Research On Product Pricing And Risk Management Of “Longying Fixed Income Wealth Management No. 1??

In the post epidemic era,the global liquidity is seriously surplus,and the imbalance between supply and demand further pushes up prices;The Fed’s increased tolerance of inflation also boosted inflation expectations.With the popularization of financial knowledge,the upgrading of investors’ investment ideas,the transformation of economic structure,the decline of market interest rates,the investment value of bank structured financial products gradually appears.However,the risk management ability of domestic issuers of structured financial products is insufficient,lack of professional derivatives risk management talents and strict risk management system;The development of structured financial products has been restricted by the lack of research on investors’ risk appetite,the limited ability of issuers to design complex structured products,and the lack of understanding of structured products by investors.As a commercial bank,how to improve the pricing ability and risk management ability of financial products and protect the interests of investors is particularly important.This thesis is mainly based on three aspects: first,it introduces the research background and significance of this thesis,focuses on the definition of structured financial products,and divides structured financial products according to the categories of related subjects,whether the principal is guaranteed or not and embedded options.And a comprehensive and detailed exposition of the development status and related theories of structured financial products.Secondly,the pricing of the selected "longying solid income Financial Management No.1" product is analyzed.Firstly,the theoretical value of the product is calculated according to the original pricing method based on stochastic differential equation,and it is found that the product belongs to discount issuance.However,the research on financial time series shows that the time series volatility of financial products is often not a stable value,The logarithmic rate of return of the linked target has aggregation characteristics.Therefore,GARCH(1,1)model is selected for product pricing according to the time-varying volatility.The final result shows that GARCH(1,1)model has better fitting effect than the method of stochastic differential equation.Thirdly,it expounds the impact of risk management on the importance of products from the perspective of pricing and maintaining the stability of financial markets.Analyze the product’s own risk management,market risk management,credit risk management and liquidity risk management,and find out the problems encountered.Finally,the research results show that the supervision of product self-management is not in place,the efficiency of risk monitoring organization structure is low,the risk rating of investors is not clear,and the product liquidity risk management needs to be optimized.Based on this,this thesis proposes that in terms of pricing,commercial banks should choose appropriate pricing methods to fully reflect the value at risk,not blindly discount sales,but comprehensively consider a variety of risk factors and choose an appropriate sales model;In addition,appropriate parameters should be selected in product design,especially the rationality of price trigger point setting.In terms of risk management,commercial banks need to strengthen the supervision of product risk changes,optimize the risk management organization structure,strengthen the investor risk rating process,monitor key indicators,and appropriately increase early redemption channels to improve product liquidity.Possible innovations of this thesis: first,the stochastic differential equation model pricing method and GARCH(1,1)model pricing method are compared through average error,average percentage error,average absolute percentage error and root mean square error.The second is to go deep into the product itself and sort out the problems existing in the market risk management,credit risk management and liquidity risk management of financial products from the perspective of commercial banks.The final conclusion has certain significance for commercial banks to design similar products.