ISSN 1008-2204
CN 11-3979/C

多资产类结构性理财产品定价研究 ——以中国银行中银进取09001A为例

何亮

何亮. 多资产类结构性理财产品定价研究 ——以中国银行中银进取09001A为例[J]. 北京航空航天大学学报社会科学版, 2012, 25(4): 66-70.
引用本文: 何亮. 多资产类结构性理财产品定价研究 ——以中国银行中银进取09001A为例[J]. 北京航空航天大学学报社会科学版, 2012, 25(4): 66-70.
He Liang. Research on Pricing Multi-asset Structured Financing Products: Taking ZYJQ09001A as a Sample[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2012, 25(4): 66-70.
Citation: He Liang. Research on Pricing Multi-asset Structured Financing Products: Taking ZYJQ09001A as a Sample[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2012, 25(4): 66-70.

多资产类结构性理财产品定价研究 ——以中国银行中银进取09001A为例

详细信息
    作者简介:

    何亮(1990—), 男, 江苏无锡人, 本科大学生, 研究方向为金融工程.

  • 中图分类号: F830.33

Research on Pricing Multi-asset Structured Financing Products: Taking ZYJQ09001A as a Sample

  • 摘要: 采用蒙特卡罗模拟方法和Cholesky分解技术,以中国银行中银进取09001A为例,研究了中国银行多资产类结构性理财产品定价的合理性。结果表明,中银进取09001A存在1.91%的溢价率。由此提出,政府及监管层应尽快建立健全结构性理财产品管理办法,商业银行也应尽快完善结构性理财产品定价和信息披露机制。
    Abstract: Using Monte Carlo Simulation, Cholesky Decomposition, taking ZYJQ09001A issued by Bank of China as an example, rationality of pricing multi-asset structured financial products is studied. The results show that ZYJQ09001A's issuing price with 1.91% implied premium rate is slightly more than its theoretical value. So it is proposed that government and regulators should establish a sound management approach on structured financial products; Commercial Banks should improve the pricing mechanism and information disclosure mechanisms for structured financial products.
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出版历程
  • 收稿日期:  2011-03-17
  • 发布日期:  2012-07-24

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