基于VaR的结构性理财产品市场风险管理研究

发布时间：2018-02-03 15:18

本文关键词： 结构性理财产品市场风险管理 VaR　出处：《广东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：结构性理财产品产生于20世纪80年代的美国，近年来由于其高收益吸引了众多投资者的目光，因而在我国得到迅速发展。结构性理财产品的本质是固定收益证券与衍生产品的组合，一部分资金投资于固定收益证券，为投资本金提供了保障；另一部分资金投资于衍生产品，使得理财产品利用高杠杆获得高收益成为可能。然而，，结构性理财产品的高收益背后，不容忽视其高风险，事实是2013年上半年在披露的预期收益率未达标的理财产品中，多数属于结构性理财产品。此外，结构性理财产品频频爆出零收益或负收益。因此，需要理性对待结构性理财产品的高收益，把结构性理财产品的市场风险管理放在重要位置。在此背景下，本文首先对结构性理财产品进行介绍，分解它的组成要素，然后对我国当前结构性理财产品市场的特点进行归纳。进而，对结构性理财产品的市场风险管理进行系统阐述，并结合我国市场情况发现市场风险管理中存在的问题。紧接着，本文详细介绍了市场风险度量方法之一的VaR方法，并结合实例使用该方法度量理财产品的市场风险。最后，本文针对我国结构性理财产品中存在的问题提出政策建议，以期对我国结构性理财产品市场风险管理起到一定的借鉴作用。
[Abstract]:Structured wealth management products originated in 1980s in the United States, in recent years because of its high returns attracted the attention of many investors. The essence of structured financial products is the combination of fixed income securities and derivative products, and some funds are invested in fixed income securities, which provides the guarantee for the principal investment. The other part of the funds invested in derivative products, making it possible for financial products to use high leverage to obtain high returns. However, the high returns of structured financial products can not be ignored its high risk. The fact is that in the first half of 2013 in the disclosure of the expected return rate of financial products, most of them belong to structured financial products. In addition, structural financial products frequently break out zero or negative returns. It is necessary to treat the high income of structured financial products rationally and put the market risk management of structured financial products in an important position. Under this background, this paper first introduces the structural financial products, decomposes its constituent elements, and then summarizes the characteristics of the current market of structural financial products in China. This paper systematically expounds the market risk management of structured financial products and finds out the problems in the market risk management according to the market situation in our country. This paper introduces the VaR method, one of the methods of market risk measurement, and uses this method to measure the market risk of financial products. Finally. This paper puts forward some policy suggestions in view of the problems existing in structural financial management products in China, in order to provide some reference for the market risk management of structural financial products in China.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

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