Risk Assessment And Parameter Setting Of The Stock Investment Structured Trust

Stock investment structured trust is a product that only invest in the stock market.It has Priority and inferior,the design of the two ranks can satisfy different demands of the investors.From the current situation,because of the unsound of the Laws and regulations、incomplete of the regulatory system,there occurs a lot of problems in the operation of this product.For example,the raving growth of the Umbrella Trust in 2015,this product has high leverage and it’s private in operation,so it’s hard for the regulatory to supervise,because of these reasons this product has high risks.According to the problems above,this paper captures the key point of parameters and rules of the products,the emphasis of this paper is to how to set the leverage ratio and Open line,also the paper introduce the weekly and monthly unwind rules to innovate the unwind the rule of the product,the aim of this paper is to give the guidance to the organizations,so they can design the product more reasonable.The main model of the paper is GARCH model,and the main method is Monte Carlo Simulation,the underlying asset of the paper is Hushen300,and when researching the downside risk,this paper use the indicators VaR and CVaR.There are three main parts of this paper.In the first part,the paper researches the income of the Priority and inferior investors,prices the rights of the two investors;in the second part,this paper research the risk structure of the market,and chooses the moderate model;in the third part,simulate and analyze the how to set the leverage ratio and open line,and innovate the unwind the rule of the product,then analyzes the rationality of this innovation.From the researches above,the conclusion is that the high risk preference inferior investors should use the higher leverage ratio and lower Open line,the low risk preference inferior investors should use the lower leverage ratio and higher Open line,in the part of the Unwind the rule of the product,the weekly and monthly Unwind rules have great feasibility,and the innovation that adds the “immediate” rules can lock the downside risk in a certain range,at the same time it can improve the yield and reduce the probability of close of the product.