Pricing Research About Banks' Equity-linked Structured RMB Financing Products

With a smooth economic development, our country's citizen's ever-increasing investment targets, the competition in financing market becomes fierce. Among our increasing opening financial market, our native banks could not only stick to traditional savings, but should actively extend financing businesses. Structured products can embody the commercial banks' innovation abilities. Among the products, the equity-linked structured RMB financing products gradually get the publishers'appreciation and the investors'pursuing, with the burning equity market and the intense anticipation for the appreciation of RMB. This kind of products is a kind of financial derivatives, which both risk and income is between equity and saving. It can cage the loss in revenue and get the impossible expected revenue, on the assumption of the ability of avoiding the exchange rate risk.Pricing on banks'financing products is a complicated process which asks for the high lever demanding techniques. Relative to the abroad, it is not mature to our national banks for the pricing ability. While the accuracy of the pricing can directly determine the products' success or failure. From the investors'and publishers'two sides, based on the practical operation for the financial organization to develop individual financing businesses, this paper established a rational pricing model which aimed at the equity-linked structured RMB financing products, to meet with the national financing market's great requirement, to help the investors to rationally invest, and to aid our rational commercial banks to develop the financing businesses with the clear aims.This paper analyzed the sorts and status quo of our national banks and their financing products, and especially compared the banks'financing abilities from lateral and vertical two orientations. Then based on the characteristics of the equity-linked structured RMB products, this paper established the Quasi-Monte Carlo imitation pricing model, whose random numbers were Halton serials. After that, this paper tested the pricing model on three concrete products of three representative banks which were selected from state-owned banks, joint-equity banks and foreign banks, based on their financing abilities. The results showed that the first tow products' required return rates were higher than the risk-free interest rates and they were both issued at a discount, and the last product's required return rate was lower than the risk-free interest rate and it was issued at a premium. At last, according to the results, this paper compared the banks pricing abilities, and got the conclusions. There were several problems, such as when the banks issued this kind of products, they always set the pothooked target excessively concentrated, and there was the regional disparity problem. Relative to the serious homogeneity for the products' of the rational banks, the foreign banks were more professional, but with the adventurous design, their products'return rates were always jerky and their low-return products were apt to be issued at a premium. While, for the foreign banks always kept the products'information secrets, the investors could not get the adverse information.On the research methods, this paper principally integrated finance engineering and financial derivatives pricing theories, based on several traditional option pricing models, collected and investigate and survey so many data, at last, established the Quasi-Monte Carlo imitation pricing model with one Halton serial. Through comparing with the real last return rates of the three products, we could find that this model could well price this kind of products, and availably help the investors and the publishers to make correlative decisions. With this pricing model, our commercial banks could improve the pricing abilities and could get a kind of new train of thought for the products'popularization and design.