Pricing And Risk Analysis Of Crude Oil Structured Wealth Management Products

Along with the advancement of China’s reform and the degree of opening up of financial markets to the outside world also continued deepening,the financial market is experiencing unprecedented growth and changes,commercial banks continue developing new business and new products,resident’s investment philosophy and management methods are also facing huge changes.Single financial products are no longer meet their needs,hoping to pursue more complex financial products.In this context,more complex structures emerge at the historic moment and continue to develop.The complexity of products is getting bigger and bigger,and even the risk level of some products has exceeded the range of investors.Without sufficient risk tips,financial institutions blindly advocate high returns and high returns,which makes investors only see the returns but ignore the risks.The risk exposure of choosing such products does not match the risk tolerance of investors,which may lead to losses of investors and blow the confidence of market investors,which is not conducive to the healthy development of China’s financial products market.In addition,the wealth management product market often appears in the situation of artificially high yields,most investors are difficult to identify the actual situation.Therefore,this paper hopes to provide pricing ideas for issuers by studying structured financial products,and help investors choose many products by analyzing product yield.In view of this,this paper chooses China crude oil future-linked structured financial products(No.20670,90 days of "Juying Commodity" issued by Minsheng Bank in 2020)as the research object,and specifically studies the pricing,returns and risks of the products.This product is a bilateral asymmetric shark fin structured financial product embedded with two double-barrier options and has certain complexity.To be specific,this paper first reviews the domestic and foreign research results on structured product pricing and risk,and introduces the related theories,so as to determine the analysis framework of this paper.Secondly,the concept,classification and development status of structured products are briefly described.Then,this paper takes the 90-day 20670 product of "Juying Commodity" of Minsheng Bank as an example for case analysis.This product can be divided into fixed income part and derivative option part,which can be regarded as the joint composition of zero-coupon bond and two double-barrier options.Fixed-income part pricing based on the discounted cash flow formula,derivatives’ options’ part two pricing methods martingale pricing and monte carlo simulation pricing analysis,research results can be found on the product pricing,two types of pricing strategies the results obtained compared with the actual difference is small,and are issued at a premium,among them,the product yield is 0.4578% by martingale pricing method,and0.2022% by Monte Carlo simulation method.The expected rate of return of this structured financial product is 2.8761%,which is extremely low in the probability of achieving the high rate of return claimed in the issuance prospectus.However,compared with bank deposit products,it has obvious advantages.In addition,through the analysis of factors influencing the sensitivity of the option value,the sensitivity of the specific factors include asset price volatility,the deadline,your initial price and the risk-free interest rate and the asset,it is concluded that the underlying time limit,the risk-free interest rate and the beginning of the asset price has a little influence on the value of options,and the underlying asset price volatility will be a larger influence on the option value,Therefore,for issuers,asset price volatility needs to be hedged to a certain extent.Finally,this paper puts forward suggestions for the future development of structured finance from the perspectives of regulators,issuers and investors.Supervisors should formulate and improve relevant laws and regulations and supervision and management measures,strengthen guidance,and supervise the operational risks of investors and the risk management of commercial banks;Issuers should deepen pricing research and product risk management of structured financial products,and strengthen standardized management of operating procedures of operators and financial product business guidance.However,investors should further improve their basic financial literacy,strengthen the ability to identify risks,and strengthen the mastery of financial management and other related knowledge.