Study On The Pricing Of RMB Structured Deposits In Commercial Banks

Structured product is a new type of financial product that includes the features of both fixed income securities and derivatives. As the latest development of modern financial markets, structured products have become an important part in international market of derivatives. Structured products have been proved the most rapidly growing area in management business of commercial banks since 2005, when they appeared in China in the form of RMB structured deposits. Forming a new source of profit growth, RMB structured deposits have a far-reaching impact on the management of commercial banks. The development of RMB structured deposits is extremely important to the enhancement of profitability and competitiveness of commercial banks.This paper tries to propose a systematic research on the pricing of RMB structured deposits. Starting with the conception of structured deposits and combined with the fundamentals and methods of pricing, the author prices three representative RMB structured deposits in the finance market. Furthermore, by analyzing the rationality about the prices, this paper provides commercial banks a useful way in designing and risk management of structured deposits, and helps the investors to recognize the risk conveniently. The full text is structured as follows:In chapter one, as an introduction, the background, significance, methods and related domestic and international literature reviews of this paper are described, followed by a presentation of the innovative points and difficult points.In chapter two, the author provides a systematic study on the basic theories of structured deposits, including principles, basic elements, the main modes of designing and the detailed classification reflected by existing products. The pricing of structured deposits is the core. So then, the basic methods of finance product pricing are studied particularly as theoretical foundations. Based on these methods and the characters of the structured deposits, the pricing of structured deposits is acquired.A study on three types of RMB structured deposits' pricing is made according to the previous theories in next three chapters.In chapter three, the author prices a kind of equity linked RMB structureddeposits based on the B-S equation, the underlying stock price and payoff clauses.In chapter four, the author prices a kind of gold price linked RMB structureddeposit combined the multi-asset B-S equation, the underlying gold price and thedollar exchange rate.In chapter five, the author prices a kind of interest rate linked RMB structured deposit with the application of the B-S equation under the stochastic interest rate.In chapter six, after a brief description, the author concludes the characteristics of RMB structured deposits pricing in China. And according to the results discovered in last three chapters, some advices are raised in the views of all the issuer, the investor and the market.