摘要
本文以某大型国有银行理财产品为样本,运用相关性分析、随机森林回归方法及VAR模型探索构建理财产品定价中枢及溢价的量化模型。研究认为,商业银行理财产品定价中枢与央行利率、市场利率和银行利率均具有相关性,并且市场利率对理财产品定价中枢的影响程度最大;商业银行理财产品溢价与市场溢价相关性不明显,但是2016年以来均具有一定正相关性。基于此,本文构建了理财产品定价中枢和溢价量化模型,并提出策略建议。
Based on the wealth management products（WMPs） of a large state-owned bank, the paper constructs the WMPs pricing model and premium model useing correlation analysis, Random Forestregression method and VAR model. Research shows that the WMPs price is related to the central bank interest rates,market interest rates and commercial bank interest rates, and market interest rates have the greatest impact on the WMPs pricing;Besides,the correlation between the premium price of WMPs and market interest premium is not obvious.However, since 2016, there is a certain positive correlation. Based on this, this paper constructs the quantitative model about the central and premium price of WMPs, and puts forward some strategic suggestions.
出处
《投资研究》
CSSCI
2017年第10期4-18,共15页
Review of Investment Studies
基金
教育部哲学社会科学研究重大课题攻关项目<中国经济发展新常态的内涵
特征及其演变逻辑研究>(15JZD0011)的阶段性成果之一
