The Design Of Shanghai 50ETF Dual Directional Buffered Financial Structured Products

With the goal realization of building a moderately prosperous society in all respects,the per capita disposable income of Chinese has increased significantly and the investment demand for innovative financial products has been expanding.However,although there has been a considerable total market for structured financial products in China,problems like high degree of homogenization and opaque information still exist.The new asset management regulations issued in April and September 2018 have tightened the regulatory requirements for financial institutions,stipulate that commercial banks to standardize asset management business,break the rigid payment and multi-layer nesting of bank financial products,prohibit promising to guarantee the integrity of principal and interest,and realize net value management.This further poses many challenges to commercial banks,such as investment research,operation management and risk control.Based on what mentioned above,I design a non breakeven floating income financial product,selects Shanghai 50 ETF which can be representative of the overall trend of the stock market as the linked target,and embeds the option combination providing floating income on the basis of the fixed income part.The product has the characteristics of "enhanced return" and "downside cushion",which can provide excess return for investors with bullish views(the maximum annualized rate of return can reach 22%)in the market where the Shanghai 50 index shows a volatile rise or uncertain trend.In the pricing analysis,because Heston stochastic volatility model has better advantages than B-S model,this thesis selects Heston model as the underlying asset price model,and uses Fourier cosine method for numerical pricing analysis and income analysis.The analysis results show that for the publisher,the product is issued at a discount and earns more income from handling fees and management fees.Based on the risk analysis of the product from the perspectives of investors and issuers,the market risk faced by investors is measured by Va R model and Monte Carlo simulation method,and it is found that under the 90% confidence level,the maximum loss corresponding to every 10000 yuan financial product is 532 yuan.Finally,this thesis compares the differences with similar foreign financial products,sums up the strengths and weaknesses of this product combined with the characteristics of each product,and further develops a feasible marketing plan for issuers from marketing strategies and marketing channels.The financial products designed in this thesis,on the one hand,innovate the income structure of traditional financial products to help investors enjoy accelerated returns and obtain downward protection,which can better meet the investment needs of them.On the other hand,it can also provide new ideas for the transformation and development of financial products issued by commercial banks and financial subsidiaries under the strong regulatory background.