结构化证券投资信托产品设计研究

发布时间：2018-06-19 18:55

本文选题：结构化 + 证券投资信托　；参考：《上海交通大学》2012年硕士论文

【摘要】：本文首先从结构设计、发展历程、分类情况、现存规模和投资业绩等方面介绍证券投资信托产品的现状和发展前景，然后结合实例，分析了结构化证券投资信托的产品结构特点和市场需求，指出（1）结构化证券投资信托作为私募基金，其投资门槛比公募基金更高，投资机制更灵活，，因此其投资者专业性更强，有更多个性化产品设计的需求。（2）结构化证券投资信托的优先级投资者存在一定程度的保本需求。本文利用内嵌式期权设计对优先级的收益结构做了改进：当期末信托单位净值在约定的最高和最低收益上下限之间时，优先级受益人获得和净值挂钩的浮动收益，从而扩大了优先级的收益浮动范围，实现一定程度的风险共担，改变了目前单一的劣后级向优先级融资模式，更好地满足个性化的产品设计需求。针对优先级投资者的保本需求，本文提出用CPPI策略来对整个投资组合进行保本，用蒙特卡洛法模拟了不同杠杆率和保本率下CPPI策略的投资绩效，得出的主要结论为：（1）CPPI策略能够有效地避免极端负收益率的情况。（2）设置适当的保本率、风险乘数和杠杆率能较好地对优先级实现约定的保本，对劣后级的收益和风险进行相应的放大。最后，本文结合各项信托法律法规和实务，对结构化证券投资信托的管理制度创新、产品设计和风险控制提出了具有可行性的建议。
[Abstract]:This paper first introduces the status and development prospect of securities investment trust products from the aspects of structure design, development course, classification, existing scale and investment performance, and then analyzes the product structure characteristics and market demand of structured securities investment trust, and points out (1) structured securities investment trust as a private fund. The capital threshold is higher than the public fund, and the investment mechanism is more flexible. Therefore, the investors are more professional and have more personalized product design requirements. (2) the priority investors of the structured securities investment trust have a certain degree of saving demand.
In this paper, the income structure of priority is improved by using embedded option design. When the net value of the final trust unit is between the highest and the lowest income and lower limits, the priority beneficiary obtains the floating income linked to the net value, thus enlarging the income floating model of the priority, realizing a certain degree of risk sharing and changing the risk. At present, the single poor backward priority financing mode can better meet the personalized product design needs.
In view of the premium demand of priority investors, this paper proposes to use CPPI strategy to save the whole portfolio, and uses Monte Carlo method to simulate the investment performance of CPPI strategy under different leverage ratio and premium rate. The main conclusions are as follows: (1) the CPPI strategy can effectively avoid the extreme negative rate of return. (2) set appropriate warranty. The rate, Risk Multiplier and leverage ratio can better guarantee the priority of the priority, and magnify the income and risk of the inferior class.
In the end, this paper puts forward feasible suggestions on the management system innovation, product design and risk control of structured securities investment trust, combining various trust laws and regulations and practices.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.49;F224

【参考文献】