Pricing And Optimization Of The Producrion Linking To CSI 300 Index Of China Minshengbank Under The New Regulations On Asset Management

The new asset management regulations refer to the "Guiding Opinions on Regulating the Asset Management Business of Financial Institutions" jointly issued by the four ministries and commissions including the Central Bank,the Banking and Insurance Regulatory Commission,the Securities Regulatory Commission,and the SAFE.2018 is the year of strong supervision in the financial industry,and this new asset management regulation is by far the most important policy under strong supervision.The asset management industry has ushered in the post-supervision era.The impact of new asset management regulations on bank wealth management,and financial products that protect capital and protect income are about to become history.The new asset management regulations will definitely have an impact on the design of such products.In fact,we can see that many financial institutions are actively adjusting to the changes brought by the new regulations.Secondly,the Minsheng Bank-linked Shanghai-Shenzhen 300 Index product has become a representative product in the industry due to its conventional product design ideas and unique yield ranges.However,after observation,the product collection situation is not satisfactory and there is some optimization space.This dissertation will propose the possible optimization space of Minsheng Bank’s Shanghai and Shenzhen 300 Index(CSI300 Index)products and look forward to the future development of the products.Prior to product optimization,pricing must be performed to understand the various aspects of the product’s original design.By analyzing the income structure of the product,this dissertation divides the product of Minsheng Bank into a fixed income part and an option part.Therefore,the price of the product can be obtained by pricing the two parts separately and then summing them.In this dissertation,the fixed income part is regarded as a bond,and the bond valuation method is used for pricing.In the option part,the commonly used analytical method and Monte Carlo method are used for pricing.In this process,important parameters such as the discount rate of the fixed income part and the closing price volatility of the Shanghai and Shenzhen 300 Index linked to the option part need to be determined according to relevant theories.The discount rate is the interest rate for the same period of three months obtained through databases such as the China Bond Valuation Center.The volatility is obtained by fitting the IGARCH(1,1)of the CSI300 index closing price data with R software.The remaining parameters are obtained through channels such as product manuals.The final price of the product per 10,000 yuan was 10146.22 yuan.It can be seen that the product is issued at a discount,the same way as other financial institutions issue this kind of product.However,in the context of the new rules on asset management,investors do not seem to have a very attractive discount rate without receiving bank guarantees and just fulfilling their commitments.Next,the Va R of product revenue was analyzed,and it was found that the product revenue may be lower than 3.21% with a 95% confidence level,which is basically not higher than the level of the same industry.Then the product is optimized.Product optimization can save R & D costs for issuance,which is often adopted by issuers.The purpose of this optimization is to increase the discount rate of the product.In this way,we try to increase the attractiveness of the product.Through the analysis above,it can be found that changing the product parameters can achieve this requirement.In this dissertation,the specific impact of product parameters on pricing results is obtained through sensitivity analysis,a parameter combination with the highest discount rate is obtained within the range of feasible parameters,and an optimized solution is obtained by modifying the product according to it.Finally,the Va R of the optimized product was examined,and it was found that the Va R of the product was 4.9% with a 95% confidence level,indicating that the optimized product may actually gain higher returns and the optimization scheme is effective.After this series of analysis,this dissertation draws the following conclusions:(1)Judging from the background analysis and product analysis,the new rules on asset management have indeed brought a certain impact on the wealth management product market and the stock market.The product parameter settings show that Minsheng Bank is not a pure product manager,it has retained for itself more than management fees.(2)From the perspective of product pricing analysis,the final pricing results of this dissertation show that the product is issued at a discount,which is consistent with the general product issuance law,but the discount rate is not high.Compared with existing similar products,the pricing result of this product is relatively low,indicating that the future cash flow brought by this product to investors is not very competitive in the market.(3)Judging from the results of product optimization,the expected rate of return of the product ranges from 2% to 7.6%.Although the scope is somewhat narrowed,the actual value of the product is higher,and the more likely investors are to obtain higher potential returns.In terms of the future development of products,intelligent investment consulting is an emerging business.The new regulations also make it clear that issuers can consider including the product in the business scope in the future.However,this business has high requirements on the issuer’s research and development capabilities,and Minsheng Bank needs to continue to develop.