VaR在股票挂钩型理财产品收益及风险度量中的应用

云南财经大学硕士学位论文VaR在股票挂钩型理财产品收益及风险度量中的应用姓名：张倩申请学位级别：硕士专业：金融学指导教师：张建友2011-04I2080VaRValueatRisk2090JP.MorganVaRVaRVaRVaRVaRVaRVaRIIVaRMATLABVaRVaRVaRAbstractIIIAbstractInthebackgroundoffinancialglobalization,bothChinesebanksandforeignbankshavesetfootinChina'sfinancialmarket,inwhichequity-linkedproductshaveaccountedforacertainproportion.Theequity-linkedproductisonetypeofthestructuredfinancialproduct,andpartofitsincomeisfixed,theotherpartisdependedontheperformanceofthesinglestock,thestockportfolioorthestockpriceindex.Thefirstequity-linkedproductwasbornintheAmericanmarketin1980’s,andthengraduallydevelopedintoEuropeanandAsian.InChina,thetimeithasappearedisnotlong,butthedevelopingisveryrapidly.Nowitsinvestmentcurrency,linkedway,thelistedplaceofunderlyingassets,thecalculationmethodofincomeandthesettlementofprincipalandinterest,etc.,havebecomediversified.Itcanbesaidtoahundredschoolsofthoughtstriveorahundredflowersbloom.Theproductprovidesanewwayforinvestorstomanagefinancesandincreasestheincomeofintermediatebusinessforissuers,butbecauseofitscomplexdesign,incompleteinformationdisclosureandharshprovisions,whichhasalsocausedmanyphenomenaofzeroorevennegativeincome.Theevaluationoftheseproductshasbeendrawnout.ThefullnameofVaRis“ValueatRisk”,whichwasborninthepracticeofJP.Morgan’sriskmanagementin1990’s.VaRtechniqueisusedwidelysinceitwasborn,andnowhasalreadybecomethemajortechniquetomeasuretheinternationalmarketrisk.TherehavebeenmanymethodstocalculateVaR,themainare:historicalsimulation,MonteCarlosimulationandvariance-covariancemethod.Inthispaper,usingVaRtomeasurethereturnandriskofequity-linkedfinancialproductsisthefirsttime.VaRitselfisjustameasureofrisk,butinthecalculationofVaRoftenneedthedistributionofreturnonassets.SocalculatingVaRplaysdoublebenefit.VaRcannotonlymakeinvestorshaveamoreaccurategraspontheexpectedreturnoffinancialproducts,butalsomakethemassessriskaccordingtotheirrisktolerance.InthecasethattheexistingevaluationmethodsofthereturnandriskoffinancialAbstractIVproductsarescarce,VaRmethodprovidesanidea,whichisanexpansionofthefield,andalsothefoundationforfurtherresearch.Thispaperwillbothusetheoreticalresearchandempiricalresearch,andbedividedintofivesections:Thefirstchapteristheintroduction,mainlyexpoundsthebackgroundandsignificanceoftheresearch,domesticandforeignresearchdynamic,theideaofthispaperandthebasicframework.Thesecondchapterandthethirdchapterarethetheoreticalpartofthispaper,willrespectivelydescribetherise,development,characteristics,classification,andbasicelementsofequity-linkedfinancialproductsandthedevelopment,definitions,characteristics,andcalculationmethodsofVaR.Thefourthchapteristheempiricalpart,firstitmakesaqualitativeintroductionofthebenefitsandrisksofequity-linkedfinancialproducts,putsforwardusingMonteCarlosimulationtocalculatVaRintheempiricalpart,andthenselectsthreeequity-linkedFinancialproductswithdifferentreturncharacteristicstoobtaintheirprobabilitydistributionofreturnandVaR,usingMATLABprogramming.Aftertheempiricalanalysis,wedrawthatmostfinancialproductshaveinvestmentvalue,oratleastcanobtaintheopportunityreturnwhichisequaltothetimevalueofmoney.Butafewproductsdidnotconsiderfromapracticalangleofinvestors,thusthephenomenonofzeroincomeappeared,ifweconsidertheopportunityreturn,infact,negativeincome.Inthefinalofthischapter,weproposesomeerrorsofusingVaRmethodontheevaluationoffinancialproducts;Thefifthchapteristheconclusionofthepaper,whichisthesummaryofabovefourchapters.Anditproposesdifferentsuggestionsforissuers,investorsandauthorities.KeyWords:Equity-linkedfinancialproducts;Structuredfinancialproducts;VaR;MonteCarlosimulation1A2200620048020052005929320072006F2510VaRVaRValueatRisk2090JP.MorganVaRVaR1996VaRVaRVaRVaRVaR—·VAR[M]20004VaRVaRVaRVaRVaR5(2005)(2006)(2008)(2009)(2009)2008·(FisherBlack)·(MyronScholes)1973Black-ScholesSalomanBrothers1986500(SPIN)K.C.ChenR.StephenSears(1990)SPINB-SJohnD.Finnerty(1993)(SIGN)SPINValue=B+C+T+E+RB6CTERPavelA.StoimenovSaschaWilkens(2004)BruceA.BenetAntoineGiannettiSeemaPissaris(2006)K.C.ChenLifanWu(2007)2006(2005)BDT2004(2006)(2008)(2009)72007830(CAPM)CAPM(2006)2004(2007)CAPM(2009)08VaR8VaR1994JP.MorganVaRRiskMetricsRiskMetricsVaRRiskMetricsVaRPhilippeJorrion(1995)VaRVaRVaRVaRDowdKluppelbergVaRAragonVaRVaRRichVaRVaR1996VaR(1997)(1997)(1998)(1999)(2001)(2003)(2005)(2006)(2009)VaRVaR(2002)VaR(2003)VaRRiskMetricsEWMA()EWMA(2006)VaR(1997)JP.Morga199495%VaRVaR9ttn(2000)(2002)(2002)(2004)GARCHVaR(2002)VaRVaR(2003)(2006)(EVT)CopulaVaREVTCopula(2007)CopulaVaRCopulaVaRVaRVaR—10VaRVaRVaRMATLABVaR11207080801986SalomanBrothersIncSPINStandard&Poor’s500IndexSubordinatedNoteS&P500142%5002%419873MICDMarketIndexCertificateOfDepositSPIN198710LYONIndexLiquidYieldOptionNote121.2576.679%=+68.5*-1.46*199119911SIGNStockIndexGrowthNoteS&P500AAA100%S&P50019918UTCPENPharmaceuticalExchangeNote9090%2090200285ELIEquityLinkedInstrument2003132000920032004320042005820058200612525:2005662007101699861242007200820092010200914201010210591200940%7.0530%216472009508.01%2009496272010