基于申万深成分级基金的永续性股债分级基金定价的研究

发布时间：2018-02-05 01:18

本文关键词： 分级基金 A类份额 B类份额定价折算　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：股债分级基金源于海外成熟市场，近些年，随着我国金融创新的逐步推开，该类产品被引入到国内，在国内，，其发展大致经过了几个阶段，目前市场上主流的是永续性股债分级基金，由于在国内历史较短，分级基金的定价一直存在争议，大家对其真实价值没有形成统一意见。本文以申万深成分级基金为重点研究对象，从永续性股债分级基金发行契约，运行规则入手，以现金流的角度为切入点，分析分级基金的定价。对于A类份额：分级基金的价值=债券价值+转换配对价值；对于B类份额：分级基金的价值=期权价值+转换配对价值；鉴于分级基金不是独立的运行在资本市场，其市场价格必然会受到一些其他因素的干扰，这些因素包括市场情绪（不触及折算条约），相关可比产品以及分级基金的折算条约，我们将结合历史数据，运用回归方法以及敏感性分析讨论这些因素对分级基金的市场定价的影响。
[Abstract]:In recent years, with the gradual introduction of financial innovation in China, this kind of products have been introduced into China, in China, its development has passed through several stages. At present, the mainstream of the market is the sustainable stock and debt rating fund. Because of the short history in China, the pricing of the classified fund has always been controversial, so there is no unified opinion on its real value. This paper focuses on Shen Wanshengcheng graded fund, starting with the issuing contract and operating rules of sustainable stock debt classification fund, and taking cash flow as the starting point, this paper analyzes the pricing of graded fund. For category A shares: the value of the graded fund = the bond value conversion pairing value; For category B shares: the value of the graded fund = option value conversion pairing value; Given that graded funds do not operate independently in capital markets, their market prices are bound to be interfered with by a number of other factors, including market sentiment (not touching on conversion treaties). We will combine historical data, regression method and sensitivity analysis to discuss the influence of these factors on market pricing of graded funds.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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