基于VaR方法的商业银行结构型理财产品的风险管理研究

发布时间：2018-02-28 18:00

本文关键词： 风险管理结构型理财产品 VaR模型汇率挂钩型产品股票挂钩型产品　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：自2000年银行开展理财业务以来，理财产品不断发展，广受投资者的关注，其中被称为“结构型理财产品”的一种更是因其灵活性和高收益渐渐得到投资者的认可。从2008年到2013年，国内商业银行所发行的结构型理财产品总量从528款增加到1850款，发展势头良好。伴随着发展的同时，这一产品也暴露出市场风险较大、投资者对风险认识不足以及银行故意弱化风险等问题，，基于以上现状，本文阐述了如何将VaR方法应用于该类理财产品的风险管理中，以便投资者、发行银行和监管部门三方都能得到一个科学的、合理的参考。文章采用定性分析和定量分析相结合的方式，对国内商业银行发行的结构型理财产品的风险管理进行了研究，研究内容主要包括我国商业银行结构型理财产品市场及其风险管理现状概述、VaR方法应用于结构型理财产品风险管理的理论基础以及VaR方法实证应用举例三个方面。其中，前两个部分为文章的理论基础，主要在分析国内结构型理财产品现状、产品包含的风险因素、其设计结构和定价模式的基础上，结合VaR模型的相关基础理论，对于将VaR模型应用于结构型理财产品风险管理中的具体方法作出了系统的阐述，主要包括：在结构型理财产品中VaR的概念、与众多风险度量方法相比其优势所在、结构型理财产品VaR的计算方法的选取与步骤以及VaR的应用。实证部分为文章的核心部分，这一部分结合前文的分析，选取股票挂钩型和外汇挂钩型两大类结构型理财产品作为分析对象，再根据其具体的设计结构细分成六小类产品，并分别研究了计算每一种产品的不同VaR值的方法。实证结论表明：(1)VaR模型可用于度量结构型理财产品市场风险，并且产品种类、期限、设计结构以及发行机构性质等因素的不同都将影响到产品的VaR值以及风险程度的高低，投资者可以根据模型计算的结果进行比较和选择；(2)VaR值可以帮助鉴别银行是否存在风险隐瞒等问题；(3)可以基于投资者、发行银行和监管部门三个不同的视角给出使用VaR方法对结构型理财产品进行风险管理的相关建议。
[Abstract]:Since 2000 the bank to carry out financial services, financial product development, wide attention of investors, which is called "a kind of structured financial products" is due to its flexibility and high yield gradually recognized by investors. From 2008 to 2013, the total amount of structured financial products issued by domestic commercial banks from 528 increase to 1850, a good momentum of development. With the development of the products at the same time, it also exposes investors to market risk, the risk of lack of knowledge and deliberately weakening bank risk, based on the above situation, this paper describes how to apply the VaR method to the risk management of financial products, so that investors the issuing bank, regulators and the three party can be a scientific and reasonable reference.
This paper adopts the combination of qualitative analysis and quantitative analysis, the risk management of structured financial products issued in the domestic commercial banks are studied, the research content mainly includes the structure of China's commercial bank based financial products market risk management status and overview of three aspects for example VaR method is applied to the structure of financial product risk management theory based on VaR method and empirical application. Among them, two part is the theoretical basis of the article, mainly through the analysis of the present situation of the structured financial products, the risk factors of the product contains the basic design, structure and pricing model, combined with the basic theory of VaR model, the specific method of VaR model is applied to the structure of the type of financial management product risk management has made the system elaboration, mainly includes: the concept of financial products in the structure of VaR, compared with many risk measurement methods Its advantages, selection and application of VaR procedure and calculation method of structured financial products in VaR. The empirical part is the core part of the article, this part based on the above analysis, selection of equity linked and foreign exchange linked to two types of structured financial products as the analysis objects, then the specific design structure breakdown six small products according to, and studies the calculation method of different VaR for each product value.
The empirical results show that: (1) the VaR model can be used to measure the structure of financial market risk, and product types, period, factors of the design of the structure and properties of different issuers will affect the VaR value of the product and the high degree of risk, investors can be compared and selected according to the results of the calculation model; (2) the VaR value can help identify whether the bank risk conceal the problem; (3) can be based on the relevant recommendations issued to investors, banks and regulators three different perspectives are given using the VaR method of risk management of structured financial products.

【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2;F224

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