i 摘要 自2004年光大银行在国内发行第一款理财产品以来，我国商业银行理财业 务一直处于中高速发展阶段。但随着2016年基准利率水平不断下调，以及资本 市场长期持续“资产荒”的出现，商业银行理财产品收益率也出现断崖式下跌，由 过去的5%左右一直跌破4%。随着2018年4月27日中国人民银行发布《关于 规范金融机构资产管理业务的指导意见》，被称为“史上最严”资产管理新规落地， 对银行理财产品提出诸多新的要求，迫使银行理财业务必须转型发展，传统固定 收益类理财产品可能会逐渐减少，理财产品收益不确定性将会增加。在这一市场 背景下，通过合理的产品结构设计将理财产品收益与其他债权类、股权类等标的 资产进行挂钩，根据挂钩标的资产表现确定理财产品收益，使用技术手段对冲金 融风险的结构性理财产品势必会越来越受到投资者青睐。识别结构性理财产品收 益影响因素，分析Y银行与其他商业银行相比影响因素的不同，查找Y银行结 构性理财产品收益较低的原因，提出相应对策与建议，对Y银行发展结构性理 财产品，保证Y银行理财业务长期可持续健康发展具有重要意义。 本文在总结归纳国内外学者关于结构性理财产品研究成果的基础上，结合投 资组合理论、资本资产定价模型理论、套利定价模型理论等金融学经典理论，以 Y银行为研究对象，对其结构性理财产品收益影响因素进行研究。首先，本文使 用定性分析的方法对结构性理财产品的收益影响因素进行识别，之后，选取国内 商业银行在售的结构性理财产品为样本，使用计量分析法对识别出的收益影响因 素的影响力大小进行测度，确认结构性理财产品收益主要影响因素为发行主体、 标的资产、期限长短与结算货币。然后，对Y银行结构性理财产品发行现状进 行了阐述，将Y银行结构性理财产品收益与其他商业银行进行比较，发现Y银 行结构性理财产品收益相对较低，造成这种情况的表象原因是挂钩标的资产品种 单一，深层次原因是与发行主体银行类型相关的风险偏好相对保守、产品研发能 力较弱与专业人才结构不适应。针对导致Y银行结构性理财产品收益较低的原 因，本文认为Y银行可以通过提供多样化的挂钩标的资产、增强开发能力、调 整专业人才结构、提升风险防控能力四个方面来提升结构性理财产品收益。 关键词：Y银行；结构性理财产品；收益 Y银行结构性理财产品收益影响因素研究 ii Abstract Since 2004, when Everbright Bank issued its first wealth management product in China, China's commercial bank wealth management business has been in the middle and high-speed development stage. However, with the continuous downward adjustment of the benchmark interest rate and the long-term “asset shortage” of the capital market in 2016, the yield of commercial bank wealth management products has also fallen sharply, which has been falling from the past 5% or so. 4%. On April 27, 2018, with the People's Bank of China promulgating the "Guiding Opinions on Regulating Asset Management Business of Financial Institutions", the new asset management regulations, which have been known as "the most stringent in history", finally landed on bank wealth management products. A number of new requirements have forced the bank's wealth management business to transform and develop. The traditional fixed-income wealth management products will gradually decrease, and the uncertainty of the profitability of wealth management products will increase. In this market context, through the rational product structure design, the income of wealth management products is linked with other debt assets, equity and other underlying assets, the income of wealth management products is determined according to the performance of the underlying assets, and the structural financial management is used to hedge financial risks. Products are bound to be increasingly favored by investors. Recognise the factors affecting the income of structured wealth management products are identified. By comparing the deficiency of Y Bank compared with other commercial banks, the Y bank structure is found. The reasons for the low income of wealth management products, put forward corresponding countermeasures and suggestions, develop the structural wealth management products for Y Bank, deal with the opportunities and challenges of the external environment for Y Bank's wealth management business, and ensure the long-term sustainable and healthy development of Y Bank's wealth management business. Significance. On the basis of summarizing the domestic and foreign scholars' research results on structural wealth management products, this paper combines portfolio theory, Abstract iii capital asset pricing model theory, arbitrage pricing model theory and other classic financial theories, with Y Bank as the research object and its structurality. The issue of the factors affecting the income of wealth management products was studied. Firstly, this paper uses the qualitative analysis method to identify the factors affecting the income of structured wealth management products. After that, it selects the structural wealth management products sold by domestic commercial banks as samples, and uses the quantitative analysis method to influence the identified factors of revenue. The size of the force was measured, and the main influencing factors of the income of the structured wealth management products were the issuer, the underlying assets, the term length and the settlement currency. Then, the status quo of Y-bank structured wealth management products was elaborated, and the income of Y-bank structured wealth management products was compared with other commercial banks in combination with the previously identified influencing factors. It was found that the Y-bank structured wealth management products had relatively low returns. The reason for this situation is that the variety related to the underlying asset is single. The deeper reason is that the risk appetite related to the issuer's bank type is relatively conservative, the product R&D capability is weak, and the professional talent structure is not suitable. In view of the reasons for the low income of Y Bank's structured wealth management products, this paper believes that Y Bank can enhance its structural financial management by providing diversified assets under the target, enhancing development capabilities, adjusting the structure of professional talents, and improving risk prevention and control capabilities. product revenue. Keywords: Y bank; structured wealth management products; income Y银行结构性理财产品收益影响因素研究 iv 目 录 第1章 绪论.......................................................................................................................... 1 1.1研究的背景及意义................................................................................................... 1 1.1.1研究背景 ........................................................................................................................... 1 1.1.2研究意义 ........................................................................................................................... 2 1.2国内外研究综述....................................................................................................... 2 1.2.1国外研究综述 ................................................................................................................... 3 1.2.2国内研究综述 ................................................................................................................... 5 1.2.3国内外研究述评 ............................................................................................................... 8 1.3研究内容及研究方法............................................................................................... 8 1.3.1研究内容 ........................................................................................................................... 8 1.3.2研究方法 ......................................................................................................................... 10 1.4创新点与不足......................................................................................................... 11 1.4.1创新点 ............................................................................................................................. 11 1.4.2不足 ....................................................................................................................