Design Of Structured Deposit Products Linked To ESG300 Index

Under the background of net worth management of financial products,which no longer guarantees the safety of principal,structured deposits have become a substitute for capital protection and developed rapidly.However,the rapid growth of their scale also exposes the existing problems in development,such as the issuance of fake structured deposits that are not actually linked to the underlying assets and the inaccurate pricing of some structured deposits.With the introduction of a series of policies at the regulatory level,the market environment of structural deposits is gradually standardized,and the above problems are being improved.However,in terms of product supply,compared with foreign countries,the problem of structural deposits issued by Chinese commercial banks is serious homogenization,and structural deposit products need to be innovated.In view of the above situation,this paper takes ESG300 index as linked assets to design a structured deposit product and explore the direction and method of structural deposit product innovation.Using literature research method and related financial engineering research method,this paper firstly expounds the research background and significance,as well as the research status at home and abroad.Then,it sorts out the development status of equity-linked structured deposit,and sorts out typical equity-linked structured deposit products in the market as cases.Then the structure and elements of the product are designed,and the rationality of the product pricing is verified by the pricing model.Finally,it analyzes the possible risks of the product and the feasible ways of risk avoidance and hedging,and introduces the marketing strategy of the product on the basis of the above.The key chapters of this paper are product design and product pricing.The determination of product parameters is a key link in product design.In terms of volatility calculation,in order to make the calculation of partial option value more accurate,GARCH model is used in this paper to calculate the volatility product design of ESG300 index.After sorting out the current situation of stock-linked structured deposits in the market,This paper innovatively selects ESG300 index as the index of structural deposits,and designs a structured deposit linked to ESG300 index.Four yield ranges are set in this paper.When the price of ESG300 index falls in one of the ranges,the corresponding yield can be realized.Product pricing is to compare the theoretical value and the actual value of the product through the pricing model,so as to test the rationality of pricing.In this paper,the income of structured deposits is decomposed into fixed income and floating income by financial engineering portfolio decomposition technology,and then the discounted cash flow model and Monte Carlo simulation method are used to price the value of fixed income and floating income of structured deposits respectively.The results show that the theoretical value of this product is only slightly different from the actual value.Overall,the product is reasonably priced and issued at a slight discount.In order to observe the influence of the design of product parameters on the total value of products,sensitivity analysis is also carried out on discount rate,risk-free interest rate,volatility,maturity and other factors,and it is found that discount rate has the largest influence on the total value of products.From the perspective of investors,this paper introduces the determination process and pricing process of product elements in detail,provides a learning case for investors to calculate the theoretical value of structured deposits,and provides a reference for them to choose structured deposit products.From the perspective of issuers,the structured deposits designed in this paper belong to green financial products,enrich the underlying assets linked to structured deposits,provide experience for the design of similar products,and provide new ideas for product designers.