结构性理财产品的设计——以金泰分级理财产品为例-design of structured financial products - taking jintai graded financial products as an example.docxVIP

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结构性理财产品的设计——以金泰分级理财产品为例-design of structured financial products - taking jintai graded financial products as an example.docx

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结构性理财产品的设计——以金泰分级理财产品为例-design of structured financial products - taking jintai graded financial products as an example

THEDESIGNOFSTRUCTUREDFINANCIALPRODUCTANEXAMPLEWITHJINTAIPRODUCTABSTRACTThedevelopmentofbankingfinancialproductscannotonlymeetthegrowingdiversifiedwealthmanagementneedsforthemajorityofinvestors,butalsogeneratesubstantialrevenueofintermediarybusinessforthecommercialbanks.Additionally,itprovidesagoodopportunitytochangethepatternofover-relianceonthedeposit-loanspreadsinChinasbankingindustry.However,fromthepointtoviewthemarketaswhole,foreign-fundedfinancialinstitutionsstillholdthekeytechniquesofdesignforstructuredfinancialproducts.Theycompletemostofkeyworklikedesignformanycomplexstructuredproductsinourmarket,andgetabundantprofitsfromtheproductissuingprocessaccordingly.Asforourlocalcommercialbanks,ononehand,theyworkaslocaldistributionchannelsforproductsissuedbyforeigninstitutionsandgetrelativelysmallprofits,ontheotherhand,theyimitateanumberofproductsissuedbyforeigninstitutions,butfailtogetwidelyacceptationbythemarket.Therefore,Chinascommercialbanksshoulddeveloptheirwealthmanagementbusinessbasedonourdomesticfinancialmarketsandfollowthepathofself-designedforstructuredfinancialproductsinordertocopewithfuturechallengescomingfromafullopening-uperainfinanceindustry.Inthispaper,afterwegetin-depthknowledgeinChinasfinancialmarkets,wedesignJinTaiProductbyreferencingFundTongQingsproductstructureinordertoexploreinvestmentopportunitiesfromthediscountoftraditionalclosed-endfunds.Then,wereplicatethepayoffofseniorandsubordinatetranchesinJinTaiProductbyportfolioreplicationwithoptions.WesolvetheimpliedvolatilityofFundTongQingfromtheircurrentmarketprices,andthenpriceseniorandsubordinatetranchesinJinTaiProductanalyticallywiththeimpliedvolatilityfromTongQing.Finally,weconductacomprehensiveassessmentofrisk-rewardcharacteristicsthroughthebreak-evenanalysis,productmarketriskdecompositionaswellashistoricaldatasimulation.KEYWORDS:structuredfinancialproduct,closed-endfund,discount,portfolioreplicationwithoptions,impliedvolatility，break-evenpoint上海交通大学学位论文版权使用授权书本学位论文作者完全了解学校有关保留、使用学位论文的规定，同意学校保留并向国