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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.
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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.
shu

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

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

    摘要
  • 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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