The Study Of The Structured Deposits Linked To Gold

During the low interest rates Period, people's investment target is to keep their money safe. After the Financial crisis, a general lack of confidence in the markets set people turn to the bank financing markets. Compared to other investment products (such as stocks, funds), t financial products in general showed a higher investment value, and the overall income level is much higher than deposit rates. With the improvement of our financial system, financial products are designed more complex, new products emerging in an endless stream, the risk varies.Affected by the uncertainty of the global economic recovery and the European sovereign debt crisis, risk aversion continues to heat up, thus promoting the gold price continues to rise, in this round up boom, the commercial banks have also launched a series of hook-type gold financial products. Gold prices hit record highs for often in the circumstances, invest in gold stocks and gold received a higher yield, but many gold-linked structured deposits were still found in low-income or zero income. How the Investors correctly identify the investment risks of structured deposits, from a wide variety of products to choose? And how the Commercial Banks manage the risk of the structured products? Understand the structural design of financial products and risk are the main motivation of this study.In this paper, we take the gold-linked structured products for example, determine the validity of the pricing of structured deposits, and the existence of risk. By analyzing the distribution of the return, we found that normally distributed is not supported, but more subject to student's distribution, compute the correlation of the return equation and the square of residuals, we obtained that return series are volatile accumulation, there exists heteroscedasticity effects. So, different from the traditional pricing model assumes that the BS volatility is constant, we use GARCH class model to determine the future daily volatility, given the assumption that the standard normal distribution and t distribution of residuals. By comparison, GARCH (1,1) model, whose residuals subject to the t distribution fits well. Instead of the constant historical volatility, we use daily volatility for Monte Carlo simulation to price the options part of the product. Imitate the distribution of yields, explain the key design of the gold- linked products:received the minimum income guarantee By giving up the possibility of Above-average earnings. After sensitivity analysis of the product, we found that the price volatility of underlying asset have a greater impact on the option value embedded in the structural deposits. Finally, we give advice on how to choose a proper structured products from the investor's point of view.