Research On The Income And Risk Of The Products Of Industrial And Commercial Bank Of China Linked To The CSI 300 Index

Structured financial products were born in the United States in the 1980 s,and were not introduced into China’s financial market until the beginning of this century.In recent years,with the gradual affluence of people’s lives and the increase of the country’s economic volume,the investment demand for financial products in China has been increasing,and structured financial products have also taken advantage of the rapid development,attracting a large number of investors by virtue of their diversified asset structures and the new model of diversified underlying pegs.At the same time,with the continuous enrichment of the theory of structured financial products,some products with complex design structure,advanced concepts and good returns have emerged in the market,which are warmly welcomed by investors,but due to the characteristics of multiple underlying linked to structured financial products and complex calculation of returns,it is difficult for investors to accurately grasp the returns and risks of structured products.Therefore,this thesis selects a specific structured product,ICBC Hengrui Linked CSI 300 Index 20GS6150,as the research object,and analyzes the return and risk of the selected product by combining relevant theories and empirical methods,so as to provide reference for investors’ scientific decision-making.Firstly,this thesis compares the current situation of related research at home and abroad and compares the research ideas of this thesis,and provides a detailed introduction to the current situation of the development of domestic structured financial products and the basic situation of ICBC Hengrui series structured financial products.Secondly,a comprehensive empirical analysis of the returns and risks of the selected products is conducted using Monte Carlo simulation method and Va R value-at-risk method.The analysis of product returns includes the following aspects: firstly,the historical prices of CSI 300 index are processed and examined using EViews10 software and Matlab software,then a GARCH model is constructed to measure the price volatility of CSI 300 index,and finally the Monte Carlo simulation method is applied to make a simulation forecast of the returns of CSI 300 index in the next 180 trading days to derive the floating Second,the risk-free interest rate,the volatility of CSI 300 index and the initial price of the product are continuously adjusted and the return sensitivity of the product is measured.In order to quantify the market risk of the product,the Va R method is used to measure the risk value of the product and compare the product from the perspective of the issuer and the product term,so that investors can invest according to their own situation.Finally,optimization suggestions are made from three perspectives:issuer,investor,and regulator.According to the research of this thesis,the following conclusions are drawn: 1.The difference between the product returns simulated by Monte Carlo simulation and the actual product returns is not significant,which proves the validity of Monte Carlo simulation and the reasonableness of the product return interval;2.3.The comparison of product prospectus shows that the actual yield of the product is still far from the expected maximum yield,which indicates that there are still some problems in the risk management of ICBC’s structured financial products;4.The sensitivity analysis of product returns shows that the expected yield of the product is influenced by the level of risk-free interest rate and the price volatility of the CSI 300 index,and the product suffers from untimely disclosure of product information,uneven structure design and serious homogeneity.There are problems such as untimely product information disclosure,single structure design and serious homogenization.