规避通货膨胀风险的结构性金融产品研究
摘要
结构性金融产品市场是国际金融衍生品市场的一个重要组成部分。金融衍生产品的定价和设计是金融衍生产品研究的难点和核心,因此结构性产品的定价和设计无论对于发行者还是投资者来说,都具有非常重要的研究意义。在后金融危机时代,资产的通货膨胀风险日益增加的背景下,就我国现阶段资本市场状况而言,什么样的结构性产品更加适合我国的投资者呢?
近些年,由于与通货膨胀相关的金融产品在各个国家的广泛发行,通货膨胀衍生品以及通货膨胀结构性产品受到投资者的追捧,相关市场迅速的发展和繁荣。国际金融危机后,各国经济从萧条走向缓慢复苏,普遍有着通货膨胀预期。由于通货膨胀金融产品具有独特的风险结构特征,对于规避通货膨胀风险有着天然的优势和不可替代的作用,因此该类产品将是我国中小投资者和机构投资者尤其是养老基金等迫切需要的投资品种。
本文首先分析了结构性产品的构成和设计特点(这些特点构成了结构性产品的定价基础),然后根据金融工程的无套利均衡分析方法,对结构性产品的估值原则、影响定价的因素、发行定价和二级市场定价、定价模型和技术进行了系统、深入的分析和研究。并以结构性金融产品发行机构的视角,观察总结我国金融市场上各类结构性产品的表现情况,并加入规避通货膨胀风险的因素,研究什么样的结构性产品适合我国的普通投资者。由于投资大宗商品有着规避通货膨胀风险的动因,本文运用了GARCH模型、Monte Carlo模拟以及现代期权定价理论,研究了与石油期货价格连接的结构性产品的风险收益情况和规避通货膨胀风险的能力,并且进一步研究了在我国市场上目前没有的、国际市场近十年新兴的金融产品类型——连接通货膨胀指数的结构性产品,分析了该类产品规避通货膨胀的机制并结合了我国市场的特点,阐述了一系列适合我国市场的通货膨胀结构性产品的性质和运行机制。
本文的主要内容可归纳如下：
第一章：从分析金融危机与结构性产品关系和结构性产品引发金融危机的原因开始,提出在通货膨胀风险增大的背景下,什么样的结构性产品适合我国的金融市场的问题。并对本文的研究对象、研究思路和主要方法,以及创新进行阐述。
第二章：对结构性产品定价、通货膨胀债券、通货膨胀衍生品定价的文献进行综述,并进行评论。
第三章：从理论上,介绍了结构性金融产品的定价方法和设计原理。
第四章：通过现代期权定价理论模型,运用GARCH模型以及蒙特卡洛模拟技术,对与石油期货连接的结构性产品定价、进行敏感性分析和风险价值的计算,进而分析结构性产品定价是否合理性；从设计的角度阐述影响产品价格的主要因素,以及针对该产品规避通货膨胀风险的能力做出评价,最后提出建议。
第五章：介绍通货膨胀定义和模型,并且对通货膨胀债券、通货膨胀指数互换以及伺比上年通货膨胀指数互换等通货膨胀相关产品定价模型进行总结和分析；对全球的通货膨胀衍生品的市场进行分析,然后研究通货膨胀债券的福利获得情况；研究了通货膨胀互换产品的机制和敏感性因素；最后论述了与通货膨胀指数相关的结构性产品的形式、机制和敏感性因素等。
第六章：通过对通货膨胀风险的规避途径和适合我国现阶段资本市场的金融产品的特点分析,阐述在通货膨胀风险增大的背景下,我国应该大力促进通货膨胀相关金融产品的发展。
第七章：结论和展望。我国金融机构设计和发行通货膨胀相关的结构性产品不但可以拥有广阔的市场,也是金融机构和个人投资者不可缺少的投资途径；最后阐述了研究的局限性和进一步研究的方向。
本文研究的主要方法是：
依据经济学和金融学的基本理论,在国内外最新的研究成果的基础上,运用时间金融序列分析和蒙特卡洛模拟等金融工程技术,采用了理论分析、实证分析、案例分析以及定量和定性分析相结合等方法。具体如下：
1、通过分析我国的金融市场和结构性产品的市场情况,从宏观经济环境、设计产品需要注意的问题以及结构性产品发展趋势三方面,提出一类适合我国的结构性产品——连接通货膨胀指数的结构性产品。
2、运用金融工程无套利原理、组合分解技术,分析结构性产品的定价原理和方法。运用时间金融序列的GARCH模型、蒙特卡洛模拟技术以及风险度量的VaR模型,对与石油期货价格连接的双障碍期权的结构性产品进行定价,然后分析其敏感性因素和计算风险价值,根据结果判断设计和定价的合理性以及影响价格的主要因素,并且分析了该产品对通货膨胀风险的规避能力。
3、系统的分析和归纳了通货膨胀衍生品和通货膨胀的结构性产品的定价模型。
4、通过对通货膨胀衍生品市场的分析,系统的阐述了通货膨胀债券的福利获得；通货膨胀互换、同比上年通货膨胀互换等产品的机制和敏感性,并研究了通货膨胀结构性产品的具体形式、机制和敏感性因素等。
创新主要体现在：
1、以规避通货膨胀风险为背景,研究适合我国金融市场的结构性产品出发,宏观环境、市场条件、产品设计以及市场趋势等多方面提出了金融机构应该推出连接通货膨胀指数的结构性产品的构想。
2、对连接石油期货价格的结构性产品,其期权部分为双障碍期权,对其进行定价、敏感性因素、风险价值等多方面详细分析,从定价和设计的角度分析产品定价是否合理以及影响价格的敏感性因素,并且分析评价了该产品对通货膨胀风险的规避能力。
3、对通货膨胀结构性产品的定价模型进行总结和分析。通过对通货膨胀衍生品市场上的一系列主要产品的详细分析,论述了与通货膨胀指数相关的结构性产品的主要形式、运行机制和敏感性因素。
总之,在国际金融危机后,各国经济从萧条走向缓慢复苏。但是各国政府运用大量向市场注资的处理方式,使投资者对通货膨胀的预期升高,通货膨胀风险的规避更加受到投资者的重视。本文以结构性金融产品发行机构的视角,观察总结我国金融市场上各类结构性产品的表现情况,研究在通货膨胀预期增大的背景下,什么样的结构性产品适合我国的普通投资者。通过对一般意义上能够部分的规避通货膨胀风险的结构性产品进行研究,以具体的结构性产品为研究对象,即对连接大宗商品(石油期货)价格的结构性产品进行风险收益分析,考察了该产品规避通货膨胀风险的能力。然后,全面研究我国市场上目前没有的新类型的投资产品——通货膨胀结构性产品,并结合我国市场的特点,分析一系列适合我国市场的通货膨胀结构性产品的特点、运行机制和敏感性因素。从而得出在缺乏有效规避通胀风险的投资工具的新兴国家资本市场中,应该大力发展通货膨胀相关金融产品的结论。
Structured notes market is an important component of international financial derivatives market. Product pricing and designing are the most important and at the same time the most difficult problem in derivatives research.Structured notes pricing and designing have the very important significance for both issuers and investors.Based on increasing inflation risk, which structured note is more suitable for investors in our capital market?
Recent inflation-linked derivatives market and inflation-linked structured notes are popular and sought after by investors. The relevant derivatives markets developed quickly. After international financial crisis, the economic situations of many counties are becoming better, meantime inflation expectation is increasing. Because inflation-linked notes are with a unique risk-return characteristics and natural ability of avoiding inflation risk as well as irreplaceable, most investors and institutions especially pension funds have an urgent need to them.
Compositions and design features of structured notes (which constitute the foundation of product pricing) are analyzed first in this paper. Then, based on the no-arbitrage pricing theory of financial engineer, the valuation principle, factors affecting pricing, the secondary market pricing, pricing model and technologies of structured notes are studied in depth respectively. Pricing method of specified product is the key and difficult point.
By observing and generalizing the performance of every style of structured notes in the market, the purpose of this paper is what style product is the most suitable for the common investors under the market situation in China from the perspective of financial institutions. This paper studies the pricing and designing of the petrol future commodities linked products and Inflation-linked notes based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc.Combining the characteristics of china market, this paper analyses on a series of inflation-linked structured notes and suitability and working mechanism of those products in China.
The main contents and conclusions are summarized as follows:
1. The first chapter analyzes the relation of the financial crisis and structured notes, and then elaborate the structured notes are how to trigger the financial crisis. Asking the question is what style structured products suit for the market situation in China.At last statement the subject of research, the research methods and main innovations in this paper.
2. The second chapter shows the literature of pricing of structured notes and the inflation-linked products, and then comments them.
3. The third chapter introduces the theory of designing and pricing of the structured notes.
4. The forth chapter prices the structured product of linked oil future based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc. And then analyzing sensitivity and calculating VaR (Value at Risk). According to the result of pricing the product, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product, at last putting forward suggestions.
5. The fifth chapter introduces the concept and model of inflation, and then summarizies the pricing model of inflation-linked bond, inflation-linked swap and year-on-year inflation swap. Next analyzes the global inflation-linked derivatives market and elaborate market situation of inflation-linked bonds and welfare gain from the inflation-linked bonds. Next section shows inflation-linked derivatives which include inflation-linked swap and year-on-year inflation swap how to work and their sensitivities. At last section introduces the working mechanism and sensitivities of some kinds of inflation-linked structured notes.
6. The sixth chapter analyzes the channels of avoiding inflation risk and the characteristics of financial products in our capital market at the present stage, concludes our country should develop the related inflation-linked product facing increasing inflation risk.
7. The seventh chapter concludes the dissertation and does some prospects for the future study.
The primary research methods as follows:
This paper employs time series analysis of financial, GARCH model and Monte Carlo simulation according to the basic theories of economics and finance based on the newest results from domestic and foreign, and uses theoretical analysis, empirical analysis, case research and the combination of quantitative and qualitative. Specific methods as follows:
1.Analyzing the financial market situation of structured notes from macroeconomic environment,design of product and development trend of the structured notes and put forward a series products related inflation which suits for our capital market-inflation-linked structured notes.
2. Employing no-arbitrage principle of financial engineering, composition and decomposition techniques to analyze pricing of structured notes. Using GARCH mode, Monte Carlo simulation and the VaR model of risk to study the pricing of double barrier option of structured note, and then analyzing sensitivities and calculating VaR (Value at Risk). According to the result of pricing the products, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product.
3. Systematically analyzing and summarizing inflation-linked derivatives and the model of inflation-linked structured notes.
4. Analyzing the global inflation-linked derivatives market and elaborate market situation of inflation-linked bonds and welfare gain from the inflation-linked bonds.Showing inflation-linked derivatives which include inflation-linked swap, year-on-year inflation swap and some kinds of inflation-linked structured notes how to work and their sensitivities.
The primary innovations included:
1. Analyzing the channels of avoiding inflation risk and the characteristics of financial products in our capital market at the present stage, putting forward the scheme that our government should develop the related inflation-linked product based on avoiding inflation risk.
2. Pricing the structured product of linked petrol future based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc. And then analyzing sensitivity and calculating VaR (Value at Risk). According to the result of pricing the products, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product.
3. Systematically analyzing and summarizing inflation-linked derivatives and the model of inflation-linked structured notes. Showing inflation-linked derivatives which include inflation-linked swap and year-on-year inflation swap how to work and their sensitivities thought researching a series product in the inflation-linked derivatives market.
In a word, the economy of the most country is recovering from depression after financial crisis. But most countries inject currency to the market and make investors who increase inflation expectation are more and more pay attention to inflation risk. By observing and generalizing the performance of every style of structured notes in the market, the purpose of this paper is that what style product is the most suitable for the common investors under China market situation from the perspective of financial institutions. This paper studies the pricing of petrol-linked structure note in order to analyze the capability of this kind of product of avoiding inflation risk. And then this paper analyzes a series of Inflation-linked structured notes and studied suitability and working mechanism of those products in China combining the characteristics of china market. At last, concludes our government should develop the related linked-inflation product facing increasing inflation risk and it is feasibility in the emerging countries in China.
近些年,由于与通货膨胀相关的金融产品在各个国家的广泛发行,通货膨胀衍生品以及通货膨胀结构性产品受到投资者的追捧,相关市场迅速的发展和繁荣。国际金融危机后,各国经济从萧条走向缓慢复苏,普遍有着通货膨胀预期。由于通货膨胀金融产品具有独特的风险结构特征,对于规避通货膨胀风险有着天然的优势和不可替代的作用,因此该类产品将是我国中小投资者和机构投资者尤其是养老基金等迫切需要的投资品种。
本文首先分析了结构性产品的构成和设计特点(这些特点构成了结构性产品的定价基础),然后根据金融工程的无套利均衡分析方法,对结构性产品的估值原则、影响定价的因素、发行定价和二级市场定价、定价模型和技术进行了系统、深入的分析和研究。并以结构性金融产品发行机构的视角,观察总结我国金融市场上各类结构性产品的表现情况,并加入规避通货膨胀风险的因素,研究什么样的结构性产品适合我国的普通投资者。由于投资大宗商品有着规避通货膨胀风险的动因,本文运用了GARCH模型、Monte Carlo模拟以及现代期权定价理论,研究了与石油期货价格连接的结构性产品的风险收益情况和规避通货膨胀风险的能力,并且进一步研究了在我国市场上目前没有的、国际市场近十年新兴的金融产品类型——连接通货膨胀指数的结构性产品,分析了该类产品规避通货膨胀的机制并结合了我国市场的特点,阐述了一系列适合我国市场的通货膨胀结构性产品的性质和运行机制。
本文的主要内容可归纳如下：
第一章：从分析金融危机与结构性产品关系和结构性产品引发金融危机的原因开始,提出在通货膨胀风险增大的背景下,什么样的结构性产品适合我国的金融市场的问题。并对本文的研究对象、研究思路和主要方法,以及创新进行阐述。
第二章：对结构性产品定价、通货膨胀债券、通货膨胀衍生品定价的文献进行综述,并进行评论。
第三章：从理论上,介绍了结构性金融产品的定价方法和设计原理。
第四章：通过现代期权定价理论模型,运用GARCH模型以及蒙特卡洛模拟技术,对与石油期货连接的结构性产品定价、进行敏感性分析和风险价值的计算,进而分析结构性产品定价是否合理性；从设计的角度阐述影响产品价格的主要因素,以及针对该产品规避通货膨胀风险的能力做出评价,最后提出建议。
第五章：介绍通货膨胀定义和模型,并且对通货膨胀债券、通货膨胀指数互换以及伺比上年通货膨胀指数互换等通货膨胀相关产品定价模型进行总结和分析；对全球的通货膨胀衍生品的市场进行分析,然后研究通货膨胀债券的福利获得情况；研究了通货膨胀互换产品的机制和敏感性因素；最后论述了与通货膨胀指数相关的结构性产品的形式、机制和敏感性因素等。
第六章：通过对通货膨胀风险的规避途径和适合我国现阶段资本市场的金融产品的特点分析,阐述在通货膨胀风险增大的背景下,我国应该大力促进通货膨胀相关金融产品的发展。
第七章：结论和展望。我国金融机构设计和发行通货膨胀相关的结构性产品不但可以拥有广阔的市场,也是金融机构和个人投资者不可缺少的投资途径；最后阐述了研究的局限性和进一步研究的方向。
本文研究的主要方法是：
依据经济学和金融学的基本理论,在国内外最新的研究成果的基础上,运用时间金融序列分析和蒙特卡洛模拟等金融工程技术,采用了理论分析、实证分析、案例分析以及定量和定性分析相结合等方法。具体如下：
1、通过分析我国的金融市场和结构性产品的市场情况,从宏观经济环境、设计产品需要注意的问题以及结构性产品发展趋势三方面,提出一类适合我国的结构性产品——连接通货膨胀指数的结构性产品。
2、运用金融工程无套利原理、组合分解技术,分析结构性产品的定价原理和方法。运用时间金融序列的GARCH模型、蒙特卡洛模拟技术以及风险度量的VaR模型,对与石油期货价格连接的双障碍期权的结构性产品进行定价,然后分析其敏感性因素和计算风险价值,根据结果判断设计和定价的合理性以及影响价格的主要因素,并且分析了该产品对通货膨胀风险的规避能力。
3、系统的分析和归纳了通货膨胀衍生品和通货膨胀的结构性产品的定价模型。
4、通过对通货膨胀衍生品市场的分析,系统的阐述了通货膨胀债券的福利获得；通货膨胀互换、同比上年通货膨胀互换等产品的机制和敏感性,并研究了通货膨胀结构性产品的具体形式、机制和敏感性因素等。
创新主要体现在：
1、以规避通货膨胀风险为背景,研究适合我国金融市场的结构性产品出发,宏观环境、市场条件、产品设计以及市场趋势等多方面提出了金融机构应该推出连接通货膨胀指数的结构性产品的构想。
2、对连接石油期货价格的结构性产品,其期权部分为双障碍期权,对其进行定价、敏感性因素、风险价值等多方面详细分析,从定价和设计的角度分析产品定价是否合理以及影响价格的敏感性因素,并且分析评价了该产品对通货膨胀风险的规避能力。
3、对通货膨胀结构性产品的定价模型进行总结和分析。通过对通货膨胀衍生品市场上的一系列主要产品的详细分析,论述了与通货膨胀指数相关的结构性产品的主要形式、运行机制和敏感性因素。
总之,在国际金融危机后,各国经济从萧条走向缓慢复苏。但是各国政府运用大量向市场注资的处理方式,使投资者对通货膨胀的预期升高,通货膨胀风险的规避更加受到投资者的重视。本文以结构性金融产品发行机构的视角,观察总结我国金融市场上各类结构性产品的表现情况,研究在通货膨胀预期增大的背景下,什么样的结构性产品适合我国的普通投资者。通过对一般意义上能够部分的规避通货膨胀风险的结构性产品进行研究,以具体的结构性产品为研究对象,即对连接大宗商品(石油期货)价格的结构性产品进行风险收益分析,考察了该产品规避通货膨胀风险的能力。然后,全面研究我国市场上目前没有的新类型的投资产品——通货膨胀结构性产品,并结合我国市场的特点,分析一系列适合我国市场的通货膨胀结构性产品的特点、运行机制和敏感性因素。从而得出在缺乏有效规避通胀风险的投资工具的新兴国家资本市场中,应该大力发展通货膨胀相关金融产品的结论。
Structured notes market is an important component of international financial derivatives market. Product pricing and designing are the most important and at the same time the most difficult problem in derivatives research.Structured notes pricing and designing have the very important significance for both issuers and investors.Based on increasing inflation risk, which structured note is more suitable for investors in our capital market?
Recent inflation-linked derivatives market and inflation-linked structured notes are popular and sought after by investors. The relevant derivatives markets developed quickly. After international financial crisis, the economic situations of many counties are becoming better, meantime inflation expectation is increasing. Because inflation-linked notes are with a unique risk-return characteristics and natural ability of avoiding inflation risk as well as irreplaceable, most investors and institutions especially pension funds have an urgent need to them.
Compositions and design features of structured notes (which constitute the foundation of product pricing) are analyzed first in this paper. Then, based on the no-arbitrage pricing theory of financial engineer, the valuation principle, factors affecting pricing, the secondary market pricing, pricing model and technologies of structured notes are studied in depth respectively. Pricing method of specified product is the key and difficult point.
By observing and generalizing the performance of every style of structured notes in the market, the purpose of this paper is what style product is the most suitable for the common investors under the market situation in China from the perspective of financial institutions. This paper studies the pricing and designing of the petrol future commodities linked products and Inflation-linked notes based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc.Combining the characteristics of china market, this paper analyses on a series of inflation-linked structured notes and suitability and working mechanism of those products in China.
The main contents and conclusions are summarized as follows:
1. The first chapter analyzes the relation of the financial crisis and structured notes, and then elaborate the structured notes are how to trigger the financial crisis. Asking the question is what style structured products suit for the market situation in China.At last statement the subject of research, the research methods and main innovations in this paper.
2. The second chapter shows the literature of pricing of structured notes and the inflation-linked products, and then comments them.
3. The third chapter introduces the theory of designing and pricing of the structured notes.
4. The forth chapter prices the structured product of linked oil future based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc. And then analyzing sensitivity and calculating VaR (Value at Risk). According to the result of pricing the product, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product, at last putting forward suggestions.
5. The fifth chapter introduces the concept and model of inflation, and then summarizies the pricing model of inflation-linked bond, inflation-linked swap and year-on-year inflation swap. Next analyzes the global inflation-linked derivatives market and elaborate market situation of inflation-linked bonds and welfare gain from the inflation-linked bonds. Next section shows inflation-linked derivatives which include inflation-linked swap and year-on-year inflation swap how to work and their sensitivities. At last section introduces the working mechanism and sensitivities of some kinds of inflation-linked structured notes.
6. The sixth chapter analyzes the channels of avoiding inflation risk and the characteristics of financial products in our capital market at the present stage, concludes our country should develop the related inflation-linked product facing increasing inflation risk.
7. The seventh chapter concludes the dissertation and does some prospects for the future study.
The primary research methods as follows:
This paper employs time series analysis of financial, GARCH model and Monte Carlo simulation according to the basic theories of economics and finance based on the newest results from domestic and foreign, and uses theoretical analysis, empirical analysis, case research and the combination of quantitative and qualitative. Specific methods as follows:
1.Analyzing the financial market situation of structured notes from macroeconomic environment,design of product and development trend of the structured notes and put forward a series products related inflation which suits for our capital market-inflation-linked structured notes.
2. Employing no-arbitrage principle of financial engineering, composition and decomposition techniques to analyze pricing of structured notes. Using GARCH mode, Monte Carlo simulation and the VaR model of risk to study the pricing of double barrier option of structured note, and then analyzing sensitivities and calculating VaR (Value at Risk). According to the result of pricing the products, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product.
3. Systematically analyzing and summarizing inflation-linked derivatives and the model of inflation-linked structured notes.
4. Analyzing the global inflation-linked derivatives market and elaborate market situation of inflation-linked bonds and welfare gain from the inflation-linked bonds.Showing inflation-linked derivatives which include inflation-linked swap, year-on-year inflation swap and some kinds of inflation-linked structured notes how to work and their sensitivities.
The primary innovations included:
1. Analyzing the channels of avoiding inflation risk and the characteristics of financial products in our capital market at the present stage, putting forward the scheme that our government should develop the related inflation-linked product based on avoiding inflation risk.
2. Pricing the structured product of linked petrol future based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc. And then analyzing sensitivity and calculating VaR (Value at Risk). According to the result of pricing the products, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product.
3. Systematically analyzing and summarizing inflation-linked derivatives and the model of inflation-linked structured notes. Showing inflation-linked derivatives which include inflation-linked swap and year-on-year inflation swap how to work and their sensitivities thought researching a series product in the inflation-linked derivatives market.
In a word, the economy of the most country is recovering from depression after financial crisis. But most countries inject currency to the market and make investors who increase inflation expectation are more and more pay attention to inflation risk. By observing and generalizing the performance of every style of structured notes in the market, the purpose of this paper is that what style product is the most suitable for the common investors under China market situation from the perspective of financial institutions. This paper studies the pricing of petrol-linked structure note in order to analyze the capability of this kind of product of avoiding inflation risk. And then this paper analyzes a series of Inflation-linked structured notes and studied suitability and working mechanism of those products in China combining the characteristics of china market. At last, concludes our government should develop the related linked-inflation product facing increasing inflation risk and it is feasibility in the emerging countries in China.
引文
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①太雷：徘徊在十字路口的银行结构化理财产品；《理财师》2009年第10期
②陈炜：中国证券市场产品创新研究；深圳证券交易研究所综合研究所。
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①参考Alan D. Viard, The welfare gain from the introduction of indexed bonds, Journal of Money, Credit and Banking (1993)
①请参考S.P.kothari and Jay shanken, Asset allocation with inflation-protected bonds, Financial Analysts Journal (2004)
①太雷：徘徊在十字路口的银行结构化理财产品；《理财师》2009年第10期
②陈炜：中国证券市场产品创新研究；深圳证券交易研究所综合研究所。