Research on Pricing and Risk of Structured Wealth Management Products of “HuiYi ZhiXuan”

Proceedings of the 2019 2nd International Conference on Education, Economics and Social Science (ICEESS 2019) Pub Date : 2019-10-01 DOI:10.2991/iceess-19.2019.7

Yan-liang Zhang, Qingchao Bai, Le-ya Zhang

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Abstract

The design terms of structured wealth management products are complex, and the variety of targets is linked, making it difficult for investors to grasp the true benefits and risk characteristics of the products. This paper selects "HuiYi ZhiXuan" series of structured wealth management products issued by HSBC as a case to study its pricing and risks. In terms of pricing, introducing time-varying volatility, using the GARCH(1,1) model to describe the price fluctuations of the underlying asset, and through the Monte Carlo simulation method on the basis of discounted cash flow, it is found that the product has a certain degree of pricing deviation; In terms of risk, the VaR method is used to quantify the market risk of the product and it is found that the product has higher risk, rational investors should choose carefully. Finally, based on the issuer and investor perspective, the corresponding countermeasures and suggestions are given. Keywords—pricing; risk; structured wealth management products; Garch

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“汇益智选”结构性理财产品定价与风险研究

结构性理财产品的设计条款复杂，标的品种相互关联，投资者难以把握产品的真实收益和风险特征。本文选取汇丰银行发行的“汇益智选”系列结构性理财产品为案例，对其定价和风险进行研究。在定价方面，引入时变波动率，利用GARCH(1,1)模型来描述标的资产的价格波动，并通过蒙特卡罗模拟方法在贴现现金流的基础上，发现该产品存在一定程度的定价偏差;在风险方面，运用VaR方法量化产品的市场风险，发现产品风险较高，理性投资者应谨慎选择。最后，从发行人和投资者的角度，提出了相应的对策和建议。Keywords-pricing;风险;结构性理财产品;Garch

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Proceedings of the 2019 2nd International Conference on Education, Economics and Social Science (ICEESS 2019)

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