我国结构性理财产品的市场风险管理研究

发布时间：2018-06-15 09:12

本文选题：结构性理财产品 + 市场风险管理　；参考：《安徽大学》2012年硕士论文

【摘要】：结构性理财产品作为一种个人理财产品,最早产生于美国。随着国内银行对利润的追求以及投资者对高收益理财产品的需求,结构性理财在国内理财市场兴起并迅速发展。结构性理财产品是固定收益与衍生品的结合,投资于固定证券部分的资金为投资本金提供了保障；另一方面,衍生品部分的高杠杆性又使赚得高收益成为可能。2007年证券牛市也让结构性理财产品熠熠生辉。因此,不论是投资者还是银行都将结构性理财产品看成了高收益,低风险的理性产品,对其期望颇高。在这种情况下,银行的风险管理意识淡薄。投资者对疏于关注产品的风险。但是,2008年的金融危机让许多结构性理财产品收益为零甚至为负,结构性理财产品的发行急剧下降,直至至今,还未完全走出市场的冷清期。在这次“产品危机”中,人们也意识到结构性理财产品的高风险性,并开始重视产品的风险管理。结构性理财产品面临多种风险,而市场风险是最大的风险,本文对其市场风险管理进行研究是很有必要的。本文从结构性理财产品概念、特征以及市场风险管理的概述出发,对结构性理财产品的市场风险管理进行了系统的阐述。包括市场风险的识别、度量以及控制,并对加强市场风险管理提出了政策建议。文章的重点在市场风险度量部分。风险度量是我国风险管理的弱点,也是对专业以及技术都要求比较强的操作,本文拟通过对风险度量工具的全面介绍以及运用先进的风险度量工具VAR对中国银行推出的汇率挂钩型理财产品进行实例分析,能为银行管理结构性理财产品的市场风险管理以及投资者对市场风险的分析起到一定的借鉴作用。
[Abstract]:As a kind of personal financial products, structured financial products originated in the United States. With the pursuit of profits by domestic banks and the demand of investors for high-yield financial products, structural finance has risen and developed rapidly in the domestic financial market. Structured wealth management products are a combination of fixed income and derivatives, and the funds invested in fixed securities provide a guarantee for the principal; on the other hand, The high level of leverage in the derivatives sector has also made it possible to make high returns. The 2007 bull market in securities has also made structured wealth management products shine. As a result, both investors and banks view structured wealth management products as high-yielding, low-risk rational products with high expectations. In this case, the bank's risk management awareness is weak. Investors are concerned about the risk of neglecting the product. However, the financial crisis in 2008 has left many structured wealth management products with zero or even negative returns, and the issuance of structured financial products has fallen sharply, until now, not yet fully out of the market cool-down period. In this "product crisis", people also realize the high risk of structured financial products, and begin to attach importance to product risk management. Structural financial products face many kinds of risks, and market risk is the biggest risk. It is necessary to study the market risk management in this paper. Based on the concept and characteristics of structured financial products and an overview of market risk management, this paper systematically expounds the market risk management of structured financial products. It includes the identification, measurement and control of market risk, and puts forward some policy suggestions to strengthen the management of market risk. The focus of the article is the market risk measurement part. Risk measurement is the weakness of risk management in our country, and it is also an operation that requires strong professional and technical requirements. Through the comprehensive introduction of risk measurement tools and the use of VAR, an advanced risk measurement tool, this paper analyzes the exchange rate pegged financial products developed by Bank of China. It can be used as a reference for banks to manage the market risk of structured financial products and investors to analyze the market risk.
【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.48;F224

【引证文献】