【作者】 李蓉；

【导师】 何红霞； 肖非；

【作者基本信息】 西北师范大学 ， 金融专硕（专业学位）， 2019， 硕士

【摘要】 伴随资管新规的落地,银行理财业务面临重大挑战,急需重塑,在打破刚兑等举措的影响下,保本理财已经不再适应当前形势并逐渐退出历史舞台,而结构性存款增长动力十足,已然成为投资者新的选择,结构性存款占据了商业银行业务的很大比例,使银行盈利保持在稳定水平,具有很大的发展前景和空间。在这种背景下,为了满足投资者的需求以及市场发展的需要,本文借鉴已有的结构性存款,扩充市场标的物,以中国低碳指数为标的,利用几何平均亚式期权设计了一款保障投资者本金安全的3个月期的挂钩中国低碳指数的短期结构性存款。本文设计的结构性存款由两部分构成,包括固定收益部分和中国低碳指数几何平均亚式期权部分。首先,在选择标的物时充分考虑了当前绿色金融发展的前景,绿色指数发展潜力巨大,绿色指数中具有代表性的中国低碳指数起步早,市场表现良好,发展较为完善、稳固,是中国绿色产业发展的指针,具有很大的投资空间,因此选择中国低碳指数作为标的具有一定的投资价值。由于近年来的中国低碳指数波动幅度明显,波动率较大,而亚式期权到期收益强烈依赖于标的资产存续期内价格的平均值,能够部分抵消波动率带来的影响,且能够有效防范人为操纵标的资产价格的风险,在一定程度上可以降低和分散风险,使用亚式期权进行产品设计具有很大优势。其次,本文设计的结构性存款的目标客户是风险承受能力低的稳健型客户,产品是完全保本的,产品将大部分资金投资于货币市场的银行大额存单以保证本金安全,将少数资金投资于中国低碳指数几何平均亚式期权以获得较高收益,以满足投资需求。在对产品定价时,对固定收益部分的定价采用现金流贴现法,期权部分的定价利用蒙特卡洛模拟法,最终得出产品的总价值。最后,在分析产品的收益及其影响因素和特点等基础上,制定合适的营销推广策略以保证产品顺利发行。更多还原

【Abstract】 With the new regulations on asset management,the bank’s wealth management business is facing major challenges and needs to be reshaped.Under the influence of the measures such as breaking the redemption,the capital preservation has no longer adapted to the current situation and gradually withdrew from the historical stage,while the structured deposit growth momentum is full,it has become a new choice for investors.Structured deposits account for a large proportion of commercial banking business,which keeps bank profit at a stable level and has great development prospects and space.In this context,in order to meet the needs of investors and the needs of market development,this paper draws on the existing structural deposits,expands the market target,and uses the Chinese low-carbon index as the target to design a geometric average Asian option.A three-month short-term structured deposit linked to China’s low carbon index to protect the investor’s principal security.The structured deposits designed in this paper consist of two parts,including the fixed income part and the China Low Carbon Index geometric average Asian option part.First of all,in the selection of the subject matter,the current prospects of green finance development are fully considered.The green index has great potential for development.The representative China’s low carbon index in the green index started early,the market performed well,and the development was relatively complete and stable.The indicator of industrial development has a large investment space.Therefore,choosing China’s low carbon index as the target has certain investment value.Due to the obvious fluctuations of China’s low carbon index in recent years,the volatility is large,and the Asian option expiration income is strongly dependent on the average price of the underlying asset during the lifetime,which can partially offset the impact of the volatility and can be effective.Preventing the risk of man-made manipulation of the underlying asset price can reduce and diversify the risk to a certain extent.The use of Asian options for product design has great advantages.Secondly,the target customers of structured deposits designed in this paper are stable customers with low risk tolerance.The products are fully guaranteed.The products will invest most of the funds in the large deposit receipts of the money market to ensure the security of the principal.Invest in China’s low carbon index geometric average Asian options to obtain higher returns to meet investment needs.When pricing a product,the fixed-income portion is priced using a discounted cash flow method,and the pricing of the option portion is determined using the Monte Carlo simulation method to ultimately derive the total value of the product.Finally,on the basis of analyzing the product’s revenue and its influencing factors and characteristics,develop appropriate marketing and promotion strategies to ensure the smooth issuance of products.更多还原