Bank financing real-time valuation method based on position holding method and market index

Abstract

The invention discloses a bank financial management real-time valuation method based on a position holding method and market indexes. The method comprises the following steps: collecting a historical net value sequence of bank financial management products; searching index historical market information with real-time market information; aligning the bank financial management product with the index closing price data sequence according to the date and calculating the return rate; obtaining a most relevant market index corresponding to bank financial management; obtaining the first ten asset details disclosed by the seasonal report and the annual report of the financial management product of the bank; acquiring market data of the first ten types of position assets with a daily line; calculating a dynamic weight according to the daily return rate change; and estimating a current-day real-time net value based on the previous-day weight. According to the method, the accuracy and the reliability of valuation of various types of position underlying assets are improved, the flexibility and the adaptability of the valuation process are enhanced, and a more scientific and efficient bank financial management real-time valuation solution is provided for financial institutions and investors.

Description

Technical Field

[0001] The present invention belongs to the technical field of bank financial management valuation, and specifically is a real-time valuation method for bank financial management based on a position method and a market index. Background Art

[0002] With the full implementation of the new asset management regulations, the bank wealth management market is undergoing profound changes. The new regulations clearly require wealth management products to transform to net value, break the rigid redemption, and realize the true transmission of risks and returns. In this context, the traditional amortized cost method is no longer applicable to the valuation of bank wealth management products because it cannot reflect market fluctuations and risk changes in a timely manner. On the contrary, the fair value method has become a valuation method encouraged by regulators because it can more accurately reflect the true value of assets in the market.

[0003] In addition, with the rapid development of the fund industry, its mature valuation system and technical means have provided new ideas for the valuation of bank wealth management products. Fund valuation methods, such as market value method and cost method, have been widely used in practice and have shown high accuracy and timeliness. Therefore, applying fund real-time valuation methods to the real-time valuation of bank wealth management products not only meets the requirements of the new asset management regulations, but also helps to improve the market transparency and risk management level of bank wealth management products.

[0004] Among the existing technical solutions, although the fair value method and real-time fund valuation methods provide new paths for the real-time valuation of bank wealth management products, they still face challenges in practical application. The fair value method is limited by market activity and transaction price accuracy, and there is uncertainty in the valuation of non-standard assets and inactive market products; and although the real-time fund valuation method is mature, it needs to be customized and optimized for the unique structure, strategy and risk characteristics of bank wealth management products to ensure the accuracy and applicability of the valuation.

[0005] Limitations of the fair value method: The fair value method is highly dependent on the market activity, especially the accuracy and availability of transaction prices. However, for non-standard assets or products with low market liquidity, their transaction data is scarce and prices fluctuate greatly, making it difficult to obtain reliable fair values, increasing valuation uncertainty. At the same time, bank wealth management products often include non-standard assets, which often lack standardized trading markets and transparent price information. Therefore, when using the fair value method for valuation, it is easy to get into trouble due to the lack of sufficient market references and fail to accurately reflect the true value of the assets.

[0006] Insufficient adaptability of real-time fund valuation methods: Although real-time fund valuation methods are relatively mature in market applications, when directly applied to bank wealth management products, it is necessary to fully consider their unique product structure, investment strategy and risk characteristics. Existing real-time fund valuation methods may not fully meet this demand, resulting in valuation results that cannot accurately reflect the true risk and value of the product in some cases. Summary of the invention

[0007] In view of the above problems, the present invention is proposed to provide a real-time valuation method for bank wealth management based on the position method and market index, which overcomes the above problems or at least partially solves the above problems.

[0008] To achieve the above object, the present invention adopts the following technical solutions:

[0009] A real-time valuation method for bank wealth management based on position method and market index, the method comprising:

[0010] S1. Collect historical net value series of bank financial products;

[0011] S2. Collect historical market information of indices with real-time market information;

[0012] S3. Align the bank financial products and index closing price data series by date and calculate the yield;

[0013] S4. Obtain the most relevant market index corresponding to bank wealth management;

[0014] S5. Obtain the details of the top ten assets disclosed in the quarterly and annual reports of bank wealth management products;

[0015] S6. Obtain the daily market data of the top ten holding assets;

[0016] S7. Calculate dynamic weights based on daily rate of return changes;

[0017] S8. Estimate the real-time net value of the day based on the weight of the previous day.

[0018] Optionally, in step S4, the most relevant market index corresponding to bank wealth management is obtained by calculating the Spearman correlation coefficient.

[0019] Optionally, in step S5, the first ten asset details disclosed in the quarterly report and annual report of the bank wealth management product are obtained, including asset name, asset type and holding ratio.

[0020] Optionally, step S7 includes:

[0021] S71. According to the daily market data obtained in step S6, determine whether the daily market data of each asset has been obtained;

[0022] S72. Among the assets for which daily quotes are not available, for the four types of assets, namely preferred stocks, bonds, insurance investment accounts and trusts, take their expected rate of return and interest calculation period and calculate them to the daily rate of return;

[0023] S73. Based on the daily yields of different underlying assets, the daily underlying asset weights are dynamically converted according to the following formula;

[0024]

[0025] Where: w i is the asset weight; m i is the weight ratio of the i-th asset on the previous day, r i is the daily return of the ith asset.

[0026] Optionally, in step S8, the weight of each asset on day t-1 and the real-time rise and fall of each asset on day t are predicted, the real-time yield of the bank wealth management product on day t is estimated, and the real-time net value of the bank wealth management product is estimated.

[0027] Optionally, step S8 includes estimating the valuation increase or decrease and net asset value of the bank wealth management product at the current time point based on the previous day's weight file, combined with asset holdings and real-time stock, bond, fund, market index increase or decrease and the previous day's net asset value.

[0028] In summary, due to the adoption of the above technical solution, the beneficial effects of the present invention are:

[0029] The present invention is based on the existing technical solutions and integrates the market method and income method of the position method in the real-time valuation of funds with the fair value method, aiming to overcome the difficulties faced by traditional valuation methods in the field of bank wealth management. The use of the position method makes up for the limitations of the fair value method in the valuation of non-standard assets. The use of the fair value method improves the accuracy and reliability of the valuation of various types of underlying assets, and also enhances the flexibility and adaptability of the valuation process, providing financial institutions and investors with a more scientific and efficient real-time valuation solution for bank wealth management. BRIEF DESCRIPTION OF THE DRAWINGS

[0030] Figure 1 A schematic diagram of a real-time valuation method for bank wealth management based on the position method and market index provided in an embodiment of the present application. DETAILED DESCRIPTION

[0031] In order to make the purpose, technical solutions and advantages of the embodiments of the present invention clearer, the technical solutions in the embodiments of the present invention will be clearly and completely described below in conjunction with the drawings in the present invention. Obviously, the described embodiments are part of the embodiments of the present invention, rather than all the embodiments. Based on the embodiments in the present invention, all other embodiments obtained by ordinary technicians in this field without making creative work are within the scope of protection of the present invention.

[0032] See also Figure 1 This embodiment provides a real-time valuation method for bank financial management based on the position method and market index, the method comprising:

[0033] S1. Collect the historical net value series of bank financial products.

[0034] In step S1, the bank financial management net value table T1 is obtained through database technology as follows:

[0035]

[0036] S2. Collect historical market information of indices with real-time market information, as shown in the following table:

[0037]

[0038]

[0039] S3. Align the bank wealth management products and index closing price data series by date and calculate the yield.

[0040] In step S3, the closing price yield sequence is calculated and aligned with the net value yield sequence of bank wealth management products in the date dimension. After conversion into the yield sequence, the table data is as follows:

[0041]

[0042]

[0043] S4. Obtain the most relevant market index corresponding to bank wealth management.

[0044] In step S4, the most relevant market index corresponding to bank financial management is obtained by calculating the Spearman correlation coefficient.

[0045] Here, the correlation coefficient is calculated between the Qingdao Rural Commercial Bank's Chuangfu No. 672 bank wealth management yield series and the Shanghai Composite Index yield series, 1-3 year treasury bond index yield series and other index yield series during the same period. The highest correlation coefficient is the 1-3 year treasury bond yield index, with a correlation coefficient of 0.95232.

[0046] S5. Obtain the details of the first ten assets disclosed in the quarterly and annual reports of bank wealth management products.

[0047] In step S5, the first ten asset details disclosed in the quarterly report and annual report of the bank's wealth management product are obtained, including asset name, asset type and holding ratio.

[0048] Qingdao Rural Commercial Bank Chuangfu No. 672 Bank Wealth Management published the following holding information during the 20231231 reporting period:

[0049]

[0050] S6. Obtain the market data of the top ten holding assets with daily lines.

[0051] S7. Calculate dynamic weights based on daily yield changes.

[0052] Step S7 includes:

[0053] S71. According to the daily market data obtained in step S6, determine whether the daily market data of each asset has been obtained.

[0054] S72. Among the assets for which daily quotes are not available, for the four types of assets, namely preferred stocks, bonds, insurance investment accounts and trusts, take their expected yields and interest calculation periods and calculate them to the daily yields.

[0055] S73. Based on the daily yields of different underlying assets, the daily underlying asset weights are dynamically converted according to the following formula;

[0056]

[0057] Where: w i is the asset weight; m i is the weight ratio of the i-th asset on the previous day, r i is the daily return of the ith asset.

[0058] Specifically: In step S7, the yield strategy is calculated based on the changes in major asset types, the daily estimated holding ratio weights of the underlying holdings are obtained, and the remaining weights less than 100 are assigned to the market factor.

[0059] For cash, the daily return is considered to be 0.

[0060] For assets such as insurance, asset management products, and trusts, you need to find the basic information table to convert their expected rate of return to the corresponding date.

[0061] For assets such as stocks, bonds, and funds, the daily yield data obtained from S5 needs to be merged to the corresponding date.

[0062] For the part where the sum of all asset classes does not exceed 100, the weight is allocated to the market factor, which corresponds to the 1-3 year Treasury bond index.

[0063] For this investment, 37% of the asset weight should be allocated to the market factor. Taking into account the impact of daily asset return changes, the weight needs to be renormalized.

[0064] For example, if you need to calculate the weight of the underlying assets of this financial management on 202400401, you need to calculate the weight changes of each asset in turn according to the formula. For example, the daily change of Shandong Tongda Financial Leasing's 357-day interbank loan is 20*(1+0), the daily change of Bosera ETF is 5*(1+3%),... The daily change of market factors (1-3 year treasury bonds) is 37*(1+0.01%).

[0065] In the final normalized weights, the weight of Shandong Tongda Financial Leasing's 357-day interbank loan is: 20*(1+0) / (20*(1+0)+5*(1+3%)+37*(1+0.01%)).

[0066] S8. Estimate the real-time net value of the day based on the weight of the previous day.

[0067] In step S8, the weight of each asset on day t-1 and the real-time increase or decrease of each asset on day t are predicted, the real-time yield of the bank wealth management product on day t is estimated, and the real-time net value of the bank wealth management product is estimated.

[0068] Step S8 includes estimating the valuation increase or decrease and net asset value of bank wealth management at the current time point based on the previous day's weight file, combined with asset holdings and real-time stock, bond, fund, market index increase or decrease and the previous day's net asset value.

[0069] This embodiment is based on the existing technical solution and integrates the position method in fund real-time valuation with the market method and income method of the fair value method, aiming to overcome the difficulties faced by traditional valuation methods in the field of bank wealth management. The use of the position method makes up for the limitations of the fair value method in the valuation of non-standard assets. The use of the fair value method improves the accuracy and reliability of the valuation of various types of underlying assets, and also enhances the flexibility and adaptability of the valuation process, providing financial institutions and investors with a more scientific and efficient real-time valuation solution for bank wealth management.

[0070] The above contents are further detailed descriptions of the present invention in combination with specific preferred embodiments, and it cannot be determined that the specific implementation of the present invention is limited to these descriptions. For ordinary technicians in the technical field to which the present invention belongs, several simple deductions or substitutions can be made without departing from the concept of the present invention, which should be regarded as falling within the protection scope of the present invention.

Claims

1. A real-time valuation method for bank financial management based on position method and market index, characterized in that: The method comprises: S1. Collect historical net value series of bank financial products; S2. Collect historical market information of indices with real-time market information; S3. Align the bank financial products and index closing price data series by date and calculate the yield; S4. Obtain the most relevant market index corresponding to bank wealth management; S5. Obtain the details of the top ten assets disclosed in the quarterly and annual reports of bank wealth management products; S6. Obtain the daily market data of the top ten holding assets; S7. Calculate dynamic weights based on daily rate of return changes; S8. Estimate the real-time net value of the day based on the weight of the previous day.

2. A real-time valuation method for bank financial management based on position method and market index as claimed in claim 1, characterized in that: In step S4, the most relevant market index corresponding to bank financial management is obtained by calculating the Spearman correlation coefficient.

3. A real-time valuation method for bank financial management based on position method and market index as claimed in claim 1, characterized in that: In step S5, the first ten asset details disclosed in the quarterly report and annual report of the bank's wealth management product are obtained, including asset name, asset type and holding ratio.

4. A real-time valuation method for bank financial management based on position method and market index as claimed in claim 1, characterized in that: Step S7 includes: S71. According to the daily market data obtained in step S6, determine whether the daily market data of each asset has been obtained; S72. Among the assets for which daily quotes are not available, for the four types of assets, namely preferred stocks, bonds, insurance investment accounts and trusts, take their expected rate of return and interest calculation period and calculate them to the daily rate of return; S73. Based on the daily yields of different underlying assets, the daily underlying asset weights are dynamically converted according to the following formula; Where: w i is the asset weight; m i is the weight ratio of the i-th asset on the previous day, r i is the daily return of the ith asset.

5. A real-time valuation method for bank financial management based on position method and market index as claimed in claim 1, characterized in that: In step S8, the weight of each asset on day t-1 and the real-time increase or decrease of each asset on day t are predicted, the real-time yield of the bank wealth management product on day t is estimated, and the real-time net value of the bank wealth management product is estimated.

6. A real-time valuation method for bank financial management based on position method and market index as claimed in claim 1, characterized in that: Step S8 includes estimating the valuation increase or decrease and net asset value of bank wealth management at the current time point based on the previous day's weight file, combined with asset holdings and real-time stock, bond, fund, market index increase or decrease and the previous day's net asset value.

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