结构化产品收益分配及投资策略的优化——基于结构化定增劣后级投资者视角

依据A公司投资伊利股份定向增发项目的样本数据,运用蒙特卡罗模拟方法,考量优先级收益分配及投资策略的改进效果.结果发现:改进后的私募结构化产品收益分配更为合理,具有更优的风险收益配置,从而,揭示市场价格波动在结构化产品内部的传递过程,劣后级资金的收益有相当比例是优先级资金收益的让渡.     

Pricing,issuance volume,and design of innovative securities: The role of investor information

This study investigates the role of asymmetric information for the pricing, issuance volume, and design of innovative securities. By analyzing the information that structured product issuers provide to the investors of those products, we can identify specific sources of asymmetric information between the issuers and investors in this market. We show that issuers exploit this information friction to offer products to investors that appear more profitable for the issuer. In addition, we find that the friction induces issuers to design products with higher information asymmetry. Our results suggest that product issuers’ behavior increases information frictions in the financial system.     

Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables

We report the participation level, we pricing a first generation's European call options on the Eurostoxx structured product, when returns’ uncertainty is modeled by log-stable processes, we present the basic statistics of the index's returns, we estimate the α-estable parameters, and we compare the structured products pricing by the both log-stable and log-Gaussian models using inputs of the debt markets. We conclude that investors get higher returns than debt markets using both models and returns’ differences depend of the participation level and the maturity.     

The performance of individual investors in structured financial products

This paper is the first to measure individual investors’ realized risk-adjusted performance in structured financial products, which represent one of the key financial innovations in recent times. Based on a large database of trades and portfolio holdings for 10,652 retail investors in discount and bonus certificates and common stocks, we find that (1) investors typically realize negative alphas in structured financial products, even when transaction costs are ignored. (2) Their underperformance increases with product complexity, which results from the higher implicit price premiums charged by the issuing banks for the more complex products and from the investors’ poor selection of products that have complex payoff specifications. (3) Investors also make poor choices when selecting the underlying assets for their structured product investments. This is merely a reflection of the poor stock selection abilities which also leads to a significant underperformance for their equity portfolios. (4) Certificate and stock investors are prone to the disposition effect. Overall, these findings suggest that retail investors may require some form of protection to avoid incurring these losses.     

How does the underlying affect the risk-return profiles of structured products?

Regulators of some of the major markets have adopted value at risk (VaR) as the risk measure for structured products. Under the mean-VaR framework, this paper discusses the impact of the underlying’s distribution on structured products. We expand the expected return and the VaR of a structured product with its underlying’s moments (mean, variance, skewness, and kurtosis), so that the impact of the moments can be investigated simultaneously. Results are tested by Monte Carlo and historical simulations. The findings show that for the majority of structured products, underlyings with large positive skewness are preferred. The preferences for the variance and the kurtosis of the underlying are both ambiguous.     

Co-monotonicity of optimal investments and the design of structured financial products

We prove that, under very weak conditions, optimal financial products on complete markets are co-monotone with the reversed state price density. Optimality is meant in the sense of the maximization of an arbitrary preference model, e.g., expected utility theory or prospect theory. The proof is based on a result from transport theory. We apply the general result to specific situations, in particular the case of a market described by the Capital Asset Pricing Model or the Black–Scholes model, where we derive a generalization of the two-fund-separation theorem and give an extension to APT factor models and structured products with several underlyings. We use our results to derive a new approach to optimization in wealth management, based on a direct optimization of the return distribution of the portfolio. In particular, we show that optimal products can (essentially) be written as monotonic functions of the market return. We provide existence and nonexistence results for optimal products in this framework. Finally we apply our results to the study of bonus certificates, show that they are not optimal, and construct a cheaper product yielding the same return distribution.     

Managerial flexibility and the wealth effect of new product introductions

This paper examines whether investors recognize the value of managerial flexibilities, as proxied by real options, in their valuation of new product introductions. We define a firm’s real options portfolio as the difference between the firm’s market value and its assets in place. A firm’s strategic flexibilities are modeled as the ratio of its real option portfolio to its book value. Using a sample of new product introductions from 1998–2007, we find our real options measure is positively related to announcement period abnormal returns. This result holds after we control for other variables known to be correlated with the announcement effect in previous studies. Our result is robust to alternative measures of real options based on analysts’ earnings expectations and whether a firm has one or multiple segments. In summary, our results suggest that a firm’s perceived strategic and operating flexibilities are an important factor in the valuation of new products.     

Evidence About Auditor–Client Management Negotiation Concerning Client's Financial Reporting

We develop a model of auditor-client accounting negotiation, using the elements of negotiation examined in the behavioral negotiation literature, elaborated to include accounting contextual features indicated in the accounting literature and suggested by interviews with senior practitioners. We use a questionnaire structured according to the model to describe the elements, contextual features and associations between the two groups in a sample of real negotiations chosen by 93 experienced audit partners. The paper demonstrates important aspects of the sampled accounting negotiations and makes suggestions for further empirical and model development research.     

The volatility target effect in structured investment products with capital protection

Designing a structured investment product with capital protection which would be characterized by high capital protection level as well as high equity participation rate is a challenging task in the current market environment. Low interest rates and high volatility levels negatively affect the above key parameters of such investment products. One way to increase the participation rate of a structured investment product with a fixed capital protection level is to use a volatility target (VolTarget) strategy as an underlying asset for a financial option embedded in such a product. We introduce an extended VolTarget mechanism with interest rate dependent volatility target levels and provide a detailed comparative numerical study of European options linked to VolTarget strategies within a hybrid Heston–Vasi?ec model with stochastic volatility and stochastic interest rate.     

A forward started jump-diffusion model and pricing of cliquet style exotics

In this paper we present an alternative model for pricing exotic options and structured products with forward-starting components. As presented in the recent study by Eberlein and Madan (Quantitative Finance 9(1):27–42, 2009), the pricing of such exotic products (which consist primarily of different variations of locally/globally, capped/floored, arithmetic/geometric etc. cliquets) depends critically on the modeling of the forward–return distributions. Therefore, in our approach, we directly take up the modeling of forward variances corresponding to the tenor structure of the product to be priced. We propose a two factor forward variance market model with jumps in returns and volatility. It allows the model user to directly control the behavior of future smiles and hence properly price forward smile risk of cliquet-style exotic products. The key idea, in order to achieve consistency between the dynamics of forward variance swaps and the underlying stock, is to adopt a forward starting model for the stock dynamics over each reset period of the tenor structure. We also present in detail the calibration steps for our proposed model.     

A recursive method for static replication of autocallable structured products

This paper discusses the problem of valuation and risk management of structured products, which have been popular in recent financial markets. We propose a recursive method based on static replication for a variety of structured products, and, in particular, focus on products with autocallable and barrier features under a general Markovian diffusion with killing. The core idea of the proposed algorithm is to recursively utilize the strike-spread approach and calendar-spread approach in the literature. To increase computational and practical feasibilities, we devise discrete static hedges and their convergence is analysed. Numerical experiments are conducted to confirm the effectiveness of our proposal and to show its highly accurate pricing and hedging performance.     

Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments

Based on a unique data set, this paper examines the pricing of equity-linked structured products in the German market. The daily closing prices of a large variety of structured products are compared to theoretical values derived from the prices of options traded on the Eurex (European Exchange). For the majority of products, the study reveals large implicit premiums charged by the issuing banks in the primary market. A set of driving factors behind the issuers’ pricing policies is identified, for example, underlying and type of implicit derivative(s). For the secondary market, the product life cycle is found to be an important pricing parameter.     

Risk classes for structured products: mathematical aspects and their implications on behavioral investors

The new regulation of the EU for financial products (UCITS IV) prescribes Value at Risk (VaR) as the benchmark for assessing the risk of structured products. We discuss the limitations of this approach and show that, in theory, the expected return of structured products is unbounded while the VaR requirement for the lowest risk class can still be satisfied. Real-life examples of large returns within the lowest risk class are then provided. The results demonstrate that the new regulation could lead to new seemingly safe products that hide large risks. Behavioral investors that choose products only based on their official risk classes and their expected returns will, therefore, invest into suboptimal products. To overcome these limitations, we suggest a new risk-return measure for financial products based on the martingale measure that could erase such loopholes.     

Divergence in credit ratings

During the recent credit crisis credit rating agencies (CRAs) became increasingly lax in their rating of structured products, yet increasingly stringent in their rating of corporate bonds. We examine a model in which a CRA operates in both the market for structured products and for corporate debt, and shares a common reputation across the two markets. We find that, as a CRA’s reputation becomes good enough, it can be optimal for it to inflate its ratings with probability one in the structured products market, but inflate its ratings with probability zero in the corporate bond market.     

Can utility optimization explain the demand for structured investment products?

In this paper, we first show that for classical rational investors with correct beliefs and constant absolute or constant relative risk aversion, the utility gains from structured products over and above a portfolio consisting of the risk-free asset and the market portfolio are typically much smaller than their fees. This result holds irrespectively of whether the investors can continuously trade the risk-free asset and the market portfolio at no costs or whether they can just buy the assets and hold them to maturity of the structured product. However, when considering behavioural utility functions, such as prospect theory, or investors with incorrect beliefs (arising from probability weighting or probability misestimation), the utility gain can be sizable.     

Neglected Risk in Financial Innovation: Evidence from Structured Product Counterparty Exposure

We investigate the compensation of counterparty exposure in the prices of structured products. Our analysis reveals that product issuers did not compensate retail investors for counterparty exposure before the Lehman default. Post-Lehman, retail prices have no longer neglected this risk. We also measure retail investor attention towards issuer credit risk. For a given level of issuer credit risk, counterparty exposure is compensated more when attention is higher. Furthermore, issuers tend to construct products with larger counterparty exposure. Overall, our results shed light on the conditions under which financial engineering generates neglected risk.     

The dark side of financial innovation: A case study of the pricing of a retail financial product

The offering prices of 64 issues of a popular retail structured equity product were, on average, almost 8% greater than estimates of the products' fair market values obtained using option pricing methods. Under reasonable assumptions about the underlying stocks' expected returns, the mean expected return estimate on the structured products is slightly below zero. The products do not provide tax, liquidity, or other benefits, and it is difficult to rationalize their purchase by informed rational investors. Our findings are, however, consistent with the recent hypothesis that issuing firms might shroud some aspects of innovative securities or introduce complexity to exploit uninformed investors.     

Time‐changed Lévy jump processes with GARCH model on reverse convertibles

For decades, financial institutions have been very motivated in creating structured high-yield financial products, especially in the economic environment of lower interest rates. Reverse convertible notes (RCNs) are the type of financial instruments, which in recent years first in Europe and then in the US – have become highly desirable financial structured products. They are complex financial structured products because they are neither plain bonds nor stocks. Instead, they are structured products embedding equity options, which involve a significant amount of asset returns' uncertainty. Given this fact, pricing of reverse convertible notes becomes a really big challenge, where both the general Black–Scholes option pricing model and the compound Poisson jump model which are designed to catch large crashes, are not suitable in valuing these kinds of products. In this paper, we propose a new asset-pricing framework for reverse convertible notes by extending the pure Brownian increments to Lévy jump risks for the underlying stock return movements. Our framework deals with time-changing volatilities of stock options with Lévy jump processes by considering the stocks' infinite-jump possibilities. We then use a discrete-time GARCH with time-changed dynamics Lévy Jump processes in order to derive the assets' valuations. The results from our new model are close to the market's valuations, especially with the normal-inverse-Gaussian model of the Lévy jump family.     

股票挂钩产品的设计、定价和避险原理

作为结构化商品的一种，与股票或股票指数挂钩的股票挂钩产品目前在国内外发展迅速，已经实现多个交易所上市交易。本结合境外、尤其是港台市场情况，从发行人的角度，围绕股票挂钩产品的设计、定价和避险原理，分析了其产品结构、收益性质、设计模式、定价原则、避险方式及避险工具等内容。