基于互联网金融模式的结构性理财产品风险度量研究进展  

Risk Measurement on Structured Financial Products and Its Application Based on Internet Financial Model

作　　者：陈荣达 周寒娴[1] 余乐安 金骋路[1] CHEN Rong-da;ZHOU Han-xian;Yu Le-an;Jin Cheng-lu(School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China;Coordinated Innovation Center of Wealth Management and Quantitative Investment,Zhejiang University of Finance and Economics,Hangzhou 310018,China;Financial Innovation and Inclusive Finance Research Center,zhejiang university of finance and economics,Hangzhou 310018,China;School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China)

机构地区：[1]浙江财经大学金融学院,浙江杭州310018 [2]浙江财经大学财富管理与量化投资协同创新中心,浙江杭州310018 [3]浙江财经大学金融创新与普惠金融研究中心,浙江杭州310018 [4]北京化工大学经济管理学院,北京100029

出　　处：《中国管理科学》2020年第11期23-34,共12页Chinese Journal of Management Science

基　　金：国家自然科学基金资助重点项目(71631005);国家自然科学基金资助项目(71471161)。

摘　　要：针对由期权和固定收益类产品组合而成的结构性理财产品,本文基于互联网金融模式对结构性理财产品进行风险度量理论、方法及应用研究进行了分析和述评,并对基于互联网金融环境下用不同分布类型来刻画风险因子相依关系的线性和非线性资产组合的风险集成度量模型进行了归类总结。最后,提出了基于互联网金融模式的结构性理财产品风险度量研究展望。With the rapid development of Internet Finance and the deepening of financial marketization,the structured bank financial products,which are composed of fixed income products and financial derivatives,have developed rapidly and become an indispensable pillar in global financial markets.However,the associated risks are also increasingly prominent.Considering structured financial products are financial products that use financial engineering technology to combine fixed income products such as deposits,zero interest bonds and options,in addition to market risk and credit risk,the large liquidity risk is a new feature of structured financial products based on Internet platform.Due to the rapid convergence and dispersion of Internet platform financing,the volatility of fund pool of structured financial products based on Internet platform is very large,which makes liquidity risk the most important difference between Internet financial products and other financial products.Therefore,considering the market risk,credit risk and liquidity risk of structured financial products simultaneously,establishing a non-linear risk model of option portfolio of structured financial products based on Internet financial model,using rare event simulation and intelligent control technology to transform uncertain factors into objective probability values and making the hidden risk explicit and easy to manage and control,are all the necessary works to be developed in academia and industry.Aiming at that structured financial products for the portfolio of options and fixed income products,it is discussed and reviewed that research on risk measurement theory,method and application for structured financial products based on internet financial models,and summarized integrated risk measuring models for the portfolio consists of linear and nonlinear assets under the internet financial environment when dependences among different risk factors are depicted by different distributing types.Lastly,the prospects of research on measured the risk of struc

关 键 词：结构性理财产品 互联网金融模式 风险集成度量 稀有事件模拟技术 跳扩散过程 

分 类 号：F830.5[经济管理—金融学]