发帖
雷达卡
英文标题：
《Return Optimization Securities and Other Remarkable Structured
Investment Products: Indicators of Future Outcomes for U.S. Treasuries?》
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作者：
Donald St. P. Richards
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最新提交年份：
2018
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英文摘要：
We analyze four structured products that have caused severe losses to investors in recent years. These products are: return optimization securities, yield magnet notes, reverse exchangeable securities, and principal-protected notes. We describe the basic structure of these products, analyze them probabilistically using the Law of Total Expectation, and assess the practical implications of buying them in the mid-2000s. By estimating expected rates of return under various scenarios, we conclude in each case that buyers were likely to experience grave difficulties from the start. By inspecting various prospectuses, we detect that many structured products were designed to the detriment of buyers and to the advantage of the issuing banks and broker-dealers. Therefore, we find it difficult to understand why any investment advisor, in exercising fiduciary care of clients\' funds, would have advised a client to purchases these products in the mid-2000\'s. In light of these results, we fear that the on-going worldwide financial crisis will be lengthened because of these structured products and others even more arcane than the ones considered here. We note that problems caused by structured products have increased investors\' fears about the economy and the financial markets, causing many of them to purchase U.S. Treasury securities at negative real-interest rates. This has caused increases in the prices of U.S. Treasuries to record levels, and we fear for the day when this trend reverses.
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中文摘要：
我们分析了近年来给投资者造成严重损失的四种结构性产品。这些产品包括：收益优化证券、收益磁债券、反向可交换证券和本金保护债券。我们描述了这些产品的基本结构，使用总期望定律对其进行概率分析，并评估在2000年代中期购买这些产品的实际影响。通过估计各种情况下的预期回报率，我们得出结论，在每种情况下，买家从一开始就可能经历严重的困难。通过检查各种招股说明书，我们发现许多结构性产品的设计损害了买家的利益，也有利于发行银行和经纪交易商。因此，我们很难理解为什么任何投资顾问在对客户的资金进行信托关怀时，会建议客户在2000年中期购买这些产品。鉴于这些结果，我们担心正在进行的全球金融危机会因为这些结构性产品和其他比这里考虑的更为神秘的产品而延长。我们注意到，结构性产品引发的问题加剧了投资者对经济和金融市场的担忧，导致许多投资者以负实际利率购买美国国债。这导致美国国债价格上涨至创纪录水平，我们担心有一天这种趋势会逆转。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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