中文摘要
经历了股市大幅波动及英国脱欧带来的全球经济大幅震荡，2016 年全球都处于
复杂多变的大环境下，但整体经济形势仍相对稳定，经济增长驱动力继续从固定投资
转向国内消费，投资者理财意识逐步增强。2016 年随着我国利率下行及市场持续的
“资产荒”影响，银行理财产品的收益率一跌再跌。在这种背景下，既可保有最低收
益，又有机会博取较高收益的结构性理财产品越来越受到投资者的青睐

但目前，我国结构性理财产品市场还不完善，虽然发行数量众多，但产品本身创
新与定价能力有限，同时我国银行自身的风险控制能力也不够成熟，在产品设计和发
行后缺少完善的风险对冲机制，以致部分的理财产品到期后收益为零甚至亏损本金

要解决我国结构性理财产品面临的问题，除了要提高理财产品设计水平，最主要的是
要提高我国银行自身的市场风险控制水平，唯有设计合理、风控完善的理财产品才能
够规避部分投资风险，满足投资者的财富保值增值需求

本文采用以 P 银行结构性理财产品的市场风险控制为视角提出问题，通过四个部
分来阐述 P 银行结构性理财产品市场风险控制的重要性，以及 P 银行目前结构性理财
产品的市场风险概况、不足、制约因素和完善的措施并提出一些可行性的建议，以促
进我国结构性理财产品市场的健康发展

本文采用理论结合实际的方式，以规范分析结合 P 银行某结构性理财产品进行研
究，运用经济学与金融学相结合的方法来研究结构性理财产品的理论依据，产品设计
和市场风险及特性等方面。通过风险控制体系不完善、产品设计风险意识薄弱、产品
信息披露不全面和专业理财和风控人才缺失四个不同方面进行研究，既注重风险控制
理论基础的研究和分析，同时又结合 P 银行结构性理财产品实际状况进行实证分析

关键词：结构性理财产品 产品设计 市场风险 风险控制
作 者：邵丽南
指导老师：薛誉华英文摘要 P 银行结构性理财产品风险控制研究
IV
Research on risk control of structured financial
products of P bank
Abstract
Due to the fluctuations in the stock market and the British off Europe ，the global
economic is experiencing sharp fluctuations.In 2016 the world is in a complex
environment, but the economic situation is still relatively stable,economic growth continue
going from fixed investment to domestic consumption , investors gradually increased
awareness. 2016 with China's interest rates downward and market asset shortage, the yield
of bank financial products fell again. In this context, not only keep the minimum income,
and have the opportunity to win higher earnings of structured financial products
increasingly favored by investors.
But at present, the market of structured financial products in China is not perfect,
although the issue number is large, but the innovation and pricing ability of product itself is
limited, while the risk control ability of China's banks are not mature enough, lack of
perfect risk hedging mechanism in design and distribution, so that part of the them expire
after return to zero even loss of principal. To deal with structured financial products in our
country, we must not only improve the design level of financial products, but also improve
the level of market risk control, only the reasonable design, perfect risk controlled products
can avoid part of the investment risk and meet the investor's wealth value demand.
This paper uses P bank structured financial products market risk from the perspective
of problems, through four parts to explain the importance of market risk of structured
financial products, and the Market risk profile, shortage, constraints and measures to
improve and put forward some feasible suggestions to promote the healthy development of
China's structured financial products market.
In this paper we uses the theory with practice,through normative analysis combined
with the P bank structured financial products in the research, the theoretical basis for the
use of economics and finance are combined to study the structured financial products,
product design and market risk and other characteristics.Though four different sights toP 银行结构性理财产品风险控制研究 英文摘要
V
research and analysis,not only focus on the basic theory of market risk, but also combining
with the actual situation of P bank structure empirical analysis of financial products.
Key words: Structured Financial Products，Product Design，Market Risk，Risk
Management
Written by: Shao Linan
Supervised by: Xue Yuhua目 录
第 1 章 引 言 _________________________________________________________1
1.1 结构性理财产品的研究背景 ________________________________________ 1
1.2 结构性理财产品的研究意义和目的 __________________________________ 2
1.3 相关文献综述_____________________________________________________ 3
1.3.1 国内文献概述_______________________________________________ 3
1.3.2 国外文献概述_______________________________________________ 5
1.4 研究方法与框架___________________________________________________ 9
第 2 章 结构性理财产品相关理论 ________________________________________11
2.1 结构性理财投资组合原理 _________________________________________ 11
2.1.1 资产定价模型 ______________________________________________ 11
2.1.2 套利定价理论 ______________________________________________ 13
2.2 结构性理财产品产品定价原理 _____________________________________ 13
2.2.1 固定收益定价原理__________________________________________ 14
2.2.2 期权估价原理______________________________________________ 14
2.2.3 Black-Scholes 期权定价模型 _________________________________ 15
2.2.4 二叉树定价法______________________________________________ 16
2.2.5 Monte-Carlo 模拟法_________________________________________ 17
2.3 结构性理财产品风险控制理论 _____________________________________ 18
2.4 结构性理财产品金融创新理论 _____________________________________ 20
2.4.1 约束诱导理论 ______________________________________________ 20
2.4.2 规避管制理论 ______________________________________________ 21
2.4.3 技术推进理论和交易成本理论________________________________ 22
第 3 章 P 银行某结构性理财产品案例分析_________________________________23
3.1 结构性理财产品市场背景 _________________________________________ 23
3.2 P 银行某结构性理财产品设计结构 __________________________________ 25
3.3 P 银行某结构性理财产品风险分析 __________________________________ 29
3.4 P 银行某结构性理财产品设计水平评价 ______________________________ 31
第 4 章 P 银行结构性理财产品风险控制存在的问题_________________________33
4.1 风险控制体系不完善 _____________________________________________ 33
4.2 产品设计风险意识薄弱.___________________________________________ 34
4.3 产品信息披露不全面 _____________________________________________ 35
4.4 专业理财和风控人才缺失 _________________________________________ 36
第 5 章 P 银行结构性理财产品风险控制的改进设想_________________________37
5.1 完善风险控制体系________________________________________________ 37
5.2 提高产品设计风险意识.___________________________________________ 38
5.3 加强产品的信息披露 _____________________________________________ 39
5.4 加大理财和风控人才培养力度 _____________________________________ 40
第 6 章 结 论 ________________________________________________________42
6.1 本文研究结论和创新点 ___________________________________________ 42
参考文献 ______________________________________________________________44
攻读学位期间发表的文章 ________________________________________________47
致 谢 ______________________________________________________________48
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