分类号密级公开
UDC 编号20223550016
硕士学位论文
（专业学位）
融合彩虹雪球期权的ESG 指数挂钩型
结构化理财产品设计
申请人姓名黄海娜
导师姓名及职称张林，副教授
专业学位类别金融硕士
专业学位领域金融
培养单位金融学院
学位授予单位广东外语外贸大学
2024年5月25日
分类号密级公开
UDC 编号20223550016
广东外语外贸大学硕士学位论文
（专业学位）
融合彩虹雪球期权的ESG 指数挂钩型
结构化理财产品设计
The Design of ESG Index-linked Structured Financial Products
with Rainbow and Snowball Option
申请人姓名黄海娜
导师姓名及职称张林，副教授
专业学位类别金融硕士
专业学位领域金融
论文提交日期2024年5月25日
论文答辩日期2024年5月16日
答辩委员会屠新曙教授谢贞联
姚海祥教授
学位授予单位：广东外语外贸大学
摘要
近年来，全球可持续发展问题已经成为社会、经济，以及金融领域的焦点。
人们对地球环境、社会责任以及良好治理的关切日益增加，推动了企业和投资者
将可持续发展纳入核心关注点。这种趋势的崛起不仅源于道德和伦理原则，更因
其在商业和金融战略上的重要性。在这一新的背景下，金融工具已不再仅仅是资
本配置的手段，它们同时扮演着推动社会和环境变革的关键角色。金融产品和工
具的创新已成为实现可持续发展目标的关键途径之一。这些创新性金融产品的设
计不仅能够满足投资者对回报和风险的需求，还能够积极推动可持续发展议程。
然而，我国的结构化理财产品起步相对较晚，目前还在不断的发展和探索中。
存在的问题包括产品同质化严重、缺乏创新、信息披露制度不完善，以及投资门
槛较高等，这在一定程度上制约了我国结构化理财产品市场的发展。基于此背景，
本文借鉴国内外学者的研究成果，分析我国的宏观环境和结构性产品市场现状，
着眼于设计一种创新性可持续发展的金融产品，即融合彩虹雪球期权的ESG 指
数挂钩型结构化理财产品。该产品的固定收益部分投资于绿色债券，浮动收益部
分与恒生可持续发展企业指数、300ESG 指数以及500ESG 指数相挂钩。这种设
计不仅将资本配置与可持续发展目标相结合，还融合了衍生品市场的雪球和彩虹
期权的特点，为投资者提供了多元化的选择和风险管理工具。
通过对产品定价的分析，我们得出了产品的收益风险特征，并分析了产品对
市场波动的敏感性。最后，通过与市场中的理财产品做对比，分析本产品的优劣
势，并提出了适合的推广方案。这一创新性的ESG 指数挂钩型结构化理财产品
不仅能够满足投资者的需求，同时有望推动我国结构化理财产品市场的发展，为
可持续发展目标的实现提供了实质性支持。
关键词结构化理财产品；ESG 指数；彩虹期权；雪球期权
I
Abstract
In recent years,the issue of global sustainable development has come to the
forefront of the social,economic,and financial spheres.Growing concerns about the
Earth's environment,social responsibility and good governance have pushed
businesses and investors to integrate sustainable development into their core focus.
The rise of this trend stems not only from moral and ethical principles,but also from
its importance in business and financial strategies.In this new context,financial
instruments are no longer just a means of capital allocation;they also play a key role
in driving social and environmental change.Innovation in financial products and
instruments has become one of the key ways to achieve the SDGs.These innovative
financial products are designed not only to meet investors'needs for return and risk,
but also to actively promote the sustainable development agenda.
However,structured financial products in China started relatively late and are
still undergoing continuous development and exploration.Problems include serious
product homogenisation,lack of innovation,imperfect information disclosure systems
and high investment thresholds,which to a certain extent restricts the development of
China's structured financial products market.Based on this background,this paper
draws on the research results of scholars at home and abroad,analyses China's macro
environment and the current situation of structured product market,and focuses on the
design of an innovative and sustainable financial product,namely ESG index-linked
structured wealth management product integrating rainbow snowball options.The
fixed income portion of the product is invested in green bonds,while the floating
income portion is linked to the Hang Seng Corporate Sustainability Index,300ESG
Index and 500ESG Index.This design not only combines capital allocation with
sustainability objectives,but also integrates the features of snowball and rainbow
options in the derivatives market,providing investors with diversified choices and risk
management tools.
By analysing the pricing of the product,we derive the return-risk characteristics
of the product and analyse its sensitivity to market volatility.Finally,we analyse the
advantages and disadvantages of this product by comparing it with financial products
in the market and propose a suitable promotion plan.This innovative ESG
index-linked structured financial product not only meets the needs of investors,but is
also expected to promote the development of China's structured financial product
II
market and provide substantial support for the realisation of sustainable development
goals.
Keywords Structured Financial Products;ESG Index;Rainbow Options;Snowball
Options
III