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

摘要

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.