Study On The Market Risk Of Structured Financial Products Of Commercial Banks

The structured financial products, originated from 2004, has been playing an important role in the area of bank financing after more than ten years of development. Such financial products has an unique feature of replacing customer's rigid cash demand; its fixed income belonging to investment could be accounted into structured deposits in terms of accounting calculation, which is in favor of enlarging bank's deposit scale; moreover, it makes banks have the ability to meet the financial management demand of the medium risk preference investors through supplying them with an investment combination of low risk and high risk assets. Meanwhile, the products'ultimate income, which shall be invested into the higher risk financial derivatives instruments, depends on the performance of the pegged object, so facing up to a higher risk and a more complicated structure situation by comparing it with other kind of relative financial products. There are some negative cases often arising which could not attain the anticipative earning rate in the market, or even Earnings Negative; Not only causes it a great influence to the investors, striking market's confidence, but also bear the issuing banks a heavy pressure. As the progressive constraint increased and the interest rate liberalization roughly completed, banks? should be more concern of the risk management of the structured financial products than before.The marketing risk of the structured financial products shall be illustrated by analyzing its product concept, category and its state, by analyzing on the risk category and the management state of marketing risk, and by using a VaR method of the variance and covariance model based on ARMA-GARCH model. In this paper, the undue pegged object of the structured financial products, until on 31^st Dec.2015, issued by PingAn Bank with a large scale of issue and strong financial management, shall be taken to research as a sample; meanwhile, the representative logarithmic yield data of the pegged object shall be taken into empirical analysis. The results from empirical analysis show that ARMA-GARCH model could illustrate the marketing fluctuation of pegged objective of the structured financial products vividly. Based on this aspect, we can calculate the pegged object average VaR value, for each day, under the confidence level between 95% and 99% by using the VaR method of variance and covariance, and then get the overall value of the undue structured financial products, until the day on 31^st Dec.2015, issued by PingAn bank. Through adopting this method, business banks can monitor the dynamic marketing risk of the undue structured financial products for each day. In the end, this paper shall submit some corresponding suggestions in terms of the existing shortcomings arising from structured financial products market-risk management of business bank, on a basis of some inspiration from the previous research in this paper.