东方证券金鳍系列收益凭证的定价分析

发布时间：2018-04-12 13:31

本文选题：收益凭证 + B-S模型　；参考：《深圳大学》2017年硕士论文

【摘要】：证券公司收益凭证自2014年试点发行以来,经历了快速的发展。作为证券公司创新产品,收益凭证被认为在拓宽券商融资渠道和促进证券公司业务转型方面起到了重要的作用;作为一种投资理财产品,也越来越受到投资者的关注。同样是结构化的金融产品,目前国内文献研究多集中于商业银行发行的理财产品,对证券公司发行的收益凭证进行的研究还为之甚少。论文选取发行数量和发行规模都比较大的东方证券金鳍系列的收益凭证作为研究案例,通过对其已经发行的产品进行了统计分析,总结出该系列产品的特征:期限一般较短;到期收益率由一个固定收益率和一个浮动收益率构成,浮动收益率由该产品内嵌的期权决定,该期权主要是一些奇异期权或者一种期权交易策略,常见的如二元期权和价差期权交易策略;该系列产品总是同时发行两期产品,它们的浮动收益率分别取决于同一挂钩标的看涨看跌两个方向。论文的重点在于依据固定收益证券定价理论和B-S期权定价理论,给出了金鳍系列不同收益率结构收益凭证的定价模型,并根据模型测算了四类具有代表性产品的理论价格,发现理论价格均高于其实际发行价格,即存在折价发行的现象,折价率在0.9%至2.8%,这与商业银行结构化理财溢价发行的现象正好相反。论文还进一步讨论了波动率和无风险利率的不同选择是对该类产品价格产生影响的主要因素。论文认为同业竞争是证券公司让利于投资者折价发行收益凭证的主要动因,并分别从证券公司的角度和监管层的角度给出思考和建议以促进收益凭证产品市场合理发展。另外,论文对东方证券金鳍系列产品的定价分析对投资者来说也具有一定的参考价值,帮助投资者对该创新产品有一个较全面的认识。目前来看,证券公司收益凭证虽是折价发行,但投资者还是需要根据自身情况选择合适的投资品种,并要了解其中蕴含的风险。
[Abstract]:The securities company income certificate since 2014 the pilot issue, has experienced rapid development. As the securities company's innovative products, income certificate is believed to broaden the financing channels and promote the securities brokerage business transformation has played an important role; as an investment financial products, more and more attention by investors. The same is structured financial products, currently domestic research literature focused more on commercial banks to issue financial products, research on the income certificate issued by securities companies is still very little. This paper selects the number of issued and the issue size are relatively large gold fin series of Orient Securities income certificate as a case study, statistical analysis was carried out by the has issued products, summed up the features of the product: generally short term; yield to maturity by a fixed rate of return and a floating rate of return form The floating rate of return, the product is decided by the embedded option, the option is mainly some exotic options or a common option trading strategy, such as two yuan option and spread option trading strategy; this series of products are also released two products, they are floating rate of return depends on the same underlying bullish bearish two direction. The emphasis of this paper is based on the fixed income securities pricing theory and option pricing theory of B-S, gives a different pricing model yields structure gains certificate gold fin series, and according to the model estimates of the theoretical price of four kinds of representative products, prices are higher than the actual theory found the issue price, there is a discount phenomenon in 0.9%, the discount rate to 2.8%, the issuance of structured financial and Commercial Bank premium phenomenon is just the opposite. The paper further discussed the volatility and risk-free interest rate is not The same choice is the main factor influencing the price of these products. The competition is to allow securities companies main reason investors discount issue receipts vouchers, and separately from the securities company's point of view and regulators forward thoughts and suggestions to promote the rational development of product market revenue certificates. In addition, the paper also has a certain the reference value for investors to Orient Securities gold fin series products pricing analysis, help investors have a more comprehensive understanding of the innovation products. At present, the securities company income certificate is issued at a discount, but investors still need to choose the right investments according to their own situation, and to understand the risks involved.

【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】