外汇结构性存款的定价  

Pricing Foreign Exchange Structured Deposits

作　　者：康朝锋[1] 郑振龙[2] 

机构地区：[1]厦门大学金融系 [2]厦门大学证券研究中心

出　　处：《国际金融研究》2005年第5期45-49,共5页Studies of International Finance

摘　　要：与利率关联的外汇结构性存款是可赎回债券。我们可以用可赎回债券的定价方法来给外汇结构性存款定价。本文使用BD T模型对2004年初发行的外汇结构性存款进行定价,结果表明这些存款的价值都高于存款本金。由于我们使用的贴现率是美国国债收益率,这说明外汇结构性存款是有风险的。而国内存款人在向国有商业银行购买结构性存款时将其当作无风险的,因为有国家信用作为担保。因此,实际上商业银行承担了结构性风险,并最终会将其转嫁到政府身上。其根源在于风险和收益的不对称导致商业银行出现的道德风险,因此监管当局应对结构性存款制定风险控制措施。Interest rate linked foreign exchan ge structured deposits are equivale nt to callable bonds.We can use the pr icing technique of callable bond to price f oreign exchange structured deposit s.This paper uses BDT model to price t he foreign exchange structured deposits issued in the beginning of 2004.The results show that they are all issued in discount.We u se the yield of U.S.treasury bond as the discount ra te.So it seems the foreign exchange s tructured deposit is actually a risk y asset.But when people buy foreign exchange structu red deposits from state -owned banks,they think they are riskless.The risk will at last be-transfered to the government,so som e regular should be made to control th e risk of foreign exchange structure d deposits.

关 键 词：外汇结构性存款 可赎回债券 国有商业银行 2004年 国债收益率 结构性风险 存款定价 定价方法 国家信用 道德风险 控制措施 贴现率 存款人 不对称 使用 利率 本金 购买 国内 担保 转嫁 制定 应对 监管 

分 类 号：F832.63[经济管理—金融学] F830.91