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论文编号：	7132
作者编号：	2120122635
上传时间：	2014/12/18 11:00:36
中文题目：	工商银行结构性理财产品的定价研究
英文题目：	Research on the pricing of structured products, Industrial and Commercial Bank of China
指导老师：	李莉
中文关键字：	结构性理财产品；定价；蒙特卡洛模拟；工商银行
英文关键字：	Structured finance product;pricing;Monte carlo simulation；ICBC
中文摘要：	摘要自2004年起，我国商业银行结构性理财产品发展至今取得了较大的发展。不但满足了投资者风险偏好的多样性和对投资回报的追求，也增加了银行的存款及中间业务收益。但是也存在着各种各样的问题，本文就商业银行结构性理财产品定价的问题进行研究与探讨。本文从商业银行结构性理财产品的定价这一论题切入，以我国最大的商业银行----中国工商银行发行的一款理财产品为例，探讨了其定价的过程和计算方法及如何建立一个更加完善的商业银行定价方法，使得我国的商业银行能够加快国际化的进程，设计销售更加科学、合理的结构性理财产品，在社会主义市场经济中起到更大的作用。应该说本文从选题到立意都具有现实性和指导意义。本文具体对结构性理财产品、中国工商银行进行了详细的介绍，对其理财产品的传统的定价方法的弊端进行了阐述和分析，介绍了蒙特卡洛模型的定价方式的优点，并以此方法得出了合理的改善建议。首先本文的第一章和第二章对研究背景、研究意义和研究方法、相关理论等做了简单的阐述。着重介绍了传统的结构性理财产品的定价方法和布莱克—斯科尔斯期权定价法、蒙特卡洛模型模拟定价法。然后本文的第三章和第四章重点介绍了中国工商银行的基本情况及对其结构性理财产品传统定价方式的优化。指出传统定价方式的问题和进行优化的必要性，提出蒙特卡洛模型模拟定价法这一优化方案，并对其进行了详细的介绍。本文最后的第五章和第六章着重对中国工商银行发行的A产品进行了介绍，并对其使用了蒙特卡洛模型模拟的定价法进行定价和分析，得到了相关的结论，并对此指出了不足之处和进行了展望，希望我国所有的商业银行能够认真分析和优化定价方法，为我国经济建设发挥更大作用。本文对我国结构型理财产品定价和风险管理的渠道进行探索，对我国商业银行结构型理财产品目前所存问题深入分析，尝试提出如何完善银行的结构型理财产品设计中定价和管理体系的有关方案，对结构型理财产品的管控能力和促进理财产品市场健康、有序、稳定的发展具有重大意义。
英文摘要：	Abstract Since 2004 the structure type of our country commercial bank financial products have been developed so far, not only to meet the diversity of investors' risk preferences and the pursuit of investment returns, and also increase the bank deposits and intermediate business income. However, the circulation of this scale is hidden behind the huge risk. Because of the financial derivative assets part structure type financial products to invest in higher risk tools, so compared with other financial products, the risks they are more, more complex structure. In this paper, from the point of Commercial Bank of structured financial products pricing this proposition, with China's largest commercial banks -- the industrial and Commercial Bank of China issued a financial products as an example, discusses the process and method of calculating its pricing, and how to establish a more perfect commercial bank pricing method, makes our country's commercial bank to to speed up the internationalization process, design and sales of more scientific, reasonable structured financial products, to play a bigger role in socialist market economy. It should be said from the content to conception has the practical and guiding significance. This paper introduces specific to structured financial products, industrial and Commercial Bank of China in detail, the disadvantage of the traditional method of pricing the financial products are analyzed, this paper introduces advantages of Monte Carlo model of pricing method, and this method obtained the reasonable suggestion to improve. First of all, the first chapter and the second chapter briefly introduces the research background, research significance and research method, theory. Emphatically introduces the traditional structured financial products pricing method and the Black Scholes option pricing method, Monte Carlo simulation method for pricing model. On the pricing method of structured financial products were reviewed, and the advantages and disadvantages of the introduction, mainly introduces the Monte Carlo simulation after the pricing method. Then the third chapter and the fourth chapter focuses on the optimization of the basic situation of industrial and Commercial Bank of China and the traditional the structured financial products pricing method. It is pointed out that the traditional pricing method problem and the necessity of optimization, Monte Carlo simulation model proposed pricing this optimization scheme, and carries on the detailed introduction and analysis. In the fifth chapter and the sixth chapter last part of the paper issued by industrial and Commercial Bank of China, a A product were introduced, and the use of the pricing method of Monte Carlo simulation model for pricing and analysis, obtained the relevant conclusions, and has pointed out the shortcomings and makes a prospect, hope that the industrial and Commercial Bank of China and China all commercial banks to carefully analyze and optimize the pricing method, to play a greater role in the socialist economic construction of our country. The purpose of this paper is to explore the structure of our country financial product pricing and risk management of channels, through an in-depth analysis of the our country commercial bank structure type financial products currently existing problems, try to put forward how to perfect the scheme about pricing and management system of structured finance product design in the bank, to strengthen the structure of the type of financial products the launch of the bank on which the control ability, also prompted regulators in this aspect to strengthen supervision, has great significance to study the maintenance and promotion of commercial bank financial products market healthy, orderly and stable development etc.
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