本文選題：分級基金　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】：分級基金是指主要依據(jù)所投資產(chǎn)品的不同風(fēng)險與收益,將其凈資產(chǎn)或收益進(jìn)行分解。我國分級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,風(fēng)險分級",不同風(fēng)險偏好的投資者都能各取所需。分級基金最主要的投資價值在與它的可交易性,以及所提供的價格杠桿。分級基金可以進(jìn)行拆分,由于其產(chǎn)品設(shè)計上的特性,其交易性質(zhì)非常顯著。在分級基金的發(fā)展過程中,越來越多的投資者傾向于選擇多樣化的杠桿設(shè)計產(chǎn)品。對于投資者、機(jī)構(gòu)管理者及監(jiān)管者來說,分級基金的定價有助于實現(xiàn)各自的利益需求,達(dá)成多方共贏。因為在基金市場上,現(xiàn)有的基金品種和資產(chǎn)配置存在一定問題,難以實現(xiàn)需求,因而分級基金作為新型產(chǎn)品加入,其強(qiáng)大的交易性,讓基金市場更豐富,同時產(chǎn)品多元化的提升也使市場更加活躍。盡管近兩年,監(jiān)管層多次對分級基金的管理提出新要求,比如提高分級基金的門檻,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)行時間3年以上的基金,挑選其中有典型特征的6只,分別對其母基金凈值,A、B份額價格進(jìn)行理論定價,并與實際價格對比,發(fā)現(xiàn)B份額的模擬擬合度較高,同時回歸分析的相關(guān)性較好。A份額的模擬則無法反應(yīng)市場價格走勢,進(jìn)一步研究中也發(fā)現(xiàn),實際價格杠桿與標(biāo)的指數(shù)波動率,對模擬擬合度的優(yōu)劣幾乎沒有影響。在我國金融市場的發(fā)展過程中,杠桿類產(chǎn)品的重要性漸趨提升。對分級基金這一典型產(chǎn)品的定價及產(chǎn)品設(shè)計要素研究對其他產(chǎn)品的發(fā)展有重要的借鑒意義。本文希望通過研究給未來其他杠桿類產(chǎn)品的定價提供依據(jù),并且在產(chǎn)品設(shè)計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)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：O242.2;F832.51
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本文編號：1600874