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

DOI

10.2991/iceess-19.2019.7How to use a DOI?

Keywords

pricing, risk, structured wealth management products, Garch

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.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yanliang Zhang
AU  - Qingchao Bai
AU  - Leya Zhang
PY  - 2019/10
DA  - 2019/10
TI  - Research on Pricing and Risk of Structured Wealth Management Products of “HuiYi ZhiXuan”
BT  - Proceedings of the 2019 2nd International Conference on Education, Economics and Social Science (ICEESS 2019)
PB  - Atlantis Press
SP  - 25
EP  - 28
SN  - 2352-5398
UR  - https://doi.org/10.2991/iceess-19.2019.7
DO  - 10.2991/iceess-19.2019.7
ID  - Zhang2019/10
ER  -