挂钩黄金结构性理财产品的风险评估

发布时间：2018-02-01 13:02

本文关键词： 挂钩黄金的结构性理财产品 GARCH模型 VaR模型蒙特卡洛模拟　出处：《华中科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来，国内居民可支配收入明显增加，财富保值、增值意愿日益增强。与此同时，受利率市场化、金融脱媒、监管刚性约束等金融环境影响，银行传统存贷业务受到挤压，纷纷寻求经营转型。在此背景下，银行理财业务逐渐成为国内银行业适应经营环境变化、响应客户需求、优化业务结构的一种重要方式。相对于其它理财产品而言，挂钩黄金的结构性理财产品发展历史不长。黄金作为一种特殊的商品，近两年该类型产品受到国内投资者和发行者的热捧。但是2012年下半年黄金价格的急速下跌和2013年的震荡下跌，却令挂钩黄金的结构性理财产品频频上未获得最高预期收益率的榜单。基于此，本文对挂钩黄金的结构性产品进行风险评估，，并从投资者角度进行产品改进并提出相关建议。本文首先分析了国内结构性理财产品市场的现状特点。然后分析对比了不同风险评估方法，并选择使用基于GARCH模型的风险价值VaR蒙特卡洛模拟风险评估方法。然后选择了市场上常见的三种挂钩黄金的结构性理财产品进行风险评估分析，试图找出挂钩黄金的结构性理财产品的风险来源。最后根据前面分析的风险来源对挂钩黄金的结构性理财产品进行产品改进并对投资者给出相应的建议。本文通过分析三款理财产品的风险以及改进产品，发现挂钩黄金的结构性理财产品未实现最高预期收益率的原因很大一部分来自于自身产品设计不具有风险规避性，一方面是设计结构的单一性，另一方面是区间触碰条件的不合理性，最后是挂钩标的资产的单一性。
[Abstract]:In recent years, the disposable income of domestic residents has increased significantly, wealth preservation and appreciation have been strengthened. At the same time, the financial environment, such as marketization of interest rates, financial disintermediation, rigid supervision and so on, has been affected. The traditional deposit and loan business of banks has been squeezed, and they are looking for business transformation. Under this background, banking business has gradually become the domestic banking industry to adapt to the changes in the operating environment and respond to the needs of customers. An important way to optimize business structure. Compared with other financial products, the development history of structural financial products linked to gold is not long. Gold is a special commodity. It has been popular among domestic investors and issuers for the past two years, but gold prices fell sharply in the second half of 2012 and tumbled in 2013. However, the structural wealth management products linked to gold frequently do not get the highest expected return. Based on this, this paper carries out a risk assessment of the structural products linked to gold. And from the perspective of investors to improve the product and put forward relevant recommendations. This paper first analyzes the current situation of the domestic market of structured financial products, and then analyzes and compares different risk assessment methods. And choose to use the risk value VaR Monte Carlo simulation risk assessment method based on GARCH model, and then select three kinds of structural financial products linked to gold in the market for risk assessment and analysis. This paper tries to find out the risk source of the structural financial products linked to gold. Finally, according to the risk sources of the previous analysis, the structural financial products linked to gold are improved and the corresponding suggestions are given to investors. This paper analyzes the risk of three financial products and improve the product. Found that the structural financial products linked to gold did not achieve the highest expected rate of return, a large part of the reason is that their own product design is not risk-averse, on the one hand, the single design structure. On the other hand, the irrationality of interval contact condition and the singularity of linked underlying assets.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2

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