| At present,China has entered the new normal economic development,ordinary residents to carry out investment and financing activities have become very rich in the way.The constant tightening of market interest rates has led to a sustained rise in financial demand,which has led to the formation of residents ' financial thinking.Bank financial products are no stranger to us,but when it comes to structured financial products,most people may be unintelligible.This product is a new type of financial products composed of different types of products.The design principle is to use financial engineering technology to combine fixed income products(deposits,0 interest bonds,etc.)with financial derivatives(options,forwards,swaps,etc.),in order to ensure the principal under the premise of the pursuit of higher returns.At present,due to the complexity of its design and the unpredictability of its benefits,this type of product in the number of releases and the proportion of relatively traditional financial products are less.In structured financial products,stock index linked structured financial products with the diversity and flexibility of their design has attracted the favor of investors.Specifically,it is an innovative financial product that combines fixed income products(term deposits,bonds,etc.)with stock index options.Its design concept is through the personalized design so that the purchaser of the product in the acquisition of no less than the income of fixed income products,as far as possible to spread certain specific risks to meet the investor's asset preservation needs.However,with the continuous promotion of interest rate marketization in China and the gradual improvement of the opening degree of financial market,structural financial products in the process of development has also appeared a series of problems.On the one hand,domestic banking usually uses the way of issuing financial products to keep deposits within banks and avoid reducing market share,on the other hand,the rapid rise in Chinese residents ' savings has led to increasing demand for financial management.The common needs of both sides make the structured financial products get full space for development.However,the complexity of structured financial product design and the uncertainty of earnings increase the investment risk of this product,which leads to a large number of non-professional investors can not make a reasonable estimate of the value of this type of financial products,and thus affect the enthusiasm of investors to buy.Coupled with today's financial products on the market mixed,loss-taking incidents often occur,investors on the structural financial products of confidence has also been greatly hit.Therefore,as with other financial products,structured financial products also have the question of whether the pricing is reasonable,the rationality of its pricing will directly affect the credibility and income of banks,at the same time,the income and confidence of customers will also have a certain impact.In the pricing research of structured financial products,there are great differences in pricing methods between single-asset and multi-asset-linked financial products,so it is very important to choose the appropriate pricing method for different financial products.Generally speaking,the pricing technical difficulty of multi-asset-linked financial products lies in the characterization of asset dependencies.Because the traditional Cholesky decomposition method should follow a series of related assumptions such as normal distribution,constant fluctuation rate and linear dependencies in pricing,this method has some limitations on the characterization of dependent assets.In order to overcome this limitation,we can use the dichotomy of Copula function to price multi-asset linked financial products.Through the analysis of the current market development of financial products,this paper selects "HSBC ——— two-year stock index linked structured financial products(2016 17)(100% principal guarantee Due)",first of all,the income structure analysis of the product,and then select the sample data for model applicability analysis,Then the parameter estimation and Monte Carlo simulation are carried out on the constructed hybrid Copula function,and finally the theoretical value of the product is simulated according to the characteristics of the product income function of multi-asset hooks,and the conclusion of its high pricing is obtained compared with the price of the product with the same risk in the market.In order to further analyze the relative single Copula function of hybrid Copula function and the rationality of traditional Cholesky decomposition to pricing,the pricing results of different methods are compared.The results show that: 1)The pricing of HSBC two-year structured financial products is overvalued,2)The pricing of Copula function method is better than that of traditional Cholesky decomposition method,and 3)The pricing method of mixed Copula function is more applicable than that of single Copula function pricing method.The above findings will provide useful reference and guidance for the development and improvement of the pricing model of multi-asset-linked structured financial products in the future. |
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