The Design Of Structured Financial Product Based On Carbon Emission Options

In 2021,China officially put forward the policy goal of "double carbon",which is carbon peak and carbon neutral.This goal means that carbon finance will become one of the important components of China’s financial market in the future.Major financial institutions also realize the importance of carbon finance and continue to develop and improve carbon financial products.However,there are still a series of problems in the carbon financial market,such as a huge capital gap and insufficient product types.Based on the above background,this paper designs a competitive carbon financial structured product that invests funds in Guangdong Province by combining the low-carbon policy orientation and focusing on the field of clean travel.The design process of this product can be divided into three parts: first,the preparation stage before product design.First,this part mainly introduces relevant research and provides theoretical basis for the subsequent design of products.Secondly,the product positioning is subdivided,and the current market environment and customers are investigated to understand the market and customer demand,and the feasibility of the product design is obtained.Second,in the construction stage of product design,a structured financial product is designed with 21 Shenzhen Metro MTN004(carbon neutral debt)and carbon emission rights as the linked object.After the completion of the design scheme,the product is priced,and the fixed income part is priced with discounted cash flow.In the derivative part,the closing price of Guang Dong Carbon Emission Quota in the previous year was taken as the pricing data,and the GARCH model was used to estimate the volatility.It is estimated that the annual volatility of Guangdong carbon emission quota(GDEA)is 0.2214.On this basis,the probability distribution of asset prices is analyzed,all possible paths of asset prices are simulated by Monte Carlo,and the value of option is discounted.Finally,combine the two parts to determine the theoretical price of this financial product.Third,in the analysis stage after the product design,after the completion of the product design,the advantages of the product need to be compared and analyzed,to reveal the internal and external risks,so as to further reverse the feasibility of the product.Finally,based on the above analysis,a reasonable marketing strategy is designed for the product from the three aspects of product,channel and brand.Finally,this paper comes up with a carbon financial product with break-even floating income of 1.2%+ and an expected yield of about 2%.The product can bring about 105 tons of carbon reduction.