The Pricing Analysis Of Structured Products

Structured Products is one of the most popular tolls for people to investment, especially,achieved quickly growth in recent years. The amount of China’s banking structured products hasreached28239in2012and25.84percent over2011years, issuance of24.71trillion, up to45.44percent over2011years. Structured Products has became an important means for off-balance sheetbusiness and competitiveness improved of bank. However, the rapid development of structuredproducts brings some questions as well, for example: the complex product’s design, pricing andrisk value.This paper first presents the development situation of structure products and the study views atdomestic and foreign. Then the author introduces it definition, design, classification, the main riskwhich faced with. Furthermore, put forward the detailed method and process that bank making useof credit derivatives(CDS) tools to relieve themselves operation risk; Finally, as the emphasis andinnovation of this paper, in the risk-neutral world according to Minsheng bank RMB20billionconvertible bonds, with a zero coupon bond and equity hedge convertible on interest rates meetrandom condition, construction a risk free portfolio,then obtained the partial differential equationfor convertible bonds, by Black-Scholes pricing theory and Minsheng bank convertible bonddesigns to solve it. Along with the design of structure financial products more and morecomplexity, interest rate marketization and RMB internationalization trend, the hypothesis thatinterest rates are constant has not conform.This paper under the assumption that interest rate meet random, offer a kind of pricingformulas of structured finance products, provide a reference for investors. Recommended investorsprudent investment, clarify the design of structured products, against risk.