我国股票挂钩结构性理财产品的设计创新与推荐

发布时间：2018-01-16 16:39

本文关键词：我国股票挂钩结构性理财产品的设计创新与推荐　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：在我国经济迅速发展以及居民储蓄量快速增加的背景下，金融市场上对于理财产品的需求大大提高，同时从商业银行角度讲，不仅要面对同业之间的竞争，也要面对资本市场存贷款利差减小的问题，面对日益激烈的竞争环境，商业银行逐渐将重心从传统业务向中间业务过渡，理财产品自然成为了重点开发的渠道。为了满足金融市场对理财产品的需求，商业银行针对不同投资的特点开发了多种理财产品，而结构性理财产品因其自身结构具备的多样化特点逐渐被广泛关注。我国商业银行开展结构性理财产品的时间较晚，但其发展非常快速，在短短几年时间内，其种类和发行规模都得到了非常迅猛的增长。结构性理财产品融合固定收益证券和金融衍生合约的特点，具有灵活多样性，与传统的理财产品相比较，在保证较低风险的条件下，能够提供一个较高的收益，因此迅速受到投资者的青睐。本文主要针对股票挂钩结构性理财产品，研究其设计结构，对产品进行评估，创新性地提出符合投资者自身需求特点的产品价格以及结构设计方法，并构建出针对不同类型投资者的产品推荐方法。研究内容包括：第1章阐述研究背景以及研究的目的和意义，总结了近年来相关国内外文献的研究现状；第2章对股票挂钩结构性产品基本概念及相关理论进行了介绍，并以风险收益特征为出发点对我国市场上正在交易的结构性产品进行了分类；第3章总结了股票挂钩结构性理财产品设计的基本框架，以产品收益特征为划分标准，选取具有代表性的产品进行实证分析，，结果表明我国股票挂钩结构性理财产品的设计多为低风险类型，在此基础上剖析了我国股票挂钩结构性理财产品在设计方面存在的问题；第4章从投资者收入、储蓄以及对应理财产品的预期收益和风险入手，运用效用理论，提出了一种全新的可针对不同投资者特点的产品价格设计方式，最后结合投资者风险偏好特点，推导出产品设计模型，通过对投资者偏好进行模拟，给出了适合其偏好的产品结构；第5章从风险偏好入手，结合赌博当量法推导了投资者效用函数，进一步对其进行标准化，构建出一种新的可以对产品进行量化分析的推荐方法，并选取代表性数据对所提出的推荐方法进行了实证分析。
[Abstract]:With the rapid development of our economy and the rapid increase of household savings, the demand for financial products in the financial market has greatly increased. At the same time, from the point of view of commercial banks, it is not only facing competition among the same industry. Facing the problem of decreasing deposit and loan interest margin in the capital market and facing the increasingly fierce competition environment, commercial banks gradually focus on the transition from traditional business to intermediate business. In order to meet the needs of the financial market, commercial banks develop a variety of financial products according to the characteristics of different investments. Structural financial products have been paid more and more attention because of their diversified structure. The development of structured financial products in China's commercial banks is relatively late, but its development is very fast, in a short period of several years. Structural financial products have the characteristics of fixed income securities and financial derivative contracts, with flexible diversity, compared with traditional financial products. Under the guarantee of lower risk conditions, can provide a higher return, so quickly favored by investors. This paper mainly aims at the stock linked structured financial products, studies its design structure, evaluates the products, and creatively puts forward the product price and structure design methods which accord with the characteristics of investors' own needs. The research contents include: chapter 1 describes the research background, the purpose and significance of the research, summarizes the research status quo of domestic and foreign literature in recent years; Chapter 2 introduces the basic concepts and related theories of stock linked structured products, and classifies the structural products which are being traded in the market of our country based on the characteristics of risk and return. Chapter 3 summarizes the basic framework of structural financial management product design based on stock hooks, and selects representative products for empirical analysis based on the characteristics of product income as the dividing standard. The results show that the design of structured financial products of stock hooks in China is mostly of low risk type. On this basis, the problems existing in the design of structured financial products of stock hooks in China are analyzed. Chapter 4 starts with the expected income and risk of investors' income, savings and corresponding financial products, and puts forward a new design method of product price according to the characteristics of different investors by using utility theory. Finally, according to the characteristics of investor's risk preference, the product design model is deduced, and the product structure suitable for investor's preference is given by simulating investor's preference. Chapter 5 starts with the risk preference and deduces the investor utility function combining with the gambling equivalent method and further standardizes it and constructs a new recommendation method for quantitative analysis of the product. And selected representative data to the proposed recommendations for empirical analysis.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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