| Structural financial products are a new investment tool composed of fixed income bonds and financial derivatives,which are independently developed and designed by commercial banks.Due to the rapid economic development,structural financial products are becoming the main force of intermediary business of banks,and are favored by more investors.Its issuance also conforms to the requirements of the《New Regulations on Asset Management》,banks break through rigid payment and investors are responsible for their own profits and losses.This means that structural financial products bring high returns and high risks to investors.At the same time,because the issuance time of structural financial products is not very long,there are still some problems in market risk management,such as weakening market risk,lacking of awareness of market risk and so on.Therefore,this paper is very necessary to study the market risk management of structural financial products.This paper mainly takes the "Golden Key-Ruyi" structural financial products of Agricultural Bank of China as an example.It mainly uses the method of combining qualitative and quantitative analysis to analyze the problems of market management and gives suggestions.On the basis of overview of market risk management of structural financial products and VaR,this paper comprehensively and qualitatively analyses the current situation of market risk management of "Golden Key-Ruyi".At the same time,the full text focuses on the use of Eviews and Matlab software to test the data,and measuring the market risk value of "Golden Key-Ruyi" through VaR of historical simulation and Monte Carlo simulation methods.It mainly uses historical data to simulate the future price trend path,calculate the expected return rate,the expected value and the market risk value by using relevant formulas,analyse the results of the two methods and summarize the problems of market risk management,including unreasonable design of the yield clause and risk quota setting and so on.Finally,from the perspective of the Agricultural Bank of China,the paper puts forward optimization suggestions from three aspects,improving the market risk management environment,organizational structure and process,in order to better issue the "Golden Key-Ruyi" series of products in the future. |
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