VaR模型在银行结构性理财产品风险管理中的应用

发布时间：2018-03-11 02:22

本文选题：VaR模型　切入点：结构性理财产品　出处：《暨南大学》2013年硕士论文　论文类型：学位论文

【摘要】：在我国金融业不断发展的背景下，银行结构性理财产品最近成为了中国投资者较为关注的投资产品。2008-2012年，国内商业银行结构性理财产品发行量从528款增加到1680款，发展态势良好。但与此同时，市场也存在着产品收益市场风险较大，银行故意隐瞒风险，以及投资者对风险认识不足等问题。基于以上现状，本文探讨了如何将VaR模型应用到银行结构性理财产品风险管理中的问题，以期对投资者、商业银行和监管机构起到一定的借鉴作用。本文在结合国内商业银行结构性理财产品的现状、结构性理财产品设计结构和定价模型以及VaR模型理论的基础上，对VaR模型在结构性理财产品中的应用进行了系统的研究，主要介绍了结构性理财产品VaR的定义、VaR模型的优势、VaR值计算以及VaR的应用；并以汇率挂钩型理财产品为例，，选取了一款“固定收益+数值期权”结构、一款“固定收益+向上触及就付期权（收益币种为本币）”结构、和一款“固定收益+向上触及不付期权（收益币种为第三国货币）”结构的产品作为案例，使用了蒙特卡罗模拟方法，分别计算了三款产品的VaR值。通过比较分析，文章得出结论：VaR模型对三款产品的风险程度具有较好的甄别作用，产品的不同期限、设计结构和发行机构将会影响产品的VaR值和风险程度，以及存在银行向投资者公布产品风险透明度较低的问题。最后，文章从投资者角度、银行角度和监管机构三个不同角度提出使用VaR模型进行结构性理财产品风险管理的建议。
[Abstract]:In the context of the continuous development of the financial industry in China, the structured banking financial products have recently become the investment products that Chinese investors pay more attention to. In 2008-2012, the circulation of structured financial products of domestic commercial banks increased from 528 to 1680. But at the same time, there are still some problems in the market, such as the market risk of product income, the deliberate concealment of risk by banks, and the lack of understanding of risk among investors. This paper discusses how to apply the VaR model to the risk management of bank structured financial products in order to provide some reference for investors, commercial banks and regulators. Based on the current situation of domestic commercial banks' structural financial products, the design structure and pricing model of structured financial products and the theory of VaR model, the application of VaR model in structured financial products is systematically studied in this paper. This paper mainly introduces the definition of structural financial products (VaR) and the advantages of VAR model and the application of VaR, and takes the exchange-rate pegged financial products as an example to select a "fixed income numerical option" structure. A "fixed income up touch on payment option" structure and a "fixed income upward touch non-payment option" structure as a case study, Monte Carlo simulation method is used to calculate the VaR values of three products. Through comparative analysis, the paper draws a conclusion that the VaR value and risk degree of the product will be influenced by the different product duration, the design structure and the issuing organization. Finally, the paper puts forward the suggestion of using VaR model to manage the risk of structured financial products from the perspective of investors, banks and regulators.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.2;F224

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