The Design Of Structured Products Guaranteed Base On Strategy Of CPPI

Structured products is a new type of financial instrument,it use financial engineering technology to combine the variety of target asset,the underlying asset can be equity,fixed income,credit securities and so on,The more common structured products are the combination of bonds and stock indices or the combination of bonds and exchange rates.Structured products started late in China,foreign banks began to try to issue the structured deposits in the first.With the CBRC definite the regulatory principles and contents of structured products,structured products has experienced rapidly development in China.Structured products have attracted many investors with their flexible income characteristics,and the scale and quantity of the products have been expanded.At present,the size of the domestic market has more than 10 billion yuan.This paper uses the CPPI strategy to achieve product breakeven.There are two major categories in the application of the policy of preservation,including the static security strategy and the dynamic security strategy,and the fixed proportion portfolio insurance strategy used in this paper is a kind of dynamic security strategy.The idea of the CPPI strategy is to fix the principal on a risk-free asset and a risky asset.And during the investment period,according to the current market conditions and the total value of the portfolio changes,continuous adjustment of risky assets and risk-free asset positions,produced by the risk-free asset cash flow hedge risk assets on possible losses,locking the risk of falling asset prices when the risk,in order to achieve insurance the purpose of.At the same time,if the risk of asset price rise,will bring the total value of the portfolio increases,the portfolio can get a larger share of the safety cushion,then will sell part of risk-free assets,this part of the amount of buying risky assets,increase the risk of asset allocation,share more revenue risky asset prices boom.As can be seen,CPPI strategy is an excellent preservation strategy,which in the protection of investors' principal at the same time,so that investors can maximize the risk of asset prices to bring the benefits of income.This paper introduce the background and significance,and reorganize the domestic and foreign research results,and briefly introduces the development of structured products,and classifies the structured products from different angles in first.The paper elaborated the design principle of the product,the application steps of thepreservation strategy,the selection of the assets of the product,and the design of the important parameters in the CPPI strategy.On the basis of the product design scheme,the historical data are used to test the product yield,and the result of the breakeven of the product can be realized.CPPI strategy is effective in practice.At the same time,the Monte Carlo simulation method is used to analyze the three factors that affect the performance of the product.Finally,the paper is summarized and the relevant suggestions are given.