国内结构化理财产品的定价问题研究

A Study on Pricing Structured Financial Products in China

随着金融市场的发展,居民不再满足于活期、定期存款的收益,银行的结构化理财产品应需而生,发展迅速。同其他金融产品一样,结构化理财产品也有定价是否合理的问题,其定价合理与否直接影响到银行的收益与信誉,同时也对客户的收益产生影响。通过蒙特卡洛模拟的方法对这些产品定价进行研究后发现:定价高估的现象普遍存在,且其高估程度受发行银行、产品复杂程度、挂钩标的显著影响。

As the development of financial market, people are no longer satisfied with the benefits of current and time deposits. Therefore, structured financial products of commercial banks spring up rapidly. Compared with other financial products, structured financial products of commercial banks also have the same problem in pricing, which directly influences the income and credit of banks, as well as income of customers. The result after studying on their pricing through the mode of Monte Carlo simulation shows that overpricing is common and the level of overpricing is obviously connected to the bank of circulation, the complexity of products and its linked price.