Analysis of the impact of retail structured products on the stability and risk of financial institutions and financial markets

零售结构性产品对金融机构和金融市场稳定性和风险的影响分析

• 批准号: 235791391
• 负责人: Professor Dr. Christian Koziol
• 金额: --
• 依托单位: Chair in Risk Management
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2013
• 资助国家: 德国
• 起止时间: 2012-12-31 至 2015-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/235791391?language=en
• 关键词: Analysis; impact; retail; structured; products

This research proposal focuses on structured financial products, which are tailored to the specific needs of retail investors und marketed in Germany using the term "Zertifikat". Retail investors lost an estimated EUR 700 mn of investments in such products in the course of the bankruptcy of the issuer Lehman Brothers in September 2008. This triggered a vibrant public debate in the media and in politics about retail structured products and their prudential regulation. The debate focused on how to improve transparency of the potential risks from the investors' perspective. The impact of retail structured products on the stability and risk of the issuing financial institution and on the underlying financial markets has not been discussed so far. However, this question is especially relevant with respect to potential risks in the future. This research proposal has the objective to analyze this critical relationship from a theoretical point of view as well as from an empirical perspective. The following specific research questions will be answered: Can financial institutions increase their firm value by issuing retail structured products? How do these products impact the optimal capital structure and probability of default of the issuer? How do the hedging activities of the issuers impact the underlying financial markets? How should the products and the issuers be regulated?

本研究提案重点关注结构性金融产品，这些产品是根据散户投资者的特定需求量身定制的，并在德国使用“Zertifikat”一词进行营销。在2008年9月发行人雷曼兄弟破产的过程中，散户投资者在此类产品上的投资损失了约7亿欧元。这在媒体和政界引发了一场关于零售结构性产品及其审慎监管的激烈辩论。辩论的重点是如何从投资者的角度提高潜在风险的透明度。零售结构性产品对发行金融机构的稳定性和风险，以及对相关金融市场的影响，至今尚未讨论。然而，这一问题与未来的潜在风险特别相关。本研究建议的目的是从理论的角度以及从实证的角度来分析这种关键的关系。本研究将回答以下具体的研究问题：金融机构能否通过发行零售结构性产品来增加其公司价值？这些产品如何影响发行人的最优资本结构和违约概率？发行人的对冲活动如何影响相关金融市场？应如何监管产品和发行人？

项目成果

From Wall Street to Main Street — How Banks Can Offload Their Asset Risk Onto Retail Investors

从华尔街到大街——银行如何将资产风险转嫁给散户投资者

• DOI: 10.1007/bf03396877
• 发表时间: 2015
• 期刊: Schmalenbach Business Review
• 影响因子: 2.2
• 作者: M. Crummenerl;C. Koziol
• 通讯作者: C. Koziol

Bank financing with structured products : how to make contingent convertibles work

• DOI: 10.5771/0042-059x-2014-2-108
• 发表时间: 2014
• 作者: Marc Crummenerl;C. Koziol