Design Of Structured Financial Products Based On TZH Index

With the comprehensive implementation of the New Regulations on Asset Management,at the end of 2021,the scale of principal-guaranteed financial products except structural deposits has been fully cleared,the transformation of financial management business has continued to deepen,the degree of net worth has continued to improve,and the rigid payment in the market has been gradually broken.In this context,and combined with the guidance of the current "carbon peek and carbon neutral" policy,this thesis selects the "carbon neutral" index with greater investment value as the underlying asset and designs a non-break-even floating income structured financial produc for balanced customers who have a certain risk tolerance and pursue returns.It provides diversified choices for investors to participate in green finance investment and enrichis the market of structured financial products.Firstly,this thesis analyzes the current situation of the structured financial products market,and concludes that in the future,structured financial products will present the characteristics of non-breakeven,investment term growth,and investors’ risk tolerance will gradually increase,and tend to be stable and balanced.Secondly,the structured financial products designed in this thesis consist of two parts,including the fixed income part and floating income part.In the fixed-income portion chooses national debt with the same duration as the product.In the floating income part,through the analysis of TZH index,it is found that the long-term trend of the index is good,so a combination of bull put spread option and flat call option is constructed.In this way,the investment cost of the constructed option portfolio is lower and the loss can be controlled within a certain limit when the underlying index falls.And can make investors’ income with the rise of the index and continue to increase.In addition,in order to enable investors to obtain higher returns with greater probability,this thesis determines the probability distribution of the index at the expiration of the product by analyzing the historical closing price of the TZH index when determining the option strike price,so as to select the appropriate option strike price.Thirdly,for the product pricing,DCF is used for the fixed income part.For the floating income part,GARGH(1,1)model is used to predict the volatility of the underlying asset during the product duration,and Monte Carlo simulation method is used to price the option portfolio,then,the total value of the product is obtained.Finally,the feasibility of the product is analyzed.The income of the product issuer and the investor is analyzed respectively,and then the risk categories of the product are expounded.Through sensitivity analysis,the value of the product is relatively stable.In addition,the advantages and disadvantages of the product are compared with similar products,obtain the expected return rate of the product investor in thesis was 11.68%,but there was a certain risk,and there was a probability of a loss of-3.22%.Last,according to the product characteristics,this thesis also formulated the appropriate marketing and promotion strategy to ensure the smooth distribution of the product.