我国汇率挂钩类结构化产品的定价及绩效研究

发布时间：2018-02-08 11:02

本文关键词： 触发式挂钩产品外汇期权定价投资绩效　出处：《山东财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着我国汇率制度的不断完善和理财市场的发展，汇率挂钩类结构化理财产品将成为投资者和商业银行关注的重点。目前，对结构化理财产品研究仅仅集中在产品营销、市场定位方面。本文首先分析了汇率挂钩类结构化理财产品的基本概念、分类、结构特征以及发展状况，并详细阐述了产品定价的影响因素、定价模型和技术。具体产品的定价方法是汇率挂钩类结构化产品定价研究的重点和难点。本文对该类结构化金融衍生产品的研究主要集中于对产品理论价格方法的测算。根据前文中的定价理论和技术，本文集中以中国银行发行的“汇聚宝”与“博弈”两类与汇率挂钩的外币汇市争锋产品为研究样本，运用金融工程的组合分解方法和期权定价模型，对该类产品的理论价值进行测算并与实际发行价格进行比较，在此基础上计算出该类产品的误定价程度。汇率挂钩类结构化理财产品的投资绩效是本文研究的另一个重要内容。本文以中国银行发行的“汇聚宝”、“搏弈”系列结构化理财产品等为例，对此类结构化产品的投资绩效进了定量研究。通过对不同发行主体、不同期限、不同发行年份与不同支付收益币种的产品绩效进行比较，分析了实际收益率、超额收益率与实际基准利率的相关影响因素与变动情况。最后，对我国汇率挂钩类结构化理财产品设计和发展中存在的问题，提出对应的建议并指出推进该类结构化理财产品发展所需的配套措施。本文的主要贡献在于: 选题上的新意:在作者查阅的相关资料里，未有文献专门对我国市场中汇率挂钩类理财产品的定价进行专项研究。本文对我国目前汇率挂钩类结构化理财产品的定价情况进行了详尽的调查和分析，并尝试采用金融工程的组合分解方法和期权定价模型，计算该类产品的理论价值，，对汇率挂钩类结构化产品的误定价程度及绩效进行探讨，给投资者及发行者提供比较科学的参考。
[Abstract]:With the continuous improvement of the exchange rate system and the development of the financial management market in China, structured financial products such as exchange-rate linkage will become the focus of investors and commercial banks. At present, the research on structured financial products is only focused on product marketing. In terms of market positioning, this paper first analyzes the basic concept, classification, structural characteristics and development of exchange-rate pegged structured financial products, and expounds in detail the influencing factors, pricing models and techniques of product pricing. The pricing method of specific products is the focus and difficulty of the pricing of exchange-rate pegged structured products. The research of this kind of structured financial derivatives is mainly focused on the calculation of the theoretical pricing methods of the products. Pricing theory and technology in this paper, This paper focuses on two kinds of foreign currency exchange market competition products linked to exchange rate issued by Bank of China, such as "convergent treasure" and "game", and applies combination decomposition method of financial engineering and option pricing model. The theoretical value of this kind of product is calculated and compared with the actual issue price. On this basis, the mispricing degree of this kind of product is calculated. The investment performance of exchange-rate pegged structured financial products is another important part of this paper. This paper takes the "convergent treasure" issued by Bank of China and the series of structured financial management products as examples. This paper makes a quantitative study on the investment performance of this kind of structured products. By comparing the product performance of different issuers, different maturities, different issue years and different payment income currencies, the real yield is analyzed. The influence factors and changes of the excess return rate and the actual benchmark interest rate. Finally, the problems existing in the design and development of China's exchange-rate pegged structured financial products are discussed. The corresponding suggestions are put forward and the necessary measures to promote the development of this kind of structured financial products are pointed out. The main contributions of this paper are:. New ideas on the topic: in the relevant materials consulted by the author, There is no literature on the pricing of exchange-rate pegged financial products in Chinese market. This paper makes a detailed investigation and analysis on the pricing of exchange-rate pegged structured financial products in China. We also try to use the combination decomposition method and option pricing model of financial engineering to calculate the theoretical value of this kind of products and to discuss the mispricing degree and performance of structured products with exchange rate pegs. To provide investors and issuers with a more scientific reference.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52;F224

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