Analysis On Structured Deposit Pricing And Risk Of Commercial Bank

On March 28,2018,the Central Comprehensive Deepening Reform Committee reviewed and approved the "Guiding Opinions on Regulating the Asset Management Business of Financial Institutions"(hereinafter referred to as the "New Regulations on Asset Management"),which aims to break the rigid payment of banks and promotes the development of bank wealth management products.Net worth transformation.On January 1,2022,the "New Asset Management Regulations" ended the nearly four-year buffer period and were fully implemented.At the same time,with the decline in deposit interest rates,the pressure on banks to absorb deposits has further increased.Against the background of the implementation of the "New Regulations on Asset Management" and the decline in deposit interest rates,the structured deposits issued by banks ushered in rapid development.As an innovative financial product,investors do not have a deep understanding of the pricing and risks of structured deposits,so the research on the realization of the rate of return and risks of structured deposits has practical significance.This thesis classifies structured deposits on the basis of its definition,and studies the development of structured deposits before and after the implementation of the policy from the content of the "New Regulations on Asset Management ".In the process of studying the balance of structured deposits,it is found that small Chinese banks are more dependent on structured deposits than large Chinese banks,and their motivation to issue high-interest structured deposits is greater than that of large Chinese banks.The reason is that small Chinese-funded banks,especially city commercial banks and rural commercial banks,are under great pressure to absorb deposits.The expected high yield of structured deposits attracts investors to ease the pressure of deposit acquisition.There are also some problems in the process of rapid development of structured deposits:structured deposits have become a tool for some banks to attract deposits at high interest rates,and false structured deposits with a fixed rate of return are designed through structured clauses to attract investors,and some commercial banks have incorrect design concepts,the existence of fake structured deposits makes the market have arbitrage space;When a commercial bank issues structured deposits by way of rolling issuance,the key terms of the structured deposits remain unchanged,and structured deposits cannot be adjusted in time when the market changes.This thesis selects the "Hui Cun Yi" series of Bank of Ningbo as a case,firstly analyzes the design principle,issuance mode,income and risk characteristics of Bank of Ningbo’s "Hui Cun Yi" product,sorts out the past rate of return and maturity.Calculate the cash flow of the product based on the scenario of the product.The study found that the "Hui Cun Yi" structured deposits belong to the bullish automatic redemption type,and the expected maximum yield is set higher.Bank of Ningbo’s "Hui Cun Yi" series of products are more likely to be knocked out with high yields.As of March 6,2022,67 of the 96 structured deposits issued by Bank of Ningbo have been knocked out at high interest rates,achieving high yields The number of periods accounted for 69.8%.Then,this thesis studies the pricing of "Hui Cun Yi" 5059 structured deposits,and firstly uses the GARCH family model to describe the linked assets of the "Hui Cun Yi" series of products.Secondly,the geometric Brownian motion and Monte Carlo method are used to simulate the trend of the linked target during the product period.Finally,the product is priced based on the cash flow of structured deposits under the scenario analysis.The study found that the 5059 phase of "Hui Cun Yi" structured deposits of Bank of Ningbo was issued at a discount,with a discount rate of 0.406%,which was beneficial to investors.From the perspective of yield,the probability of the product achieving the highest expected yield is 84.76%,and there is no "false structure" problem.From the perspective of the actual investment period,the product has the highest probability of triggering events on the first observation day,which is 50.314%.Among the 96 products of Bank of Ningbo,29 products have not yet been released.Investors should pay attention to the risk of low yield of 0.5%.Next,this thesis conducts risk research on the 5059-period structured deposits of "Hui Cun Yi".This article first summarizes the market risk,liquidity risk,policy risk and bank operation risk of the "Hui Cun Yi" product,and makes a qualitative analysis of the product risk.Then select three sensitive factors,trigger level,beginning price and risk-free interest rate,to conduct sensitivity analysis on the product,and focus on the rationality of trigger level setting.The study found that the setting of risk-free interest rate and barrier price has a greater impact on product value.The risk-free interest rate is negatively correlated with the value of the product.Investors can invest in this product when the market interest rate is low or the stock market is good.When the interest rate is high,investors can turn to products with deterministic returns.The Monte Carlo simulation results show that when the risk-free interest rate is 3.71%,the product has no investment value.When the trigger level changes according to a certain percentage,the product value decreases,and when the trigger level is set to 110%,the theoretical value of the product is close to the price.Finally,based on the problems existing in the structured deposit market and the results of case analysis,this thesis proposes countermeasures and suggestions from three perspectives of banks,investors and regulators.Commercial banks need to standardize product design and timely adjust terms that have a greater impact on the value of structured deposits according to market changes.Diversified types of structured deposits to provide investors with differentiated services.Supervisors need to strengthen the governance of fake structured deposits and introduce systematic regulations for structured deposits.When investing in structured deposits,investors should understand the investment needs and understand the terms of the product in advance.