The Research On Product Innovation And Risk Management Of Fixed Income

In recent years, along with the steady growth of finance industry, fixed-incomesecurities product innovation has been accelerating. This requires, on one hand, thatinvestors should know clearly about the essentials of the produce innovation of thefixed-income securities, on the other, higher standard for its financial regulation.This thesis first introduces briefly the definition and the risk characteristics of thefixed-income securities, illustrates their basic types and the development situationsand also analyzes the innovative types of the fixed-income securities in the internetnew age. Then the thesis summarizes the reasons and points out how to avoid theinnovation of credit risk, and also states some other major ways of innovations of thefix-income securities including the innovation in the form of interest payments, theinnovation of trade categories and ways of trade, the innovation of term structure andinnovation of additional rights.And then the thesis gives a case analysis of the fixed-income securitiesderivatives innovation and currency market instruments produce innovation and sumsup the origin and its development situation, the contract and the pricing method oftreasury future, and analyzes its produce innovation and the risk structure in asystematic manner. Besides, it also makes a research on treasury future statisticalarbitrage on the basis of co-integration theory, and the result has shown that annualyield of the statistical arbitrage strategy is around6%under the circumstance of nottaking account of government bonds leverage. On the other hand, the thesis also takesYu’ebao as a representative in the currency market instrument innovation and studiesits product risk, legal regulation and its development trend.At the end, relevant proposals and suggestion are made for the produceinnovation and the risk management of the fix-income securities market.