Research On Pricing And Risk Of Structured Financial Products Of "HuiYi ZhiZuan"

In recent years,the investment demand of Chinese residents has become increasingly strong,and bank financing has become an important way for residents to invest.Among them,structured financial products have been attracting more and more attention since they came out in China in 2004,and their market scale is getting larger and larger compared with a few years ago.According to the data released by the People's Bank of China,by the end of April 2018,the scale of structured financial management of domestic commercial banks had increased to 9.15 trillion yuan.In the first quarter of 2018 alone,the scale of structured financial management of domestic commercial banks had increased by 1.84 trillion yuan,exceeding the annual growth of 1.8 trillion yuan in 2017.Structural financial products are the combination of fixed income products and financial derivatives.Financial funds can be linked with interest rates,exchange rates,stocks,commodities and so on.They have the characteristics of complex design,diversified types and high returns.The structural and functional advantages of structured financial products have brought broad space for its development.However,considering the complex design terms of structured financial products and the various types of assets linked to them,it is difficult for ordinary investors to grasp the real income and risk characteristics of their products.Based on the definition of structured financial products,this paper classifies structured financial products according to their characteristics,and analyses their development status.Through the analysis of market status,there are some problems in domestic financial products,such as serious homogeneity in the linked items,low transparency of product information,less information available to investors,lack of risk awareness and more.Several products are exposed to risks;because the derivatives market is not perfect enough,the ability to use assets is weak.These shortcomings not only affect the product to give full play to its characteristics and advantages,reduce the attraction of investors,but also hinder the continuous development of the banking financial market.This paper chooses an ETF-linked structured financial product issued by HSBC as a case study.As far as pricing is concerned,the product is decomposed into fixed income part and option part.Pricing is based on cash flow discount by Monte Carlo simulation method.Time-varying volatility is introduced to model the price fluctuation of underlying assets,and GARCH(1,1)model is used to describe the price fluctuation of underlying assets.Through pricing analysis,it is determined that there is a certain degree of deviation between the theoretical value and market value of the product.On the other hand,the qualitative and quantitative combination is used to study the risk problems faced by investment structured financial products.Finally,based on the perspective of issuers and investors,this paper gives corresponding countermeasures and suggestions from the aspects of rational choice of investment products,raising risk awareness,improving risk management system and product pricing design,and investing in structured products that meet their own risk preferences.