Research On The Design And Pricing Of Linked Crude Oil Structured Deposits

Structured deposits are a combination of deposits and derivatives.As an innovative product of interest rate marketization,structured deposits have high returns and flexible and diverse design forms,and are therefore favored by investors.In recent years,commercial banks have actively issued structured deposits,and the market has grown rapidly.At the same time,the potential risks and problems in the market are constantly exposed.Product design and pricing determine the degree of satisfaction of investor needs and the inherent risks of products,which directly affects the market sales of products.Therefore,the design and pricing of structured deposit products are crucial.In the context of the continuous development of my country's crude oil market and the recent launch of China's crude oil futures,this paper selects the structured deposits linked to China's crude oil futures issued by Minsheng Bank as examples of products,and conducts structured deposit product design and pricing research.This has certain practical significance for banks to carry out product design innovation and reduce risks for investors and banks.We selected the three structured deposit products linked to Chinese crude oil futures as bullish,bullish range and bullish shark fins as research objects,and used Monte Carlo simulation methods to price options.We combine the actual price trend of the product linked target and the actual product revenue to evaluate the structural design of the product and analyze the pricing results of the three products.We havethe following conclusions about product design and pricing: First,the product design structure better anticipates market trends and can bring good returns to investors.The bank will also make appropriate adjustments to the product's revenue structure and participation rate and other parameters to keep the issuer's costs within a reasonable range.Second,the maximum rate of return of the three structured deposits is set higher,but the probability of acquisition is smaller.Therefore,risk appetite investors who aim to obtain the highest rate of return should carefully choose such products.Third,the theoretical value of the three products studied is greater than the product issue price,and the products are issued at a discount.This article uses a combination of theoretical analysis and empirical analysis.The first chapter is an introduction,which introduces the significance of the research background of this article,and summarizes the research results of structural products at home and abroad.Chapter 2 gives an overview of the concept and classification of structured deposits and introduces the development status of structured deposits;Chapter 3 conducts a design analysis of structured deposits linked to crude oil,first analyzes the supply and demand of products,and then introduces the products Design parameters,product risk situation and product design process;Chapter 4 conducts product case pricing studies;Chapter 5 addresses the typical problems in the development of structured deposits and proposes corresponding policy recommendations: improve product pricing capabilities;design Diversify and personalize products;strengthen product risk management.