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1、学校代码：10272 学 号：2011212274上海财经大学SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS工商管理硕士学位论文MBA DISSERTATION论文题目：我国银行股票挂钩型理财产品收益和风险探究培养院(系、所)：商学院学位论文类型：工商管理硕士专业学位论文论文作者姓名：杨钦指导教师：韩其恒教授上海财经大学二零一三年九月十二日学位论文原创性声明本人郑重声明：所呈交的学位论文，是本人在导师的指导下，独立进行研究工作所取得的成果。除文中已经注明引用的内容外，本论文不含任何其他个人或集体已经发表或撰写过的作品成果。对本人的研究做出重要贡献的个人
2、和集体，均已在文中以明确方式标明。本人完全意识到本声明的法律结果由本人承担。学位论文作者签名： 日期： 年 月 日学位论文版权使用授权书本人完全了解上海财经大学关于收集、保存、使用学位论文的规定，即：按照有关要求提交学位论文的印刷本和电子版本；上海财经大学图书馆有权保存学位论文的印刷本和电子版，并提供目录检索与阅览服务；可以采用影印、缩印、数字化或其它复制手段保存论文；在不以赢利为目的的前提下，可以公布论文的部分或全部内容。（保密论文在解密后遵守此规定）论文作者签名：导师签名：日期： 年 月 日日期： 年 月 日摘 要结构性理财产品发展的历史并不长，它在国际理财产品市场上已经有了比较重要的地位
3、。我国的结构性理财产品发展较晚，但是由于广大的市场，其发展速度很快，发展潜力巨大。结构性理财产品在理论设计上具有“高收益、高风险”的特点，因此很多中外资银行发行了很多结构性理财产品。然而，最近我国银行的结构性理财产品也出现了亏损的现象，使老百姓遭到了一定损失。股票挂钩型的理财产品是所有结构性理财产品中的一种，它挂钩标的是股票、基金、股价指数以及指数型基金，因为它一方面可以使老百姓拥有保本效益，另一方面又可以分享部分带来的高收益，而且它挂钩的股票市场又是最活跃的市场，所以这类产品一经问世便受到了人们的强烈追捧，发展迅猛。随着我国金融体制改革的不断深入，结构性理财产品市场不断扩大，产品创新层出不穷
4、。然而，我国缺乏对这些创新产品的具体结构、运作原理、风险与收益的计量进行深入研究的文献，仅对单一产品进行分析难免具有片面性和局限性，使银行和投资者都无法准确了解产品的真实收益和相对风险。20世纪中期，欧美各国家经济增长缓慢，固定收益类产品己不被广大老百姓所青睐，机构投资者开始大规模进入市场以寻找风险产品，传统商业银行和投资银行的盈利模式受到了很大的挑战，要求他们进行金融创新。到八十年代末，美国经济走出低迷，股市开启新一轮的冲高，股票挂钩型理财产品正是在这样的背景下产生的。所以，针对结构性理财产品的结构设计、收益与风险等问题进行研究具有重要意义。本文分为六个部分。第一章是绪论，主要包括一些选题研
5、究背景和意义、国内外的一些研究的概况，为下文做好铺垫。第二章是结构性理财产品理论概述，从结构性理财产品的涵义、特征、分类以及国内外的发展历程上分别进行阐述，为下文的论述打下理论基础。第三章讲述的是我国股票挂钩型产品的发展现状和一些基本特征。首先，分析了一下股票挂钩型产品的产生和发展现状，然后分析了股票挂钩型理财产品的结构、分类以及要素等特征。第四章是VaR方法在股票挂钩型产品的收益及风险分析中的具体应用。这部分首先介绍下如何用VaR值来度量股票挂钩型理财产品的收益和风险，然后选取了几款产品进行实证分析。第五章是我国结构性理财产品的收益与风险对比分析及对策建议，也是本文的主体与关键部分，在上述收
6、益和风险分析的基础上，进行对比分析，得出收益与风险非对称的结论，在此基础上再对不同类别的结构性理财产品和不同银行的结构性理财产品的收益与风险进行比较，最后从产品创新提升产品收益能力、风险管理规避产品潜在风险、深化投资者的收益与风险教育、应借鉴外资银行的先进经验提出相应的对策建议，这对当前我国结构性理财产品市场的发展至关重要。最后一章强调结论，总结全文。关键词：结构性理财产品；收益；风险AbstractStructured financial products, although the short history, but in the international financial mark
7、et has become mainstream products. Compared with developed countries, Chinas structural financial products started late, but rapid development, has great potential for development. Characteristics of structured financial products with high yield, high risk in the theory of design, attracted many for
8、eign banks issuing structured financial products. However, in recent years our country market structural financial products appeared zero income, negative returns phenomenon, so that investors suffered huge losses, bank credit is also being questioned. Equity linked financial product is a kind of st
9、ructured financial products, which linked to the subject of the stock, stock portfolio, stock index and index funds, because of the hand so that investors can enjoy the benefits of fixed income security, on the other hand, they can share the high profit products derived from, and the hook the stock
10、market is the most active financial market, so this kind of product will be one by the advent of attention, has been the rapid development. As Chinas financial system reform unceasingly thorough, structured products market expansion, product innovation emerge in an endless stream. However, the lack
11、of in-depth study of the literature on the measurement of concrete structure, operation principle, the risks and benefits of these innovative products, analyzes it has one sidedness and limitations of single product only, so that banks and investors are unable to accurately understand the products r
12、eal income and relative risk. The early nineteen seventies to 80 years, the major western industrial countries into stagflation situation, the economic downturn, fixed income products in real interest rates low, has not favored by the vast number of investors, investment main body in the market has
13、undergone great changes, institutional investors began to risk seeking admission products, commercial banks and investment banks profit model has been a great challenge, the objective requirements of their financial innovation, innovation of financial derivatives emerge as the times require. Until t
14、he mid 80s, the United States economy is out of the stagflation, the stock market opened a new round of the bull market, the equity linked structured financial products is produced under such background. Therefore, according to the structure design, structured financial products income and risk, it
15、is important to study the.This paper is divided into six parts. The first chapter is the introduction, including the research status of the research background and significance of the topic, domestic, pave the way for the following. The second chapter is the summary of the theory of structured financial products, from the development process of structured financial products, meaning, characteristics, classification and abroad are described, lay the theoretical foundation for the discussion below. The third chapter is the current situation of the development of the
