股票型结构化信托产品平仓规则创新与下偏风险规避

Innovation of Closing Rules for Stock Structured Trust Products and the Following Risk Aversion

利用GARCH模型和蒙特卡洛模拟法,以沪深300为标的模拟在周度和月度平仓规则附加"即时"平仓规则下,股票型结构化信托产品的运行情况。结果表明:这种附加"即时"平仓条款的平仓规则创新能够在控制下偏风险的情况下提高合约的整体收益率和降低平仓的概率,因此建议在股票投资信托产品的合约设计中可以添加该条款,从而使得合约的运行更加平稳。

This article uses the GARCH model and monte carlo simulation method to rehushen300 underlying trust product operates under the weekly and monthly closing rules with the addition of “ immediate” closing lines. The resutt shows that the closing rules innovation added withate” closing lines can increase the whole yield rate and reduce the probability of the closing of the trust product, also,tt can control the downside risk. As a result the article suggest to add the innovative term to the stock investment structured trust products,consequently the product will run more smoothly.