Structural Deposit Pricing And Risk Analysis Of Ping An Bank

Structured deposits originated from structured financial products.The development of structured financial products in China was relatively late.It was only after the introduction of domestic structured deposits by Bank of China in early 2003 that structured financial products began to rapidly develop in China’s financial market.After the introduction of new asset management regulations in 2018,rigid redemption was broken,and guaranteeing rate of products withdrew from the market.Due to their characteristics of guaranteeing rate and high yield,structured deposits have become the best choice to replace guaranteeing rate of financial products.Since then,the structured deposit business has grown rapidly,but various problems such as fake structured deposits,unqualified entities issuing deposits,and non-standard promotion and sales have also emerged.In response to these problems,the China Banking and Insurance Regulatory Commission has gradually strengthened its supervision of issuers.In July2021,the China Banking and Insurance Regulatory Commission punished China Minsheng Bank,Shanghai Pudong Development Bank and Bank of Communications for the first time for issuing fake structured deposits.Ping An Bank has been punished by the China Banking and Insurance Regulatory Commission multiple times in the past two years,so it chose the structured deposit products issued by Ping An Bank for case analysis.The article first summarizes the current research status at home and abroad,laying a theoretical foundation for writing this article.Then,it elaborates on the relevant concepts,classification of structured deposits,and the development status and problems of structured deposits in China.Select Ping An Bank’s "one touch profit" linked CSI 500 bullish structured deposits as the research object,interpret the case product manual,mainly analyze the product yield structure,linked targets,triggering events,and expected returns in detail.Then,by analyzing the pricing of the product,determine whether the pricing is reasonable and whether there is a false structure.The pricing adopts the building block analysis method,which decomposes the product into a fixed income portion and a derivative option portion for pricing.The fixed income portion is priced using the cash flow discount method,while the derivative option portion is based on the GARCH(1,1)model and priced using Python’s Monte Carlo simulation method.The risk analysis of products is conducted from both qualitative and quantitative perspectives.Quantitative analysis uses sensitivity analysis and Va R measurement,while qualitative analysis analyzes market risk,credit risk,liquidity risk,and other risks.Based on the regulatory agency’s identification of fake structures,through analysis,it is believed that there is no problem with fake structures in the case product.The actual verification results show that the product is issued at a premium,but the premium rate is only 1.13%.The bank incurs certain handling fees,management fees,and labor costs when investing,and there are no other fees charged for this product,so the pricing is relatively reasonable.Although the services provided by banks can explain the rationality of such premium issuance,for general investors,due to a lack of in-depth understanding of wealth management products and related products,the existing pricing methods of products will make it difficult for them to detect the implied premium rate,which is unfair to investors.Through the analysis of product risk,the selected case in this article has relatively low product risk,which is consistent with the risk information disclosed in the product manual.Finally,targeted suggestions are proposed,and inspiration in pricing and risk management is obtained from case analysis.