结构化产品的定价及风险分析——以挂钩股票指数的保本产品为例  

The Pricing and Risk Analysis of Structured Product——A Case Study of Stock Index-linked Capital Protected Product

作　　者：孙桂平[1,2] 

机构地区：[1]国泰君安博士后工作站,上海200120 [2]复旦大学,上海200433

出　　处：《技术经济与管理研究》2015年第10期67-72,共6页Journal of Technical Economics & Management

基　　金：上海市博士后科研资助计划项目(14R21421400)

摘　　要：以嵌入非标准化期权的国信证券"金鲨2号"挂钩沪深300指数的结构化产品为例,建立定价模型,对产品进行定价,对产品发行时收益的敏感性和发行后风险因素进行了详细的分析。结果显示,固定收益率是此类保本产品设计时需要重点考察的参数,产品发行时产品收益对无风险利率和指数波动率较为敏感,需要对利率市场和股票市场的波动性有所把握。发行后的产品价值受到多种因素影响波动很大,需要根据不同的风险类型在不同的时点上进行避险操作。对投资人来说,不应该因为保本高收益的诱惑而盲目投资挂钩股市的结构化产品,而应分析各种产品的预期收益结构,把握合适时机进行投资。Using the example of ＂gold shark 2＂ stock index-linked structured product with an embedded nonstandard options issued by Guoxin Securities, according to the contents of product, the pricing model is established, sensitivity analysis are discussed during the product issue, risk factors that issuer faces are analyzed in detail after the product issue. The results show that fixed-income rate is a key parameter in designing capital protected products, the issue profit is sensitive to risk-free interest rate and stock market volatility and issuers should grasp the stock market volatility and rates market. The product value is greatly affected by risk factors and different risk hedge should be adopted at various points in time. Investors should not invest blindly in the index-linked structured products which have the feature of capital-protected and high-yielding, they should make a careful analysis of the yield structure of the product and invest at the right time.

关 键 词：股票指数 结构化产品 风险分析 产品收益 

分 类 号：F832.51[经济管理—金融学]