The Pricing And Market Risk Return Evaluation Of CMBC Linked Gold Butterfly Structured Product With Price Difference

With the rapid development of China's economy,traditional investment and financial management methods can no longer meet the diversified needs of investors.Therefore,more and more financial management methods come into our view.Among them,structured financial products issued by financial institutions are favored by most investors.However,on the one hand,for most investors,the risk situation of structured products is more complex than that of traditional financial products.How to judge the risk of the products and choose the products suitable for their risk tolerance for investment is crucial.On the other hand,for the product issuer,it is very important to measure the product risk,properly disclose and avoid market risk,and improve the attractiveness of the product.Therefore,this paper takes a new structured product issued by Minsheng Bank as an example,focusing on the assessment of market risks and returns by investors and issuers,and focusing on providing relevant Suggestions on risk management for investors and issuers of the product.This paper has a certain necessity and practical significance for the study of the market risk and return of structured financial products.Centering on the core purpose of this paper,this paper first reviews and sorts out the previous literature on structured financial products and related options.Secondly,it summarizes and sorts out the theoretical basis of pricing and option research of structured products.Then,the case study product of this paper is introduced,and its issuing background,income structure and product characteristics are analyzed in detail.A structured product linked with gold butterfly price difference of Minsheng Bank is selected in this paper,which is well adapted to the macro market environment during the issuing period.Then,this paper USES financial engineering decomposition technology to decompose the product,through a variety of numerical pricing methods and analytical pricing methods to compare and verify,improve the accuracy of product pricing;The last,from the perspective of practice,stand in the perspective of investors and issuers,product market risks and benefits are analyzed in detail and has carried on the simple sensitivity analysis,mainly through the use of Va R risk measure of the value at risk methods to evaluate the product market risk analysis,and simulation analysis using the monte carlo simulation method to product revenue,aims to provide products of investors and issuers related Suggestions of risk management.The structure of the product studied in this paper is a butterfly spread structure that has not been studied before,which forms a good supplement to the spread structured product.At the end of this paper,the research direction of structured products in the future is prospected.