国内结构性理财产品设计与定价研究

发布时间：2018-05-13 12:00

本文选题：结构性理财产品 + 期权　；参考：《复旦大学》2012年硕士论文

【摘要】：随着国内金融市场不断地发展壮大,老百姓投资意识的不断增强,个人客户的理财需求大大加强。在这样的背景之下,国内理财产品的数量急剧增长,银行结构性理财产品以其独有的风险收益特征,成为国内理财市场的重要组成部分。结构性理财产品的投资本质上就是一个固定收益类产品和金融衍生品的投资组合。固定收益部分的主要投资于同业存款,同业拆借以及国内银行间市场的其他投资标的；金融衍生品主要是以各种期权和互换为投资工具。因为涉及金融衍生品,故产品结构通常较为复杂。由于国内的个人客户对于金融衍生品知之甚少,很多客户在没有弄明白产品特征的情况下,片面看重较高的条件回报率,盲目购买,当遇到市场实际表现与产品设计初衷不符时,对于该类产品的零收益,甚至是负收益不能理解,其结果是从2007年开始,结构性产品在国内市场被当成金融毒药,群起而攻之,进而导致市场上的结构性产品发行数量和规模都大幅下降,中资银行纷纷暂停该类业务转而开展银信合作的理财产品。国内结构性产品的现状,一方面是投资者不成熟的体现,另一方面,作为产品发行方的银行,同样是难辞其咎的。回顾很多结构性产品,我们可以发现,很多的设计结构不甚合理,承受的潜在风险概率远远高于获得潜在收益的可能,通过回溯检验(backing test)发现,很多的产品得到零收益的可能性在80%以上,这无疑是产品设计上的重大缺陷。其实,从结构性产品的特征来看,产品设计恰恰是它相较于其他产品的一大优势。设计出色的结构性产品,可以根据不同的市场环境,不同客户的风险收益偏好而量身定制,在各种不同的市场环境下都取得不俗的投资表现。正因为如此,本文的研究重点之一就是在结构性产品的设计,先从最基本的期权入手进行分析,着重介绍其回报图形的特点以及对于各类市场因素的敏感度,再结合当前国内国外较成功的产品,尝试将其结构进行拆解,逐个分析其在结构中的功效,最后自行设计一款结构性产品,讨论如何在实践中平衡好产品本身的风险和收益以及产品投资者和发行者的利益平衡,并对其进行情景分析及回溯测试。本文的第二个重点将集中在结构性产品的定价上。由于结构性产品本质上是固定收益产品和期权等金融衍生品的组合,那么其定价主要也是针对这两部分所进行。固定收益部分本文使用现金流贴现模型,其关键点在于贴现率的选取,这取决于利率的期限结构。至于金融衍生品部分的定价,本文主要介绍BS模型,二叉树模型以及蒙特卡罗模拟这三种目前最常用的方法,对其适用范围,定价效果,以及参数选取进行探讨,并尝试对目前市场上流行的结构性产品进行定价分析。
[Abstract]:With the development of the domestic financial market and the increasing of the people's investment consciousness, the financial needs of individual clients are greatly strengthened. Under this background, the number of domestic financial products has increased rapidly, and the structural financial products of banks have become an important part of the domestic financial market because of their unique characteristics of risk and income. Investment in structured wealth management products is essentially a portfolio of fixed income products and financial derivatives. The fixed income portion is mainly invested in interbank deposits, interbank lending and other investment targets in the domestic interbank market; financial derivatives are mainly invested in various options and swaps. Because of the financial derivatives involved, the product structure is usually more complex. Because domestic individual customers know very little about financial derivatives, many customers, without understanding the characteristics of their products, pay one-sided attention to higher conditional rates of return and blindly buy them. When the actual performance of the market is inconsistent with the original intention of product design, the zero or even negative returns of this kind of products cannot be understood. The result is that since 2007, structural products have been regarded as financial poisons in the domestic market and attacked in groups. As a result, the number and size of structured product offerings in the market have fallen sharply, with Chinese banks suspending such operations and switching to wealth management products in which the bank is cooperating. The status quo of domestic structured products, on the one hand, is a reflection of investor immaturity, on the other hand, banks as issuers of products are also to blame. Looking back at a lot of structured products, we can see that many of the design structures are not very reasonable, and the probability of taking the potential risks is much higher than the potential benefits, as found by backtracking testing. Many products have a zero-profit probability of more than 80%, which is undoubtedly a major defect in product design. In fact, from the characteristics of structural products, product design is precisely compared with other products a major advantage. Well designed structured products can be tailored according to different market environments and different customers' risk and return preferences, and can achieve good investment performance in different market environments. For this reason, one of the key points of this paper is to analyze the design of structural products from the most basic options, focusing on the characteristics of the return graph and the sensitivity to various market factors. Combined with the current domestic and foreign more successful products, try to disassemble its structure, analyze its efficacy in the structure one by one, and finally design a structural product by itself. This paper discusses how to balance the risks and returns of the product itself and the interests of the investors and issuers in practice, and carries out situational analysis and backtracking tests. The second focus of this paper will be on the pricing of structured products. Since structured products are essentially a combination of fixed income products and financial derivatives such as options, they are also priced for these two parts. In the part of fixed income, the discounted cash flow model is used, the key point of which is the selection of discount rate, which depends on the term structure of interest rate. As for the pricing of financial derivatives, this paper mainly introduces the BS model, binary tree model and Monte Carlo simulation, which are the three most commonly used methods, and discusses the scope of application, pricing effect and parameter selection. And tries to carry on the pricing analysis to the present market popular structural product.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.48

【参考文献】