【作者】 李晶；

【导师】 张虹敏；

【作者基本信息】 哈尔滨商业大学 ， 金融， 2022， 硕士

【摘要】 2018年我国颁布法规打破了在我国金融市场占据很大地位的保本型理财产品的垄断,而且随着金融市场改革市场利率化的加深,使得普通投资者对于银行存款等收益较低的理财产品已经不感兴趣,转而向收益更高的理财产品方面投资,此时发行方尤其是商业银行应该抓住机会,向投资者感兴趣的理财产品靠拢,设计出适合各类投资者的理财产品,同时也要适应市场打破刚性兑付的环境。因此,为了投资者和发行方的共同需要,本文在同类结构性理财产品的基础上,欲发行挂钩标的为中证消费50交易型开放式指数基金,并嵌入数字期权的一款非保本结构性理财产品。本文在设计理财产品前对产品的市场需求做了简单的分析,利用STP理论对客户群体做了定位,确定了主要目标投资者范围。然后,开始对本款产品进行设计,主要从固定收益部分和衍生品部分展开论述,固定收益部分通过现金流贴现的对六个月期的银行定期存款进行了定价分析,衍生品部分基于风险中性原理采用蒙特卡洛模拟,因为设置了提前终止条款导致最终得到的产品价格是折价发行的,其理论价值高于其实际价值,说明对产品的定价是比较合理的。接下来,收益部分对发行方和投资方均做了分析,另外提到了产品发行面临的风险及风险对冲方式等,而且对最终设计产品使用VaR模型的对总价值做了敏感性分析,并得到了此产品的风险等级比较适中,但不适合厌恶风险的投资者来投资。最后,总结了结构性理财产品设计中常见的问题,并针对其改革做了简要说明,还对此款产品的推广提出了的发展建议。更多还原

【Abstract】 In 2018,China promulgated regulations to break the monopoly of capitalprotected wealth management products that occupy a large position in China’s financial market,and with the deepening of the interest rate of the financial market reform market,ordinary investors are no longer interested in low-yield wealth management products such as bank deposits,and instead invest in wealth management products with higher returns,at this time,issuers,especially commercial banks,should seize the opportunity to move closer to the wealth management products that investors are interested in,and design wealth management products suitable for all kinds of investors.At the same time,it is also necessary to adapt to the environment in which the market breaks the rigid payment.Therefore,in order to meet the needs of investors and issuers,this article intends to issue a non-principal protected structured wealth management product with the underlying of CSI Consumption 50 exchange-traded open-ended index fund and digital options embedded in the same kind of structured wealth management products.This paper makes a simple analysis of the market demand of the product before designing the wealth management product,uses the STP theory to position the customer group,and determines the main target investor range.Then,the design of this product began,mainly from the fixed income part and the derivatives part of the discussion,the fixed income part of the six-month bank time deposit through cash flow discounting for the pricing analysis,the derivatives part based on the risk neutral principle using Monte Carlo simulation,because the early termination clause set resulting in the final product price is issued at a discount,its theoretical value is higher than its actual value,indicating that the pricing of the product is more reasonable.Next,the income section analyzes both issuers and investors,mentions the risks faced by product issuance and risk hedging methods,and analyzes the sensitivity of the total value of the VaR model used in the final design product,and obtains that the risk level of this product is relatively moderate,but it is not suitable for risk-averse investors to invest.Finally,the common problems in the design of structured wealth management products are summarized,and a brief explanation is made for their reform,and the development suggestions for the promotion of this product are also proposed.更多还原