"Shark Fin" Type Interest Rate Linked Structured Deposit Design

Interest rate linked structured deposits are also known as interest rate structured products,which are innovative financial products whose value is linked with interest rate and issued by commercial banks.In the 1980 s,the structured products of developed countries in Europe and the US began to spread in the financial market,and the financial market in China was found to be slow,and structured products appeared in the early 21 st century.In September 2002,China Everbright Bank launched the foreign currency deposit business and became the first structured deposit in China.With the development of our financial market system and the relentless advance of interest rates in the market,the interest rate linked structured deposit is emerging as the most important product in the market.Each commercial bank issued a large amounts of interest rate linked structured deposits to expand their size.However,due to the short development time of interest rate linked structured deposits in our financial market,the domestic financial system still needs to be improved,and the innovation capacity of commercial banks in China needs to be improved,so that the interest rate linked structured deposit shows the problem of high homogeneity in the market,and the structure is relatively simple and cannot meet the individual needs of investors well.Therefore,on the basis of previous studies,this paper designs a "shark fin" type interest rate linked structured deposit,and based on the HJM model,using the monte carlo simulation method to price the structured deposits,providing reference for commercial banks to design such structured deposits.First of all,this paper reviews relevant literatures on interest rate linked structured deposits at home and abroad.Then,the feasibility of the design of "shark fin" type interest rate linked structured deposit is analyzed,mainly through market analysis and PEST analysis.Next the design of the structured deposit is set up in a system that shows the structure of the target's customer base.After that the pricing theory model of the interest rate linked structured deposit is summarized,and the appropriate pricing method is selected to price the structured deposit.Finally,the potential risks of this structured deposit are analyzed.