股票篮子挂钩结构性债券产品设计与分析

发布时间：2019-01-26 07:25

【摘要】：股票篮子挂钩结构性债券产品是指该结构型债券理财产品的预期收益和风险与篮子内的股票表现挂钩，获取潜在的更高回报的机会与股票篮子每日表现或最终表现相关。由于结构型理财产品特别是股票篮子挂钩结构性债券产品已陆续出现于国内金融市场，受到了市场的欢迎，但是我国现在的理财产品开发仍然相对滞后，一方面局限于政策限制，虽然股票市场交易活跃，产品种类多，我国现在理财产品的开发仍然受到很多限制；另一方面，结构化理财产品涉及的投资标的众多，，且产品间的搭配结构复杂，需要金融工程技术在产品定价中起着不可替代的保障作用，随着我国利率的市场化和衍生品市场的进一步放开，股票结构型理财商品的继续扩充将是未来的趋势，所以真正了解这种商品的评价、设计以及风险管理愈发变得重要。针对股票篮子结构性债券产品，本文从产品评价、产品设计与风险管理三个角度进行分析。首先，以汇聚中华1年期人民币一篮子股票挂钩结构性投资产品为例，本文在提出股权结构型产品导论的背景下运用金融定价理论对股票篮子结构性债券产品进行具体评价包括定价、蒙特卡罗模拟与敏感度分析等。其次，对于产品设计而言，设计意义是研究动力；设计原理是理论依据；设计方法是过程指导；设计流程是运行保障，本文在提出设计意义、原理、方法和流程的基础上，探索性地设计了两款产品包括看涨概念股票篮子保本型产品和看跌高息股票篮子非保本型产品。最后，市场风险管理是辨识、度量、监测和控制市场风险的全过程，对于股票篮子挂钩结构性债券产品而言，风险管理实际上就是首先需要对风险进行辨识与分析，其次在分析的基础上对风险进行精确度量，最后对风险进行规避和控制的过程。期望本文研究一方面为发行商提供合理的评价与设计方式，以及发行结构型产品所可能面临到的风险和可行的避险方式；另外一方面使投资人能够更加了解投资相关商品的报酬与风险。
[Abstract]:The stock basket linked structured bond product means that the expected return and risk of the structured bond wealth management product are linked to the performance of the stock in the basket, and the opportunity to obtain a potential higher return is related to the basket's daily or final performance. As structural financial products, especially those linked to stocks and baskets, have appeared in the domestic financial market one after another, they have been welcomed by the market. However, the development of financial products in our country is still relatively lagging behind. On the one hand, limited to policy restrictions, although the stock market is active, there are many types of products, the development of financial products in China is still subject to a lot of restrictions; On the other hand, structured financial products involve a large number of investment targets, and the collocation structure between products is complex, which requires financial engineering technology to play an irreplaceable role in product pricing. With the marketization of interest rate and the further liberalization of derivatives market, the further expansion of stock structured financial goods will be the future trend, so it is more and more important to really understand the evaluation, design and risk management of this commodity. This paper analyzes the stock basket structured bond products from three aspects: product evaluation, product design and risk management. First of all, take the case of structured investment products linked to a basket of Chinese one-year RMB stocks. In this paper, we use the financial pricing theory to evaluate the stock basket structured bond products, including pricing, Monte Carlo simulation and sensitivity analysis. Secondly, for product design, the significance of design is to study the motive force, the design principle is the theoretical basis, the design method is the guidance of the process. The design process is the operation guarantee. On the basis of the design meaning, principle, method and flow, this paper designs two kinds of products, including the bearish concept stock basket capital preservation product and the bearish high interest stock basket non-capital preservation product. Finally, market risk management is the whole process of identifying, measuring, monitoring and controlling market risk. For stock basket linked structured bond products, risk management is actually the first to identify and analyze the risk. Secondly, on the basis of analysis, the risk is accurately measured, and the process of avoiding and controlling the risk is carried out. On the one hand, this paper hopes to provide a reasonable evaluation and design method for the issuer, as well as the possible risks and feasible ways to avoid risks in issuing structural products; On the other hand, investors can know more about the rewards and risks of investing in related commodities.
【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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