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

这项研究建议重点关注结构性金融产品，这些产品是为散户投资者的特定需求量身定做的，在德国销售时使用的是“Zertifikat”一词。在2008年9月发行人雷曼兄弟破产期间，散户投资者在这类产品上损失了约7亿欧元的投资。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公开辩论。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基础金融市场的影响迄今尚未讨论。然而，这个问题与未来的潜在风险尤其相关。本研究方案的目的是从理论和实证两个角度来分析这一关键关系。以下具体的研究问题将得到解答：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？这些产品对发行人的最优资本结构和违约概率有何影响？发行人的套期保值活动对基础金融市场有何影响？产品和发行人应该如何监管？

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?