Stock-linked Structured Products Pricing Research And Risk Analysis

With the continuous development of China's financial market,various financial products emerge in an endless stream.Structured financial products gradually enter the horizon of investors.For investors,it is very important to choose the right investment target.Investing in real estate will face huge input costs.Investing in stock market will face large price fluctuations and high risk problems.Structured financial products overcome the above problems by the design of the earnings terms.First of all,the emergence of the minimum amount of investment meets the needs of investors to use a small amount of idle funds for financial management.Secondly,some structured products are linked to stocks or stock indexes,which can enable investors to enjoy high returns when the stock market rises.However,the quality of structured products in the market is uneven,and loss events occur from time to time.It is often difficult to recognize the value of the product and risk when ordinary investors face with complex earnings terms.As a result,when choosing structured products,due to the limitation of their own professional ability,investors will pay more attention to the highest expected rate of return in the product specifications and ignore other aspects.Thus it is difficult to choose products that fit investor's risk appetite.In consider of the above practical situation,this paper selects the "Hui Zhuan Ling Dong" two-years structured financial product issued by HSBC in 2019 as a case,conducts pricing research and risk analysis on the product.On the one hand,it enables investors to evaluate the value and return of structured products more accurately and choose products more rationally.On the other hand,it enables issuers to price structured products more effectively and use structured products to raise funds more effectively.Firstly,this paper reviews previous scholars' research on pricing and risk analysis of structured products,then determines the overall framework and writing ideas of the paper.Secondly,the structured products are introduced in detail and the selected cases are analyzed in detail.Then the selected cases are analyzed,including pricing analysis and risk analysis.Finally,this paper draws a conclusion and puts forward corresponding suggestions.In the case analysis part of this paper,the pricing analysis assumes that the stock price is subject to Brownian motion.Monte-Carlo simulation method is used to find the future price path of the underlying stocks,then paper calculates the theoretical value of the product.In the risk analysis section,the sensitivity analysis of the growth rate and the volatility of the underlying stock price is carried out,and the influence of each risk factor on the expected yield rate of the product is summarized.This paper draws the following conclusions: compared with the actual price of the product,the theoretical value of the product obtained by monte carlo simulation is close to the actual price,and the premium level between them can be regarded as the value of product innovation.The product is reasonably priced.In terms of risk analysis,according to the results of sensitivity analysis,we can better understand how the expected rate of return of the product changes with the change of market conditions,which is helpful to understand the risk characteristics of the product,and also provides a corresponding reference for the the issuers to design the product.Finally,some suggestions are put forward according to the research conclusions.