我国商业银行信贷类理财产品信用风险研究

发布时间：2018-05-04 12:29

本文选题：信贷类理财产品 + 信用风险　；参考：《福州大学》2014年硕士论文

【摘要】：随着信贷类理财产品的推出,其运作模式为银行、信托以及需要资金的企业提供了便利。银行通过与信托公司合作发行理财产品,将募集的理财资金投向需要资金的企业。信贷类理财产品一经推出,很快抢占了理财产品市场。但是,该类理财产品潜藏的信用风险却往往被投资者所忽视,投资者错误地将银行信用等同于产品信用,实际上,银行并不承担产品的兜底责任。一旦融资企业发生违约,投资者将遭受损失。因此,研究信贷类理财产品的信用风险具有现实意义,融资企业信用风险的大小直接影响着信贷类理财产品实际的收益率水平。本文采用向下敲出看涨障碍期权(DOC)模型的框架,结合变数据极大似然估计和Nelder-Mead的单纯形算法,估计融资企业的违约概率,从而反映融资企业的信用风险大小。接着,建立融资企业违约概率和信贷类理财产品期望收益率的关系。通过数学期望的定义推导了理财产品期望收益率的测算公式,旨在和产品说明书上的预期收益率进行比较。最后,从风险分散和风险对冲两个角度,提出信贷类理财产品的风险控制策略。本文创新性地引入向下敲出看涨障碍期权模型研究信贷类理财产品的信用风险问题,并且尝试从微观层面阐述风险控制策略,更具实用性和针对性。本文首先选取60家沪深上市公司作为研究样本,并将样本分为ST公司和非ST公司两类,研究DOC模型的适用性。实证结果表明,DOC模型能够较好的区分两类公司的信用风险差异。接着,本文运用ROC检验方法对DOC模型和KMV模型进行比较,检验结果表明,DOC模型对于信用风险的鉴别能力要强于KMV模型。再者,选取20款中国建设银行“利得盈”、“建行财富·信托贷款类”两个系列下理财资金投向为单个上市公司的信贷类理财产品。利用DOC模型度量融资企业的信用风险大小,计算出融资企业的违约概率。最后,利用违约概率结果重新测算理财产品的收益率,结果表明重新测算的产品期望收益率要普遍低于产品说明书上揭示的预期收益率,信贷类理财产品的信用风险被明显低估,产品说明书上的产品收益率没有兑付保障。
[Abstract]:With the introduction of credit products, its operating mode provides convenience for banks, trusts and enterprises in need of capital. Banks distribute wealth management products in partnership with trust companies and invest the funds raised in enterprises in need of funds. Credit products once launched, quickly seized the market for financial products. However, the hidden credit risk of this kind of financial products is often ignored by investors. Investors mistakenly equate bank credit with product credit. In fact, banks do not bear the bottom responsibility of products. Once the financing company defaults, investors will suffer losses. Therefore, it is of practical significance to study the credit risk of credit financing products. The size of credit risk of financing enterprises directly affects the actual level of return rate of credit financing products. This paper uses the framework of down knock out call barrier option (DOC) model, combined with variable data maximum likelihood estimation and Nelder-Mead simplex algorithm to estimate the default probability of financing enterprises, thus reflecting the credit risk of financing enterprises. Then, the relationship between the default probability of financing enterprises and the expected rate of return of credit products is established. Through the definition of mathematical expectation, the paper deduces the formula for calculating the expected rate of return of financial products, aiming at comparing it with the expected rate of return on the product specification. Finally, from the two angles of risk dispersion and risk hedging, the risk control strategy of credit financial products is put forward. In this paper, the credit risk problem of credit financing products is studied by introducing down-knock call barrier option model, and the risk control strategy is expounded from the micro level, which is more practical and targeted. In this paper, 60 companies listed in Shanghai and Shenzhen are selected as the research samples, and the samples are divided into St company and non-St company. The applicability of DOC model is studied. The empirical results show that the DOC model can distinguish the credit risk differences between the two types of companies. Then, this paper compares the DOC model with the KMV model by using ROC test method. The results show that the DOC model is better than the KMV model in identifying credit risk. Furthermore, 20 types of China Construction Bank "profit surplus" and "China Construction Bank Wealth Trust and loan" are selected to invest in credit products for a single listed company under the two series of wealth management funds. The DOC model is used to measure the credit risk of the financing enterprises, and the default probability of the financing enterprises is calculated. Finally, the rate of return of wealth management products is recalculated with the result of default probability. The result shows that the expected rate of return of the recalculated product is generally lower than the expected rate of return as shown in the product description. The credit risk of credit products is obviously underestimated, and the product yield on the product specification is not guaranteed.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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