银行结构性理财产品—定价和风险

发布时间：2018-01-15 01:36

本文关键词：银行结构性理财产品—定价和风险　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：自从1978年中国开始实施改革开放的基本国策以来,我国人民群众的生活水平和收入水平逐年得到提高,个人可支配财产也在逐年增加。居民个人财产的增多产生了对财产进行管理的需求,从而促进了银行个人理财业务的发展。从光大银行于2004年9月率先推出“阳光理财计划”以来,国内众多商业银行也相继发售了各自的理财产品。银行理财产品有着更高的收益,却不用缴纳利息税。因此,银行理财产品自从诞生以来,投资者便对这一新的投资途径表现出极大的兴趣。结构性理财产品属于银行理财产品中的一种,且占有较大比重。鉴于该类产品的重要性,本文对结构性理财产品进行了较为全面的研究。正文的第二部分讨论了结构性理财产品的含义、结构、种类、产品的市场特征以及产品的性质和运行机制等。这一部分主要利用最新的市场统计数据来描绘产品的特征与属性。在第三部分中,文章首先介绍了结构性理财产品定价的相关理论,并利用四款具体产品进行了实证分析。文章通过蒙特卡洛模拟法计算得到产品的理论价值,并与产品的实际价格进行比较,并最终得出以下结论：可以使用蒙特卡洛模拟法对结构性理财产品的定价问题进行分析。所选取的结构性理财产品的实际价格能够反映产品的理论价值,产品定价较为合理。文章的第四部分分析了结构性理财产品的风险与防范,利用定性研究的方法罗列出各种风险类型,并针对各种风险提出了若干防范措施。
[Abstract]:Since 1978 Chinese began to implement the basic national policy of reform and opening up since the Chinese people's living standard and income level rise year by year, disposable personal property is increasing year by year. Residents of personal property has increased the demand of property management, so as to promote the development of the personal financial services of banks from the China Everbright Bank in. In September 2004 the first to launch the "sunshine plan" since, many domestic commercial banks have also launched their own financial products. Financial products have a higher income, but do not pay interest tax. Therefore, bank financial products since its birth, investors will be on this new investment way structure showed great interest. Financial products is a kind of financial products, and occupy a large proportion. In view of the importance of this kind of product, the structured financial products are A more comprehensive study. The second part discusses the meaning of structured financial products, structure, types, product market characteristics and the nature of the product and operation mechanism. This part mainly uses the market the latest statistical data to describe the characteristics and attributes of the product. In the third part, the thesis introduces the related theory structured financial product pricing, and makes an empirical analysis of four specific products. The calculated theoretical value of products by Monte Carlo simulation method, compared with the actual price and products, and ultimately come to the following conclusions: using Monte Carlo simulation method for pricing of structured products were analyzed. The actual price of selected structured financial products can reflect the theoretical value of the product, product pricing is reasonable. The fourth part of the article analyzes the structural physical property The risk and prevention of the product, the use of qualitative research methods to list various types of risk, and put forward a number of preventive measures for various risks.

【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2

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