jīng)以存貸款利差為主營(yíng)業(yè)務(wù)的商業(yè)銀行獲利空間逐漸被壓縮,商業(yè)銀行被迫尋求新的盈利模式。在這樣的大背景下,理財(cái)產(chǎn)品慢慢充當(dāng)起銀行創(chuàng)利排頭兵的角色。自從2004年我國(guó)發(fā)行第一款商業(yè)銀行理財(cái)產(chǎn)品以來(lái),商業(yè)銀行理財(cái)產(chǎn)品的發(fā)行數(shù)量年均增長(zhǎng)率達(dá)82%,2013年一年的發(fā)行量高達(dá)十三萬(wàn)款之多。但隨之而來(lái)的是,越來(lái)越多的理財(cái)產(chǎn)品出現(xiàn)收益率達(dá)不到預(yù)期的情況。本文以理財(cái)產(chǎn)品收益率為研究對(duì)象,收集了Wind金融終端數(shù)據(jù)庫(kù)13萬(wàn)多款理財(cái)產(chǎn)品收益率數(shù)據(jù)。文章先是對(duì)銀行理財(cái)產(chǎn)品定價(jià)偏離的根源進(jìn)行分析,從市場(chǎng)層面、操作層面、管理層面以及監(jiān)管、行業(yè)和文化層面對(duì)理財(cái)產(chǎn)品定價(jià)偏離現(xiàn)象背后的成因進(jìn)行深入剖析。之后,通過(guò)對(duì)理財(cái)產(chǎn)品預(yù)期收益率與真實(shí)的到期收益率之間差異的分析,得出差異隨經(jīng)濟(jì)周期發(fā)生變化的時(shí)變特征,以及差異尖峰肥尾的統(tǒng)計(jì)特征。本文進(jìn)而對(duì)不同種類(lèi)理財(cái)產(chǎn)品產(chǎn)生定價(jià)偏離的實(shí)例進(jìn)行實(shí)證分析,通過(guò)分析,對(duì)具體產(chǎn)生偏差的產(chǎn)品掛鉤標(biāo)的的選擇、預(yù)期收益率的確定等提出了具體優(yōu)化建議。最后,本文提出了兩套有助于減小或解決導(dǎo)致理財(cái)產(chǎn)品定價(jià)偏差的當(dāng)前國(guó)內(nèi)銀行理財(cái)業(yè)務(wù)種種弊端的方案,一是進(jìn)入理財(cái)產(chǎn)品二級(jí)市場(chǎng),二是對(duì)發(fā)行人引入全球投資績(jī)效標(biāo)準(zhǔn)體系。并對(duì)方案的可行性及方案可能帶來(lái)的改進(jìn)之處進(jìn)行了探討。造成商業(yè)銀行理財(cái)產(chǎn)品定價(jià)偏離現(xiàn)象的原因非常多,市場(chǎng)因素是導(dǎo)致定價(jià)偏離的直觀原因,銀行對(duì)產(chǎn)品設(shè)計(jì)、投向的不合理以及業(yè)務(wù)管理、人員激勵(lì)、監(jiān)管不力、信托文化缺失等是定價(jià)偏離背后的深層次原因。商業(yè)銀行只有通過(guò)不斷提高自身管理水平、加強(qiáng)市場(chǎng)研判,才能在理財(cái)產(chǎn)品定價(jià)過(guò)程中更加接近真實(shí)的理論價(jià)格,從而降低定價(jià)偏差出現(xiàn)的幾率并減少定價(jià)偏離的幅度。另外,監(jiān)管部門(mén)及行業(yè)自律組織也應(yīng)適時(shí)引入先進(jìn)的行業(yè)慣例,逐步培養(yǎng)優(yōu)良的信托文化。
[Abstract]:In recent years, with the complete liberalization of RMB loan interest rate in China and the limited liberalization of deposit interest rate, the marketization process of interest rate in our country has been deepened, and the profit space of commercial banks which used to focus on the difference between deposit and loan interest rate has been gradually compressed. Commercial banks are forced to seek new profit models. In this context, financial products slowly act as the vanguard of bank profits. Since the first commercial bank financial products were issued in China in 2004, the average annual growth rate of the issuance of commercial bank financial products has reached 82%, and the circulation volume in 2013 is as high as 130000 models. But then, more and more wealth-management products return less than expected. In this paper, the return rate of financial products is taken as the research object, and the data of return rate of more than 130000 types of financial products in Wind Financial Terminal Database are collected. This paper first analyzes the root causes of pricing deviation of banking financial products from the market level, operational level, management level and supervision, industry and cultural level to analyze the causes behind the phenomenon of financial products pricing deviation. Then, through the analysis of the difference between the expected return rate of financial products and the real return on maturity, the time-varying characteristics of the difference with the economic cycle and the statistical characteristics of the sharp and fat tail of the difference are obtained. This paper then makes an empirical analysis of the pricing deviation of different kinds of financial products. Through the analysis, the paper puts forward some specific optimization suggestions on the choice of product hooks and the determination of expected return rate. Finally, this paper puts forward two solutions which can help to reduce or solve the malpractice of domestic banks' financial management business, one is to enter the secondary market of financial products, and the other is to solve the problems of domestic banks' financial management business, which leads to the deviation of pricing of financial products. Second, to the issuer to introduce the global investment performance standard system. The feasibility of the scheme and its possible improvement are also discussed. There are many reasons for the deviation in pricing of financial products in commercial banks. The market factor is the direct reason for the deviation of pricing, the unreasonable design and investment of products, the management of business, the incentive of personnel and the weak supervision of the bank. Lack of trust culture is the deep reason behind pricing deviation. Only by constantly improving their own management level and strengthening market judgment can commercial banks get closer to the real theoretical price in the process of pricing of financial products thus reducing the probability of pricing deviation and reducing the range of pricing deviation. In addition, regulators and self-discipline organizations should introduce advanced industry practices and gradually cultivate good trust culture.
【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.2

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