与人民币汇率挂钩的结构性存款定价分析

Pricing Analysis of RMB Ee-linked Structured Deposit

外汇结构性存款产品是将固定利率变为浮动利率的创新产品,其收益与某一标的挂钩。与人民币汇率挂钩的结构性存款即收益率与人民币汇率相关联的外币存款,它同时也是国内金融市场中发行交易的一种人民币衍生产品。利率市场化及汇制改革以来,我国金融环境发生较大变化,着重研究这一变化下与人民币汇率挂钩的结构性存款产品的定价问题。通过数值计算、蒙特卡洛、Matlab仿真等方法验证现有的与人民币汇率挂钩结构性存款的定价是否合理并给出定价建议。对此类问题的研究将有助于科学合理地认识相关金融衍生产品的风险收益特征,总结产品设计、定价和营销等环节中存在的问题,增强自主创新能力,推动该产品在金融市场上的良性发展。

Foreign exchange structured deposit is an innovative financing product prevalent in the current market.It pays investors floating interests which link to the performance of certain assets instead of fixed income.RMB ex-linked structured deposit is a kind of structured deposits whose return paid to the investors is related to RMB exchange rate.It＇s also one kind of RMB derivatives trade in the domestic financial market.Since the innovation and reform of China financial market,the domestic financial environments have changed a lot.The main task is to see whether the pricing of current RMB ex-linked structured product under these changes is reasonable or not,and provide some suggestions for its future pricing.Study on these problems will help to understand related financial derivatives＇ characteristics,summarize the disadvantages in products designing,pricing and marketing,and enhance the capabilities of independent innovation and achieve the sound development of this kind of products.