结构性衍生产品的定价和风险管理技术  被引量:1

The Pricing and Risk Management of Structured Products

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作  者:胡新华[1] 

机构地区:[1]北京大学博士后流动站

出  处:《金融论坛》2008年第9期56-59,共4页Finance Forum

摘  要:准确可靠的定价能力不仅是银行增加资金业务收益、提高风险管理水平的重要前提,而且也是增强银行核心竞争力的技术保障。结构性衍生产品的定价过程通常由三部分构成:一是准确理解和描述产品的结构,二是选择适当的定价模型、市场数据和校准方法,三是选择最优的数值算法,定价过程最终都借助计算机程序来实现。定价的本质就是准确度量风险的价值,实现风险的对冲。最好的风险管理技术应该采用动态 Delta、Vega、Gamma 对冲。中国银行业在结构性衍生产品交易领域起步较晚,先引进外部定价软件,在此基础上逐步自主开发是实现定价能力和风险管理的现实选择。The reliable pricing ability will help banks to increase treasury operations income, improve risk management and enhance its core competence. The process of pricing for structured products is composed of three parts: (1) product structure descriptions; (2) selection of pricing model, market data and calibration method; (3) selection of optimal calculation approach. The whole process relies on computer programs to be completed. The essence of pricing for derivatives is to accurately measure the value of risks and to hedge them accordingly. The best choices for risk management include Delta,Vega and Gamma hedging. Given a late start of derivative products in China, the realistic choice for Chinese banking is to introduce foreign pricing software first and gradually develop ourselves pricing system independently.

关 键 词:结构性衍生产品 定价 风险管理 动态对冲 

分 类 号:F832.5[经济管理—金融学]

 

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