Design And Pricing Of Structured Products Based On Shanghai Stock Exchange 50 Index ETF

In September 2018,the CBRC officially announced and implemented the measures for the supervision and management of financial management business of commercial banks,aiming at rectifying the current situation of rigid payment,short product duration and high purchase threshold,and promoting the net worth management of financial products.In this case,the product design idea of rigid payment and the bank profit model of premium issuance do not meet the regulatory requirements.The issuer needs to readjust the product design idea to adapt to the new regulatory requirements and market changes.Structured financial product is a kind of portfolio including financial derivatives and fixed income securities.It is one of the most popular financial products in the market.This paper chooses the stock structured financial products which track the trend of stock index as the research object.Based on the classic design model of stock structured financial products,this paper proposes an improvement scheme based on the perspective of issuers: increase product parameters,introduce the "profit sharing" clause.And use the risk neutral pricing method to price the product.Then,from the perspective of investors and issuers,it reveals the distribution of product income,and clarifies the source of income of both parties.In order to clarify the operability of the improved product model in practice,this paper takes the stock structured financial products embedded with 50 ETF as an example to assign values to product parameters: according to the probability distribution of the 50 stock index of Shanghai Stock Exchange on the maturity date,determine the exercise price of the sample product;according to the maximization of the utility function of investors,determine the parameters such as the principal guarantee rate and participation rate of the sample product.Then,the example products are analyzed from the aspects of pricing,revenue,risk,risk control measures and comparison of the same kind.The sample products constructed in this paper are close to the parity issue;According to the Monte Carlo simulation results,the expected rate of return is 3.68%,the minimum annual rate of return is 2.00%,the maximum annual rate of return is 9.5%,and the issuer gets an additional annual rate of return up to 0.95%;The Va R value of 10000 yuan financial product is 166.11 yuan in the duration,that is to say,there is a 5% possibility that the 10000 yuan principal will generate a loss of 166.11 yuan,the Shanghai Stock Exchange 50 ETF option can be considered for risk hedging;after comparison with similar products on sale,the example product has the advantage of profit sharing,but its underlying asset structure is relativelysimple,which needs to be improved.Finally,based on the above results,this paper gives some suggestions for the innovation of stock index linked structured financial products.