基于CPPI策略的保本型结构化产品设计

发布时间：2018-04-14 13:05

本文选题：结构化产品 + CPPI策略　；参考：《江西财经大学》2017年硕士论文

【摘要】：结构化产品是一种新型的金融工具,它是运用金融工程技术,将多种标的资产进行结合而成,标的资产可以是权益类、固定收益类、信用类证券等,比较常见的结构化产品有债券与股票指数的组合或者是债券和汇率的组合方式。结构化产品在我国起步较晚,外资银行最开始尝试以结构性存款的形式发行。随着银监会明确了结构化产品的监管原则和内容,结构化产品在我国经历了快速的发展。结构化产品以其灵活的收益特征吸引了众多的投资者,产品的发行规模和数量不断扩大,目前结构化产品的国内市场规模已经超过了百亿元。本文使用了CPPI策略实现产品的保本。在保本策略应用上,有静态保本策略和动态保本策略两个大类,本文使用的固定比例投资组合保险策略(CPPI)属于动态保本策略的一种。CPPI策略的思路是,将本金定量地配置在无风险资产和风险资产上面。并且在投资期限内,根据当前的市场行情以及投资组合总价值的变化幅度,连续地调整风险资产和无风险资产的头寸,利用无风险资产中产生的现金流对冲风险资产上可能发生的亏损,锁定了风险资产价格下跌时候的风险,以此实现保险的目的。同时,如果风险资产价格上涨,会带动了投资组合总价值的上涨,则投资组合能获得更大的安全垫份额,这时会卖出一部分无风险资产,将这部分额度买入风险资产,提高风险资产的寸头,更多地分享风险资产价格上涨带来的收益。可以看出,CPPI策略是一种优秀保本策略,它在保障投资者本金的同时,让投资者能够最大程度地分享风险资产价格上涨带来的收益。本文首先介绍了选题的背景和意义,梳理了国内外在保本策略上已有的研究成果,同时简略地介绍了结构化产品在国内的发展情况,并从不同的角度对结构化产品进行分类。其后阐述了产品的设计原理、保本策略的运用步骤、产品标的资产的选择,以及探讨了CPPI策略中重要参数的设计。在产品设计方案的基础上,利用历史数据对产品收益率进行了实证检验,得出了产品历年均能实现保本的结果,CPPI策略的运用是有效的。同时利用了蒙特卡洛模拟法对影响产品绩效的三个因素进行了分析。最后,对全文进行了总结并给出相关的建议。
[Abstract]:Structured product is a new type of financial instrument. It is a combination of various underlying assets by using financial engineering technology. The underlying assets can be equity, fixed income, credit securities, etc.The more common structured products are bond and stock index combination or bond and exchange rate combination.Structured products started late in China, and foreign banks began to issue structured deposits.With the clarification of the regulatory principles and contents of structured products, structured products have experienced rapid development in China.Structured products attract a lot of investors because of their flexible income characteristics. The distribution scale and quantity of structured products continue to expand. At present, the domestic market scale of structured products has exceeded 10 billion yuan.In this paper, the CPPI strategy is used to realize the product capital preservation.In the application of capital preservation strategy, there are static capital preservation strategy and dynamic capital preservation strategy. The fixed proportion portfolio insurance strategy (CPPI) is a kind of dynamic capital preservation strategy.Quantify the principal allocation to risk-free assets and risk-free assets.And within the investment period, according to the current market situation and the range of changes in the total value of the portfolio, continuously adjust the positions of risky assets and risk-free assets.Taking advantage of the cash flow generated in risk-free assets to hedge against possible losses on risky assets, we can lock in the risk when the price of risky assets falls, so as to achieve the purpose of insurance.At the same time, if the price of risky assets goes up, it will drive up the total value of the portfolio, and the portfolio will get a bigger share of the safety cushion, and it will sell some of the riskless assets and buy the risk assets.Improve the risk asset market and share more of the gains from rising risk asset prices.It can be seen that CPPI strategy is an excellent capital preservation strategy, it can protect the principal of investors, while allowing investors to maximize the share of risk asset price gains.This paper first introduces the background and significance of the topic, combs the existing research results in capital preservation strategy at home and abroad, at the same time briefly introduces the development of structured products in China, and classifies structured products from different angles.Then the design principle of the product, the application steps of the capital preservation strategy, the selection of the underlying assets of the product, and the design of the important parameters in the CPPI strategy are discussed.On the basis of the product design scheme, the paper makes an empirical test on the product yield by using the historical data, and draws the conclusion that the CPPI strategy is effective.At the same time, the Monte Carlo simulation method is used to analyze the three factors that affect the product performance.Finally, the paper summarizes the full text and gives some relevant suggestions.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.5

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