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The Research on the Effect Factors of Financial Products Yield of Commercial Bank of China

Author: XuZhiGao
Tutor: DiLiHong
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Money Income Factors Empirical Analysis
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 1059
Quote: 1
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Abstract


With China's rapid development bank financial market, more and more investors will be financial products as an important investment products, investors party to broaden investment channels. On the other hand enriched the bank's business model for the bank opened up new sources of earnings. Financial products revenue situation? Gain factors in the end what? Article has conducted some theoretical explorations and empirical test. Firstly, from the basic theory of finance, banking and wealth management business development and product pricing three parties undertook a review of the relevant literature. Then the way to obtain benefits from the customer, the product structure and product perspective of several currencies classify financial products, in order to better analyze the various factors on the impact of different financial products revenue if there were differences. This paper focuses on the subsequent return financial products theoretical analysis of influencing factors: the underlying asset yield impact. This article discusses the types of underlying assets, and analyzes the structure of a single type of financial products and financial products revenue structure, on the basis of analysis of the underlying asset gains on financial products revenue impact paths. Risk is the basis for pricing financial assets, this paper analyzes credit risk, interest rate risk, currency risk, stock market risk and other possible risk factors, namely, that the different types of financial products, the main risk factors faced: the major asset classes such as credit Risk factors for the credit risk, notes the major asset classes risk factors are interest rate risk, exchange rate linked financial products are mainly affected by exchange rate fluctuations, while the purchase of new shares classes and equity-linked financial products is a major risk factor for the securities market risk. The third factor of mobility. Liquidity constraints of financial products there are three main factors which side: deadline early termination rights and can be pledged sex. Term financial products to consider factors in addition to the management of product outside the time limit, the need to consider the product sales period, the value date, settlement date and other terms may be different rationale 'fiscal impact of product revenue. Next This paper focuses on the impact of early termination rights. Right of early termination of the investors or the issuing bank before the expiry of the financial products have the right to terminate the financial agreement. Equivalent to a right of early termination option, with the option to pay a premium. We take advantage of arbitrage theory redemption rates, expected return and reinvested earnings analysis of the relationship between the three, based on the early termination rights discussed the value of financial products as well as its expected return effect: on the duration and currency and other conditions are the same, the bank has the right to early termination product gains above no right of early termination of products, investors have the right to early termination of the product is no early termination income levels below the right products. This paper also analyzes the bank's management capabilities and homogeneous product revenue for the financial products revenue impact of bank management capabilities include the ability for the pricing of financial products and the subsequent financial management capacity, the size of the ability of these two different types of financial products there are significant differences in income effects, such as stronger pricing power, ensuring income financial products, the lower the premium; follow the stronger capital management, active management of financial products revenue is higher. The major impact of homogeneous product substitution effect from the standpoint of theory, its impact on the financial products revenue is negative. However, due to many homogeneous product also financial products investment targets, the actual impact of the direction is not an effective measure. Based on the theoretical analysis, the paper return financial products through the establishment of influencing factors model, and use financial products to guarantee a return on the theoretical analysis of data related to an empirical test. Firstly, the possible existence of multicollinearity several homogeneous product revenue by principal component factor analysis, the use of three principal components extracted with early termination rights management period, management ability, as well as foreign exchange risk as explanatory variables together to banks financial product yield as explanatory variables for regression analysis showed: the model as a whole through the test of significance. Homogeneous product revenue represents the main component factors F1 and F2 are in the 1% confidence level via significant test, and coefficient is negative, indicating a homogeneous product and financial benefits of the substitution effect is significant. Management period at the 10% confidence level through the test of significance, and its impact on financial products gain coefficient is positive, in line with the term structure of forward earnings. Early termination of the right to return financial products have a significant impact, the bank has the right to early termination of financial products revenue impact is positive, the investor has the right to early termination of the impact is negative, demonstrated in front of the holder of the theoretical analysis mentioned earlier termination Select the option to pay the appropriate option fee assumptions. Foreign exchange risk at the 1% significance level through the test of significance, indicating a yield of foreign currency financial products should reflect the risk of foreign exchange exposure compensation. Bank management capacity in the variable at the 1% level of confidence through the test of significance, indicating that bank management capabilities for financial products revenue also has a significant impact. Theoretical analysis and empirical test results not only for the pricing of financial products to provide a reference for the financial product innovation also provides a theoretical basis, but also to provide a basis for selection of investors.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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