基于互联网金融模式的结构性理财产品风险度量及应用研究

Aiming at that structured financial products for the portfolio of options and fixed income products，the project carried out research on risk measurement theory, method and application for structured financial products based on internet financial models, and established integrated risk measuring models for the portfolio consists of linear and nonlinear assets under the internet financial environment when dependences among different risk factors were depicted by different distributing types. On this basis, we applied the numerical simulation techniques, such as the rare-event simulation techniques and intelligent control techniques, and measured the risk of structured financial products. The concrete new ideas are as follows. Firstly, we constructed integrated market risk and credit risk measuring models for structured financial products under the internet financial environment with the log price changes in underlying assets having multi-factor jump-diffusion process. Secondly, we embedded credit risk factors into the market risk measurement model on options portfolio, and applied the rare-event simulation techniques for effective numerical simulation, and developed integrated risk measuring numerical simulation models for structured financial products based on internet financial models with multidimensional risk factors. Thirdly, we built liquidity risk measurement models for structured financial products based on internet financial models. Lastly, in view of the feature of internet finance being very fast in joining and parting, we applied intelligent computing and data mining techniques for controlling intelligently risk for structured financial products. Moreover, we combined with specific cases and used the research results of this project for internet financial market

针对由期权和固定收益类产品组合而成的结构性理财产品，本项目基于互联网金融模式对结构性理财产品进行风险度量理论、方法及应用研究，建立基于互联网金融环境下用不同分布类型来刻画风险因子相依关系的线性和非线性资产组合的风险集成度量模型。进而应用稀有事件模拟和智能化风险控制等技术，度量出结构性理财产品的风险。体现：（1）从市场风险因子和信用风险因子相依关系出发，构建互联网金融环境下多元跳跃扩散过程的结构性理财产品市场风险和信用风险集成度量模型；（2）把信用因子嵌入期权组合市场风险度量模型，运用稀有事件模拟技术进行有效数值模拟，构建基于互联网金融模式的多维风险因子结构性理财产品风险集成度量的数值模拟模型；（3）建立基于互联网金融模式的结构性理财产品流动性风险度量模型；（4）针对互联网金融聚散迅速的特点，运用智能计算与数据挖掘技术，对结构性理财产品风险进行智能化控制，并结合具体案例运用在互联网金融市场。

项目背景：鉴于互联网金融投资者情绪对互联网理财产品市场回报独特影响机制，构建基于互联网金融特征的投资者情绪；在此基础上，建立基于互联网金融环境下用不同分布类型来刻画风险因子相依关系的线性和非线性资产组合的风险集成度量模型，进而应用稀有事件模拟和智能化风险控制等技术，度量结构性理财产品风险。.主要研究内容：一是投资者情绪与互联网理财产品回报；二是互联网金融特征与互联网金融理财产品定价影响因素；三是研究结构性理财产品内嵌期权定价问题；四是导致结构性理财产品价值损益变化的相关风险因子行为；五是用不同分布类型来刻画风险因子相依关系的资产组合风险度量模型及应用；六是基于DBN的再分类支持向量机集成学习模式在数据不平衡信用分类中应用。.与本项目相关研究成果发表在Decision Sciences、Journal of International Financial Markets, Institutions and Money、International Review of Financial Analysis、Energy Economics、Pacific-Basin Finance Journal、International Journal of Forecasting、Emerging Markets Review、International Review of Economics & Finance、Finance Research Letters、Emerging Markets Finance and Trade、《管理科学学报》、《经济研究》、《中国科学:数学》、《管理世界》、《系统工程理论与实践》、《中国管理科学》、《数量经济技术经济研究》等国内外重要管理期刊上，被SCI/SSCI收录53篇，项目负责人排名第一获省部级奖3项（二等奖1项、三等奖奖2项）。入选国际系统与控制科学院院士1名、国家百千万人才工程1名、国家有突出贡献中青年专家1名、国务院政府特殊津贴专家1名、浙江省有突出贡献中青年专家1名。.研究负责人领衔“金融创新与普惠金融研究中心”、“智能金融产教融合基地”分别入选浙江省新型高校智库、浙江省省级产教融合示范基地，相关研究报告获国家领导人汪洋和浙江省委书记车俊等肯定性批示4个，编制1个地方金融标准。