Research On Design And Pricing Of Structured Financial Products In China 's Banks

Under the background that China’s economy enters the new normal, the investment and financing channels of China’s ordinary residents are more and more rich, financial management demand continues to expand and financial management awareness gradually increases. With the continuous development of domestic financial market in the competition, bank financial products occupy an important position in domestic household asset allocation. At present, the ordinary deposit can not meet people’s needs, the return rate of a financial product will be at least one or two percentage higher than the deposits at the same period of time. Although various kinds of “Bao” financial products on network are dazzling, and return rates also have some advantages, bank financial products is more popular to people with its security and reliability. We all hear about bank financial products, but many people don’t know the structured financial products, which is also one of the bank financial products. It occupies less and issues a small amount each year.Structured financial product is a new type of financial management instruments that combines the fixed income securities and derivative contracts. It has complex structure and diversity designs, and the product pricing involves fixed income pricing and option pricing at the same time. The purpose of this paper is to discover the mystery of structured financial product, make its design more perfect and the price more reasonable, so as to make it another successful financing tool of banks and investment choice welcomed by various investor.This paper starts from the definition and classification of structured financial products, so as to lay a good foundation for following analysis. Then it introduces the development and current situation of structured financial products in China, so as to make readers have a general understanding of the development context of structured financial products. Secondly, it discusses the basic principles of its design process in accordance with the two main lines of high income and capital preservation structured products. Thirdly, it divides the product pricing into fixed income pricing and option pricing, the fixed income pricing mainly uses the cash flow discounting method, and option pricing mainly includes Black-Scholes option pricing and Monte Carlo simulation method. Finally, it applies the Monte Carlo simulation method to carry out empirical research on representative equity linked structured products.