The Evaluation And Redesign Of Structured Product In China

With the gradual deepening reform of domestic financial system,the liberalization of interest rate,the strict supervision of the government and the intensified competition in banks,this paper evaluates and analyzes the structured financial products of banks.It includes the reasonableness of structured product pricing,risk identification and risk management strategy.Following that,this paper points out the problems of structured products,and put forwards the redesign scheme to optimize.Around the purpose of this study,this paper reviews the research situation of structured products both domestics and abroad.BOCOM dual-binary product will be studied on the basic theory of pricing model and option sensitivity analysis.First of all,using Martingale Pricing method and Monte Carlo simulation to deduce product pricing,for verifying the reasonableness of it,the product income also proved from two perspectives of issuer and investor.Secondly,sensitivity analysis and discuss the characteristic of risk management strategies,including reverse product,static replication and Greeks hedging.Finally,this paper evaluates the overall evaluation of the product to point out with the issuer for jump risk problems and investors' diverse demand.Then redesign dual step structure of the product to reduce the jump span,from a certain extent to solve the dual-binary type option problem of risk management,so as to reduce the difficulty of the issue,improve the competitiveness of products.