- 學位論文
大陸共同基金創新型槓桿商品-分級基金評價
Leverage Innovation for Mutual Funds in Mainland China- Pricing Classified Funds
摘要
大陸共同基金市場總資產規模已達 2.1 兆人民幣(2011 年底)，約為台灣共同基金規模的五倍大。雖然發展歷程僅短短十三年(1998-2011 年)，但幾乎所有類型之基金均已齊全，其中出現於2007 年的分級基金更是全球鮮少見到的創新之舉，截至2011 年底，已有三十檔分級基金發行，總規模超過624 億人民幣，但相關的文獻除藍新仁(2010)的介紹性文章以及大陸部分期刊敘述性的介紹外，尚未有聞。所謂分級基金乃是將一個股票型(或指數型、債券型、平衡型)切割成固定收益級與槓桿收益級二個子基金，二者共同承擔母基金的收益與風險，收益分配的型態有多樣化的設計，以迎合不同需求的投資人。 本研究以修正的二項式選擇權評價法來評估分級基金之價值。評價模型可以處理各種不同的收益分配規則，除可評價現有的分級基金外，也可在設計不同的分級基金時，做為規劃階段的先行評估工具。本研究也將進行多方面的敏感度分析，包括各級別之規模占比、到期日、固定收益級之利率和母基金資產的波動性等對基金價值的影響。 就學術的角度而言，本研究是第一個利用財務工程技巧建立分級基金評價模型的研究；就實務的角度而言，本文除提供投資人及業者做為投資決策與風險控管的參考外，國內業者也可用以研發類似產品。
並列摘要
The total assets under management of mutual funds in China has amounted to RMB 2.1 trillion by the end of 2011, which is around five times as large as that of Taiwan. The classified funds was introduced in 2007 is by far the most innovative product, which is rarely seen even in developed countries. Up to end of 2011, there have been seen thirty classified funds launched with total asset size more than RMB 62.4 billion. The basic structure of a classified fund contains two tranches of sub-funds: fixed income tranche (FIT) and leveraged income tranche (LIT). The two sub-funds share the return and risk of the parent fund according to a set of predetermined rules. Our project tries to evaluate the value and risk of various classified funds via a modified binomial option pricing model. The model is capable of accommodating various sharing rules, which is useful in pricing existing classified funds as well as in structuring new types of classified funds. Sensitivity analysis from different angles will also be conducted, which include the changes in the shares of sub-fund, participation provision, promised yield to FIT, asset volatility and fund maturity. The resulting changes in fund value will be documented and discussed. Academically, this project represents the first research concentrated on modeling classified funds using financial engineering techniques. Practically, the models developed in this project will help investors and fund companies in investment decision marking and risk management. Local fund business may also be benefitted when developing similar fund products.